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 · 6×3
Share of one minute windows carrying at least N shares (June 2026)ranking ·
2026-08-14 · 9×3
How fast the tape drains a queue, by time of day (AAPL, June 2026)series ·
2026-08-14 · 26×3
Distinct best bid prices per quarter hour (AAPL and KO, 10 June 2026)series ·
2026-08-14 · 26×3
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
Quote-Driven vs Order-Driven Markets
Quoted spread and displayed size at the NBBO, one June 2026 hourranking ·
2026-08-11 · 5×3
AAPL option trade sizes, one June 2026 sessionranking ·
2026-08-11 · 5×4
Share of consolidated volume reported off exchange, by monthseries ·
2026-08-11 · 12×5
How US share volume concentrates across symbols, May 2026ranking ·
2026-08-11 · 5×4
Price-Time Priority vs Pro-Rata Fills
Quote updates per second and average quoted spread, ten minutes on 17 June 2026ranking ·
2026-08-08 · 5×3
Average shares per trade print, June 2026ranking ·
2026-08-08 · 8×2
AAPL option prints by contract count, 17 June 2026ranking ·
2026-08-08 · 5×2
AAPL trade prints by share count, 17 June 2026ranking ·
2026-08-08 · 5×2
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 · 32×3
Top-of-book message rate, minute by minute (NVDA, one hour)series ·
2026-08-07 · 60×3
Top-of-book spread and quote message count by name (10:00 to 11:00 a.m. ET)ranking ·
2026-08-07 · 5×3
How often the quoted spread sits at a single cent (10 June 2026 session)
How often the quoted spread sits at a single cent (10 June 2026 session)
| symbol | avg_spread_cents | one_tick_wide_pct |
|---|---|---|
| NFLX | 1.3 | 81.4 |
| KO | 1.31 | 74.2 |
| NVDA | 2.6 | 12.3 |
| AAPL | 3.36 | 10.5 |
| SPY | 2.85 | 10 |
| COST | 77.53 | 0.2 |
the exact SQL behind every number
SELECT
ticker AS symbol,
round(avg(toFloat64(ask_price) - toFloat64(bid_price)) * 100, 2) AS avg_spread_cents,
round(100 * countIf(toFloat64(ask_price) - toFloat64(bid_price) <= 0.0105) / count(), 1) AS one_tick_wide_pct
FROM global_markets.cache_stocks_quotes
WHERE ticker IN ('AAPL', 'KO', 'SPY', 'NVDA', 'COST', 'NFLX')
AND sip_timestamp >= '2026-06-10 13:30:00'
AND sip_timestamp < '2026-06-10 20:00:00'
AND bid_price > 0
AND ask_price > bid_price
AND toFloat64(ask_price) - toFloat64(bid_price) < 5
GROUP BY ticker
ORDER BY one_tick_wide_pct DESC
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