STRASMORE/EXPLORE 3,256 QUERIES 22Y EQUITIES · 12Y OPTIONS

3,256 answered market questions

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What Is a Liquidity Heatmap? How to Read One
AAPL top of book by half hour (ET), latest session: NBBO updates and displayed size at the best bid and ask as a share of the peak bucketseries · 2026-10-04 · 32×4Preview: a 16-point series, ending higher.
Backtesting in Illiquid Markets: Fill Models
Quoted spread and displayed size at the touch, midday sliceranking · 2026-10-01 · 4×4Preview: 4 ranked values, largest first. Median session volume and a 2 percent participation budgetranking · 2026-10-01 · 4×4Preview: 4 ranked values, largest first. Markout curve after a high volume minute, liquid name against thin nameranking · 2026-10-01 · 6×4Preview: 6 ranked values, smallest first. Average absolute minute move by volume quintile, liquid name against thin nameranking · 2026-10-01 · 5×4Preview: 5 ranked values, smallest first.
Latency Models in HFT Backtests Explained
Trade prints per second through one full session, ET clockseries · 2026-09-24 · 78×2Preview: a 16-point series, ending lower. How long a top of book quote survives, by latency budgetranking · 2026-09-24 · 9×2Preview: 9 ranked values, smallest first. Average distance the mid price travels over each latency horizonranking · 2026-09-24 · 4×2Preview: 4 ranked values, smallest first. Share of quotes replaced within 5 ms and 50 ms, by symbolranking · 2026-09-24 · 5×3Preview: 5 ranked values, largest first.
Does Modifying an Order Lose Queue Priority?
How often the quoted spread sits at a single cent (10 June 2026 session)ranking · 2026-08-14 · 6×3Preview: 6 ranked values, smallest first. Share of one minute windows carrying at least N shares (June 2026)ranking · 2026-08-14 · 9×3Preview: 9 ranked values, smallest first. How fast the tape drains a queue, by time of day (AAPL, June 2026)series · 2026-08-14 · 26×3Preview: a 16-point series, ending lower. Distinct best bid prices per quarter hour (AAPL and KO, 10 June 2026)series · 2026-08-14 · 26×3Preview: a 16-point series, ending lower.
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 · 5×4Preview: 5 ranked values, largest first. What changed between consecutive top-of-book messages (AAPL, 10:00 to 10:30 a.m. ET, June 16, 2026)ranking · 2026-08-12 · 4×3Preview: 4 ranked values, smallest first. Top-of-book messages against prints, 10:00 to 10:30 a.m. ET, June 16, 2026ranking · 2026-08-12 · 5×4Preview: 5 ranked values, largest first.
How to Estimate Queue Position From L2 Data
How AAPL prints break down by trade size, June 10 2026ranking · 2026-08-12 · 5×3Preview: 5 ranked values, largest first. Average quoted spread and time at a one cent spread, midday June 10 2026ranking · 2026-08-12 · 6×3Preview: 6 ranked values, smallest first. Top of book messages against prints on the tape, AAPL, June 10 2026series · 2026-08-12 · 8×4Preview: a 8-point series, ending higher. The best bid and the price levels it visited, AAPL, 15 minute bucketsseries · 2026-08-12 · 24×3Preview: a 16-point series, ending lower.
Quote-Driven vs Order-Driven Markets
Quoted spread and displayed size at the NBBO, one June 2026 hourranking · 2026-08-11 · 5×3Preview: 5 ranked values, smallest first. AAPL option trade sizes, one June 2026 sessionranking · 2026-08-11 · 5×4Preview: 5 ranked values, largest first. Share of consolidated volume reported off exchange, by monthseries · 2026-08-11 · 12×5Preview: a 12-point series, ending higher. How US share volume concentrates across symbols, May 2026ranking · 2026-08-11 · 5×4Preview: 5 ranked values, largest first.
Price-Time Priority vs Pro-Rata Fills
Quote updates per second and average quoted spread, ten minutes on 17 June 2026ranking · 2026-08-08 · 5×3Preview: 5 ranked values, largest first. Average shares per trade print, June 2026ranking · 2026-08-08 · 8×2Preview: 8 ranked values, largest first. AAPL option prints by contract count, 17 June 2026ranking · 2026-08-08 · 5×2Preview: 5 ranked values, largest first. AAPL trade prints by share count, 17 June 2026ranking · 2026-08-08 · 5×2Preview: 5 ranked values, largest first.
Level 1 vs Level 2 vs Level 3 Market Data
Executed volume by price level: the traded ladder (KO, 30 minutes)table · 2026-08-07 · 63×3 Level 1 top of book: quoted spread across a full session (AAPL, June 17 2026)series · 2026-08-07 · 32×3Preview: a 16-point series, ending lower. Top-of-book message rate, minute by minute (NVDA, one hour)series · 2026-08-07 · 60×3Preview: a 16-point series, roughly flat. Top-of-book spread and quote message count by name (10:00 to 11:00 a.m. ET)ranking · 2026-08-07 · 5×3Preview: 5 ranked values, smallest first.
AAPL top of book by half hour (ET), latest session: NBBO updates and displayed size at the best bid and ask as a share of the peak bucket

AAPL top of book by half hour (ET), latest session: NBBO updates and displayed size at the best bid and ask as a share of the peak bucket

most recentas of series 32×4read in context →
AAPL top of book by half hour (ET), latest session: NBBO updates and displayed size at the best bid and ask as a share of the peak bucket — 32 rows by 4 columns, computed from US exchange, SIP and OPRA data.
et_timequote_update_countdisplayed_bid_pct_of_peakdisplayed_ask_pct_of_peak
04:001153103
04:301167202
05:00689102
05:30322203
06:001042102
06:302015102
07:00939203
07:301262152
08:001692203
08:301018203
09:002015202
09:30112378202
10:0088584203
10:3057424202
11:0045178203
11:3057903203
12:0042497203
12:3035233203
13:0035140203
13:3039415103
14:0038360203
14:3029468203
15:0028280203
15:3089635203
16:00574203
16:30272203
17:0015110011
17:3050109
18:00168205
18:30263208
19:0027020100
19:303061022
the exact SQL behind every number
WITH (
  SELECT max(toDate(sip_timestamp))
  FROM global_markets.cache_stocks_quotes
  WHERE ticker = 'AAPL' AND sip_timestamp >= now() - INTERVAL 7 DAY
) AS last_session
SELECT
  et_time,
  quote_update_count,
  round(100 * median_bid_size / max(median_bid_size) OVER (), 0) AS displayed_bid_pct_of_peak,
  round(100 * median_ask_size / max(median_ask_size) OVER (), 0) AS displayed_ask_pct_of_peak
FROM (
  SELECT
    formatDateTime(toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 30 MINUTE), '%H:%i') AS et_time,
    count() AS quote_update_count,
    quantileDeterministic(0.5)(toFloat64(bid_size), toUInt64(sip_timestamp)) AS median_bid_size,
    quantileDeterministic(0.5)(toFloat64(ask_size), toUInt64(sip_timestamp)) AS median_ask_size
  FROM global_markets.cache_stocks_quotes
  WHERE ticker = 'AAPL'
    AND sip_timestamp >= now() - INTERVAL 7 DAY
    AND toDate(sip_timestamp) = last_session
    AND bid_price > 0
    AND ask_price > bid_price
    AND bid_size > 0
    AND ask_size > 0
  GROUP BY et_time
)
ORDER BY et_time
$