tick size — 8 answered market questions

Average quoted spread and time on the penny floor, pinned session

most recentas of 2026-08-13 ranking 8×3read in context →

Average quoted spread and time on the penny floor, pinned session — 8 rows by 3 columns, computed 2026-08-13 from US exchange, SIP and OPRA data.
symbol	avg_quoted_spread_cents	time_at_penny_floor_pct
F	1	99.8
PFE	1.02	99.1
NVDA	1.19	81.6
SPY	1.25	77.7
KO	1.35	71.5
AAPL	1.5	68.9
MSFT	9.19	5.1
GS	69.55	0.3

the exact SQL behind every number

WITH per_second AS
(
    SELECT
        ticker,
        toDateTime(sip_timestamp)  AS quote_second,
        max(toFloat64(bid_price))  AS best_bid,
        min(toFloat64(ask_price))  AS best_ask
    FROM global_markets.cache_stocks_quotes
    WHERE ticker IN ('AAPL', 'MSFT', 'NVDA', 'SPY', 'KO', 'PFE', 'F', 'GS')
      AND sip_timestamp >= '2026-08-05 13:30:00'
      AND sip_timestamp <  '2026-08-05 20:00:00'
      AND bid_price > 0
      AND ask_price > 0
    GROUP BY ticker, quote_second
)
SELECT
    ticker                                                          AS symbol,
    round(avg(best_ask - best_bid) * 100, 2)                        AS avg_quoted_spread_cents,
    round(100 * countIf(best_ask - best_bid < 0.011) / count(), 1)  AS time_at_penny_floor_pct
FROM per_second
WHERE best_ask > best_bid
GROUP BY ticker
ORDER BY avg_quoted_spread_cents ASC

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