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Debut-day quoted spread by hour: the seasoning process, hour zero

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Debut-day quoted spread by hour: the seasoning process, hour zero — 5 rows by 4 columns, computed 2026-07-26 from US exchange, SIP and OPRA data.
et_hour	med_spread_bps	quote_updates	two_sided_updates
11	10	97165	96654
12	5.8	89901	89290
13	5.2	46980	46964
14	5.3	43489	43482
15	4.1	49685	49616

the exact SQL behind every number

SELECT
    toHour(toTimeZone(sip_timestamp, 'America/New_York')) AS et_hour,
    round(quantileDeterministicIf(0.5)((toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000, toUInt64(toUnixTimestamp64Micro(sip_timestamp)), bid_price > 0 AND ask_price > bid_price), 1) AS med_spread_bps,
    count() AS quote_updates,
    countIf(bid_price > 0 AND ask_price > bid_price) AS two_sided_updates
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'SKHYV'
  AND sip_timestamp >= toDateTime64('2026-07-10 13:30:00', 9) AND sip_timestamp < toDateTime64('2026-07-10 20:00:00', 9)
  AND (toHour(sip_timestamp) * 60 + toMinute(sip_timestamp)) BETWEEN 810 AND 1199
GROUP BY et_hour
HAVING countIf(bid_price > 0 AND ask_price > bid_price) > 0
ORDER BY et_hour

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