What takers paid to cross over 15 minutes

What takers actually paid to cross over the trailing 15 minutes: the notional-weighted effective spread, two times the distance from each trade price to the last quoted midpoint before it, as basis points of that midpoint. Differs from the quoted spread whenever prints happen inside or through the quote. Absent when the window is not covered or holds no trade with a measurable midpoint.

Observed: measured over the trailing 15 minutes
Unit: bps
Valid range: 0 to 10000

Example: A recorded value of 10 bps can be used in the editable condition below.

Use in Research

Technical details

Field ID

feature.effective_spread_bps_15m

Valid query operators

at least, at most, between

Window operators: lowest, highest, average, latest or change in, over a trailing window.

Editable query preset

This preset is a starting point, not a recommendation. Edit it before running the search.

{
  "schema_version": "research_query.v2",
  "normalization_version": "archive_normalization.v1",
  "feature_version": "feature_defs.v1",
  "target": "record_occurrences",
  "where": {
    "all": [
      [
        "feature.effective_spread_bps_15m",
        "gte",
        10
      ],
      [
        "times.anchor_time",
        "gte",
        "2025-07-15T00:00:00.000Z"
      ]
    ]
  },
  "sort": [
    "times.anchor_time",
    "desc"
  ],
  "page": {
    "limit": 5,
    "cursor": null
  }
}

The search reports how often the record held this condition and what followed. It does not decide whether an idea works.

Read alongside

Order-book imbalance feature.book_imbalance
book capture regime feature.book_source
cost of buying 100k from the book feature.depth_cost_ask_100k_bps
cost of selling 100k into the book feature.depth_cost_bid_100k_bps
depth capture regime feature.depth_source
normalized spread feature.spread_norm