NYSE Imbalance Messages: How to Read Them
Gap between the 3:50 p.m. price and the official close, July 2026 sessionsranking ·
2026-08-19 · 6×3
How often the close finished above the 3:50 p.m. price, July 2026 sessionsranking ·
2026-08-19 · 6×3
Coca-Cola average volume per five-minute bucket, 3:00 p.m. ET to the close, July 2026series ·
2026-08-19 · 13×2
Share of regular-session volume printed in the opening and closing auction minutes, July 2026ranking ·
2026-08-19 · 6×3
MBO vs MBP Order Book Data Explained
Trade size mix in the same window (AAPL, 10:00 to 10:30 a.m. ET, June 16, 2026)ranking ·
2026-08-12 · 5×4
What changed between consecutive top-of-book messages (AAPL, 10:00 to 10:30 a.m. ET, June 16, 2026)ranking ·
2026-08-12 · 4×3
Top-of-book messages against prints, 10:00 to 10:30 a.m. ET, June 16, 2026ranking ·
2026-08-12 · 5×4
How to Estimate Queue Position From L2 Data
How AAPL prints break down by trade size, June 10 2026ranking ·
2026-08-12 · 5×3
Average quoted spread and time at a one cent spread, midday June 10 2026ranking ·
2026-08-12 · 6×3
Top of book messages against prints on the tape, AAPL, June 10 2026series ·
2026-08-12 · 8×4
The best bid and the price levels it visited, AAPL, 15 minute bucketsseries ·
2026-08-12 · 24×3
Why Trading Volume Dies at Midday: U-Shape
Share of regular-session volume by half hour, SPY and AAPLseries ·
2026-08-10 · 13×3
Average one-minute SPY range in basis points, by half hourseries ·
2026-08-10 · 13×3
SPY open, midday and close volume against an average minute, by yearranking ·
2026-08-10 · 8×4
Open, midday and close volume against an average session minuteranking ·
2026-08-10 · 6×4
SPCX: SpaceX's First Month on the Public Market
The whole SPCX tape in one row: prints, print sizes, and the quote censusscalar ·
2026-07-27 · 1×1241.01
Symbol-reuse receipt: thirteen months of SPCX minute bars, May 2026 is absent entirelyseries ·
2026-07-27 · 12×5
Where the contracts landed: call and put volume by strike buckettable ·
2026-07-27 · 19×5
The seasoning curve: regular-hours spread by session, per-update and time-weightedseries ·
2026-07-27 · 12×8
June 30 anchors: a mega-cap, SPCX, and a thin small-cap, same session, same mathtable ·
2026-07-27 · 3×6
FINRA off-exchange short volume by session: marked-short share and reported volumeseries ·
2026-07-27 · 12×4
The first short-interest print, with the old-entity cliff as its own receiptscalar ·
2026-07-27 · 1×923.34
The sessions: regular-hours close, close-over-close change, full-day volumeseries ·
2026-07-27 · 12×5
Every SpaceX 8-K filed in June 2026, with the opening lines of eachtable ·
2026-07-27 · 6×3
Options session by session: contracts, the call/put split, and the put/call ratioseries ·
2026-07-27 · 10×7
What it cost to trade the busiest contract: NBBO spread over its three sessionsseries ·
2026-07-27 · 3×6
SpaceX's options market in one row: totals, expiry structure, flagship contractsscalar ·
2026-07-27 · 1×2210
The information flow in one row: tagging switches on, feed composition, co-tagsscalar ·
2026-07-27 · 1×170
The month on one row: issue to close, with the extremes and their receiptsscalar ·
2026-07-27 · 1×22135
Listing day on one row: first quote, opening cross, closing cross, day totalsscalar ·
2026-07-27 · 1×142.24
The IPO record: the entity behind SPCX since June 12, 2026scalar ·
2026-07-27 · 1×8135
SpaceX's 2026 SEC trail by form type, in filing order (CIK 0001181412, deduped by accession)ranking ·
2026-07-27 · 12×4
The whole US tape ranked by June 12–30 regular-hours dollar volumeranking ·
2026-07-27 · 12×4
Day one by half hour: quote updates and the median spread finding its levelranking ·
2026-07-27 · 13×4
NVDA: NVIDIA's Full June 2026, Tick by Tick
The whole NVDA tape in one row: prints, print sizes, and the quote censusscalar ·
2026-07-26 · 1×1055.64
Where the contracts landed: call and put volume by strike buckettable ·
2026-07-26 · 19×5
The spread by session: regular-hours median and time-weighted average (bps)series ·
2026-07-26 · 21×5
FINRA off-exchange short volume by session: marked-short share and reported volumeseries ·
2026-07-26 · 20×4
The off-exchange peak and trough, bounded (deduped per session)scalar ·
2026-07-26 · 1×686.77
The mid-June short-interest printscalar ·
2026-07-26 · 1×6310.13
The 21 sessions: regular-hours close, close-over-close change, full-day volumeseries ·
2026-07-26 · 21×5
The rank receipt: NVDA's place, its lead over the next name, and the basis, as checked columnsscalar ·
2026-07-26 · 1×54
Options session by session: contracts, the call/put split, and the put/call ratioseries ·
2026-07-26 · 21×7
NVDA's options market in one row: totals, expiry structure, flagship contractsscalar ·
2026-07-26 · 1×1821
The information flow in one row: volume, composition, and co-tagsscalar ·
2026-07-26 · 1×12642
The month on one row: open, close, extremes, volume, and their receiptsscalar ·
2026-07-26 · 1×25215.77
NVDA fundamentals census: balance sheets, income statements, cash flowsscalar ·
2026-07-26 · 1×383
The whole US tape ranked by June 2026 regular-hours dollar volumeranking ·
2026-07-26 · 12×4
The five-session slide, bounded: every claim in the streak sentence as a checked columnscalar ·
2026-07-26 · 1×65
The trailing six months, recomputed live: turnover, shares, and month returnranking ·
2026-07-26 · 6×4
Microstructure Deep-Dive: June 29, 2026
Raw vs SIP-counted volume, applying the derived exclusion setscalar ·
2026-07-26 · 1×424.79
One day of trades: session check plus the size of every printscalar ·
2026-07-26 · 1×80
SPY's median quoted spread by half hour, 4:00 am to 8:00 pm ETseries ·
2026-07-26 · 32×3
SPY under the microscope: nanosecond gaps, the spread two ways, quote qualityscalar ·
2026-07-26 · 1×123.98
Completeness probe: FINRA short-volume file coverage, June 26-30series ·
2026-07-26 · 3×6
The whole NBBO stream in one row: QQQ and NVDA pinned by namescalar ·
2026-07-26 · 1×5505.38
NBBO quote updates for eight heavily-quoted tickers (millions)ranking ·
2026-07-26 · 8×2
How many of the ten busiest minutes fall outside the open and the closescalar ·
2026-07-26 · 1×41
The largest single prints of June 29 (dictionary-excluded codes stripped)series ·
2026-07-26 · 9×7
The exclusion set, derived from the tape's own code dictionary (one row)scalar ·
2026-07-26 · 1×33
The receipt: CAG's closing auction and its code-15 re-report, side by sidescalar ·
2026-07-26 · 1×661.69
The ten busiest minutes of the trade tape (millions of prints)ranking ·
2026-07-26 · 10×2
MU: The Biggest Tape of June 2026
The whole MU tape in one row: prints, print sizes, and the quote censusscalar ·
2026-07-13 · 1×935.17
Where the contracts landed: call and put volume by strike bucketranking ·
2026-07-13 · 16×4
The spread by session: regular-hours median in cents and basis pointsseries ·
2026-07-13 · 21×5
FINRA off-exchange short volume: MU's June coverage and marked-short shareranking ·
2026-07-13 · 16×3
The June settlement pair: mid-month and month-end short interestscalar ·
2026-07-13 · 1×641.59
The 21 sessions: close, close-over-close change, full-day volumeseries ·
2026-07-13 · 21×4
The rank receipt: MU's place, its lead over the next name, and the basisscalar ·
2026-07-13 · 1×31
June side by side: the memory/storage basket, NVDA, and SPYtable ·
2026-07-13 · 6×5
Month-end price of movement: the last at-the-money straddle of Junescalar ·
2026-07-13 · 1×72
MU's options market in one row: totals, expiries, the put/call splitscalar ·
2026-07-13 · 1×74.69
What June's MU coverage was about: the vendor's own article tags, countedranking ·
2026-07-13 · 10×3
June's MU-tagged articles: volume, the top publisher's share, co-tagsscalar ·
2026-07-13 · 1×7195
MU's June on one row: open, close, extremes, turnover, and their receiptsscalar ·
2026-07-13 · 1×121,009.72
MU's last six reported quarters on file: revenue, net income, diluted EPStable ·
2026-07-13 · 6×5
MU's June SEC filings and the session that followed the quarterly 8-Kscalar ·
2026-07-13 · 1×111
The whole US tape ranked by June 2026 regular-hours dollar volume (one reused-symbol listing excluded pending entity verification)ranking ·
2026-07-13 · 10×3
MU by month: annualized realized volatility, average session range, biggest single-day movetable ·
2026-07-13 · 6×6
MU month by month, recomputed live: return, close, and regular-hours turnoverranking ·
2026-07-13 · 6×4
Gap between the 3:50 p.m. price and the official close, July 2026 sessions
Gap between the 3:50 p.m. price and the official close, July 2026 sessions
| ticker | median_move_bps | largest_move_bps |
|---|---|---|
| XOM | 23 | 42.7 |
| PG | 18.5 | 75.9 |
| JPM | 14.3 | 36.8 |
| KO | 13.2 | 41.9 |
| JNJ | 13 | 36.1 |
| WMT | 11.9 | 29.7 |
the exact SQL behind every number
SELECT
d.sym AS ticker,
round(quantileDeterministic(0.5)(abs(d.official_close / m.px_1550 - 1) * 10000,
toUInt64(toUnixTimestamp(d.session_date))), 1) AS median_move_bps,
round(max(abs(d.official_close / m.px_1550 - 1) * 10000), 1) AS largest_move_bps
FROM
(
SELECT
ticker AS sym,
date AS session_date,
max(toFloat64(close)) AS official_close
FROM global_markets.stocks_daily_aggs
WHERE ticker IN ('JNJ', 'JPM', 'KO', 'PG', 'WMT', 'XOM')
AND date >= '2026-07-01'
AND date < '2026-08-01'
GROUP BY sym, session_date
) AS d
INNER JOIN
(
SELECT
ticker AS sym,
toDate(toTimeZone(window_start, 'America/New_York')) AS session_date,
max(toFloat64(close)) AS px_1550
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker IN ('JNJ', 'JPM', 'KO', 'PG', 'WMT', 'XOM')
AND window_start >= '2026-07-01'
AND window_start < '2026-08-01'
AND toHour(toTimeZone(window_start, 'America/New_York')) = 15
AND toMinute(toTimeZone(window_start, 'America/New_York')) = 50
GROUP BY sym, session_date
) AS m ON m.sym = d.sym AND m.session_date = d.session_date
GROUP BY d.sym
ORDER BY median_move_bps DESC
More from this analysisNYSE Imbalance Messages: How to Read Them
How often the close finished above the 3:50 p.m. price, July 2026 sessions
ranking 6×3
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Share of regular-session volume printed in the opening and closing auction minutes, July 2026
ranking 6×3
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Coca-Cola average volume per five-minute bucket, 3:00 p.m. ET to the close, July 2026
series 13×2
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Average shares per trade, ten household names
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