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Tradegate vs Xetra: Hours and Prices
Median quoted spread by clock hour, one symbol, one sessionseries · 2026-09-27 · 16×4Preview: a 16-point series, roughly flat. SPY volume in ten-minute buckets across one full trading dayseries · 2026-09-27 · 96×2Preview: a 16-point series, roughly flat. Evening volume share and the gap to the official closeranking · 2026-09-27 · 6×3Preview: 6 ranked values, largest first. Where one session's volume actually printed, by phaseseries · 2026-09-27 · 5×3Preview: a 5-point series, roughly flat.
Median quoted spread by clock hour, one symbol, one session

Median quoted spread by clock hour, one symbol, one session

most recentas of series 16×4read in context →
Median quoted spread by clock hour, one symbol, one session — 16 rows by 4 columns, computed from US exchange, SIP and OPRA data.
et_timemedian_spread_bpsregular_hours_median_bpsquote_count
04:0013.761.031478
05:007.231.032069
06:009.31.03518
07:0012.411.032204
08:0012.051.033486
09:001.381.03221100
10:001.041.03278714
11:001.381.03307205
12:001.031.03268189
13:001.021.03249935
14:000.681.03173988
15:000.681.03231589
16:006.511.031321
17:005.831.03340
18:008.941.031106
19:0015.151.031099
the exact SQL behind every number 
WITH
    (
        SELECT round(quantileDeterministic(0.5)(
                   10000 * (toFloat64(ask_price) - toFloat64(bid_price))
                   / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2),
                   toUInt64(sequence_number)), 2)
        FROM global_markets.cache_stocks_quotes
        WHERE ticker = 'AAPL'
          AND sip_timestamp >= toDateTime('2026-06-10 13:30:00')
          AND sip_timestamp <  toDateTime('2026-06-10 20:00:00')
          AND bid_price > 0
          AND ask_price > bid_price
          AND sequence_number > 0
    ) AS regular_session_median
SELECT
    formatDateTime(toStartOfHour(toTimeZone(sip_timestamp, 'America/New_York')), '%H:%i') AS et_time,
    round(quantileDeterministic(0.5)(
        10000 * (toFloat64(ask_price) - toFloat64(bid_price))
        / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2),
        toUInt64(sequence_number)), 2) AS median_spread_bps,
    regular_session_median   AS regular_hours_median_bps,
    count()                  AS quote_count
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'AAPL'
  AND sip_timestamp >= toDateTime('2026-06-10 08:00:00')
  AND sip_timestamp <  toDateTime('2026-06-11 00:00:00')
  AND bid_price > 0
  AND ask_price > bid_price
  AND sequence_number > 0
GROUP BY et_time
ORDER BY et_time
More from this analysisTradegate vs Xetra: Hours and Prices
SPY volume in ten-minute buckets across one full trading day series 96×2 → Where one session's volume actually printed, by phase series 5×3 → Evening volume share and the gap to the official close ranking 6×3 → Days when the New York open lands at 14:30 Frankfurt time (three-hour overlap), 2026 and 2027 series 4×5 → See all 2,707 queries →
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