Marketable vs Non-Marketable Limit Orders
Quoted spread across six names, one 15-minute sliceranking ·
2026-10-04 · 6×4
How Apple's prints split by trade size, same 15-minute sliceranking ·
2026-10-04 · 5×4
Apple's inside quote by ET half hour, one sessionseries ·
2026-10-04 · 15×4
How often each limit price below the 10:00 a.m. anchor was reachedranking ·
2026-10-04 · 7×3
How Exchange Speed Bumps Work
Average spacing between national best quote updates, one fixed hourranking ·
2026-09-28 · 5×3
Quote messages per minute against distinct best-bid prices (NVDA)series ·
2026-09-28 · 60×3
Which venues held the best bid, half-hour slice (AAPL)ranking ·
2026-09-28 · 16×4
Quoted spread across six names, one 15-minute slice
Quoted spread across six names, one 15-minute slice
| ticker | spread_cents | spread_bps | penny_wide_pct |
|---|---|---|---|
| SPY | 1.58 | 0.21 | 48.8 |
| NVDA | 1.51 | 0.7 | 53.3 |
| KO | 1.09 | 1.24 | 91 |
| AAPL | 4.42 | 1.32 | 10.9 |
| MSFT | 13.18 | 2.67 | 1.9 |
| F | 1 | 7.47 | 99.9 |
the exact SQL behind every number
SELECT
ticker,
round(avg(toFloat64(ask_price - bid_price)) * 100, 2) AS spread_cents,
round(avg(toFloat64(ask_price - bid_price) / (toFloat64(ask_price + bid_price) / 2)) * 10000, 2) AS spread_bps,
round(100 * countIf(toFloat64(ask_price - bid_price) < 0.011) / count(), 1) AS penny_wide_pct
FROM global_markets.cache_stocks_quotes
WHERE ticker IN ('SPY', 'AAPL', 'MSFT', 'NVDA', 'KO', 'F')
AND sip_timestamp >= toDateTime('2026-09-16 14:30:00')
AND sip_timestamp < toDateTime('2026-09-16 14:45:00')
AND bid_price > 0
AND ask_price > bid_price
GROUP BY ticker
ORDER BY spread_bps
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