order entry — 4 answered market questions

How often a resting limit was reached, by distance from the prior close (SPY, 2021 to Sep 2026)

most recentas of 2026-10-05 ranking 6×3read in context →

How often a resting limit was reached, by distance from the prior close (SPY, 2021 to Sep 2026) — 6 rows by 3 columns, computed 2026-10-05 from US exchange, SIP and OPRA data.
limit_distance	buy_limit_touched_pct	sell_limit_touched_pct
0.25	60.7	68.8
0.5	44.1	48.1
1	23.2	22.2
1.5	12.4	10.7
2	5.8	4.7
3	1.5	1.1

the exact SQL behind every number

WITH daily AS
(
    SELECT
        date,
        toFloat64(any(close)) AS close,
        toFloat64(min(low))   AS low,
        toFloat64(max(high))  AS high
    FROM global_markets.stocks_daily_aggs
    WHERE ticker = 'SPY'
      AND date >= '2021-01-01'
      AND date <  '2026-10-01'
    GROUP BY date
),
framed AS
(
    SELECT
        date,
        low,
        high,
        lagInFrame(close, 1) OVER (ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prior_close
    FROM daily
)
SELECT
    limit_distance,
    round(100 * countIf(low  <= prior_close * (1 - limit_distance / 100)) / count(), 1) AS buy_limit_touched_pct,
    round(100 * countIf(high >= prior_close * (1 + limit_distance / 100)) / count(), 1) AS sell_limit_touched_pct
FROM
(
    SELECT
        low,
        high,
        prior_close,
        arrayJoin([0.25, 0.5, 1.0, 1.5, 2.0, 3.0]) AS limit_distance
    FROM framed
    WHERE prior_close > 0
)
GROUP BY limit_distance
ORDER BY limit_distance

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