Latest research
▤Index up while most stocks fall: 24 of 180 sessionsMarket structure · Measured Dec 3, 2025 – Aug 21, 2026 · 180 sessionsSESSIONS WHERE SPY AND THE MAJORITY OF STOCKS DISAGREED24 of 180SAME MEASURED ON QQQ40 of 180MEDIAN SHARE OF STOCKS CLOSING HIGHER51.5%›▤Half of all US stock trading volume is in 93 namesMarket structure · Measured Dec 2, 2025 – Aug 21, 2026 · 181 sessionsNAMES HOLDING HALF OF ALL US DOLLAR VOLUME93SHARE OF ALL LISTED NAMES THAT REPRESENTS0.77%SHARE OF DOLLAR VOLUME HELD BY THE BOTTOM HALF OF NAMES0.151%›▤Which day of the week is most volatile for stocks?Market structure · Measured Dec 2, 2025 – Aug 21, 2026 · 180 sessionsMEDIAN INTRADAY RANGE, THURSDAY2.81%MEDIAN INTRADAY RANGE, TUESDAY2.46%WEEKDAY EFFECT ON DOLLAR VOLUME, PERMUTATION P0.761›▤Do gaps always fill? 144,286 gaps measuredMarket structure · Measured Dec 2, 2025 – Aug 21, 2026 · 181 sessionsSAME-DAY FILL, GAPS OF 2-5%39.2% up and 42.0% downSAME-DAY FILL, GAPS OF 20%+12.3% up and 3.9% downFILLED WITHIN 60 SESSIONS, DOWN GAPS OF 20%+37.9%›▤What time of day do big movers peak? 1,380 measuredMarket structure · Measured Dec 2, 2025 – Aug 21, 2026 · 46 sampled sessionsSESSION HIGH IN THE FIRST 30 MINUTES13.9%IN THE FINAL 30 MINUTES21.1%MEDIAN TIME FROM OPEN TO HIGH213 minutes›▤What happens when a stock falls below $1: 436 casesMarket structure · Measured Dec 2, 2025 – Aug 21, 2026 · 181 sessionsREGAINED COMPLIANCE WITHIN 60 SESSIONS55.0%WITHIN 120 SESSIONS58.3%DELISTED WITHIN 120 SESSIONS9.7%›▤Survivorship bias: 815 tickers vanished in nine monthsMarket data quality · Measured Dec 2, 2025 – Aug 21, 2026 · 181 sessionsTICKERS PRESENT AT THE START AND GONE BY THE END815 of 11,378SHARE WITH A VENDOR DELISTING RECORD97.4%MEDIAN CLOSE OF THE VANISHED AGAINST THE SURVIVORS$17.11 against $35.99›▤One day in five, a top gainer is really a reverse splitMarket data quality · Measured Dec 3, 2025 – Aug 21, 2026 · 180 session pairsSESSIONS WHERE THE TOP TEN GAINERS BY PREVIOUS CLOSE CONTAINED A REVERSE SPLIT20.0%PHANTOM ENTRIES IN THOSE TOP TEN LISTS ACROSS THE WINDOW92WORST SESSION, REVERSE SPLITS IN THE TOP TEN10 of 10›▤How many stocks are under short sale restriction? 261 a dayMarket structure · Measured Dec 3, 2025 – Aug 21, 2026 · 180 session pairsSTOCKS RESTRICTED ON A TYPICAL SESSION, COUNTING THE CARRY-OVER DAY261STOCKS NEWLY TRIGGERING THE RESTRICTION ON A SESSION130OF THOSE, THE NUMBER THAT CLOSE BACK ABOVE THE TRIGGER LINE67›▤For our founding members: 7,137 trades, doubts includedStrategy research · January 2 to July 31, 2026, 09:30 to 11:00 ET,…TRADES IN THE FULL TEST7,137WIN RATE63.6%PROFIT FACTOR1.84›▤How long should a gainers list be? Top 30 covers half the 10% moversMarket structure · Measured Dec 2, 2025 – Aug 21, 2026 · 181 sessionsQUALIFIED STOCKS MOVING 10% OR MORE IN A SESSION61SHARE OF THEM INSIDE A TOP-30 LIST49.2%SHARE OF THEM INSIDE THE TOP 100 BY DOLLAR VOLUME1.3%›▤Top gainers trade in $887 clips, dollar-volume names in $17,442Market structure · Measured Dec 2, 2025 – Aug 21, 2026 · 181 sessionsMEDIAN DOLLARS PER TRADE, TOP 30 BY PERCENT$887THE SAME FOR THE TOP 30 BY DOLLAR VOLUME$17,442MEDIAN TURNOVER OF THE TOP 30 BY PERCENT AGAINST THE QUALIFIED MARKET$12.6M and $14.5M›▤Top gainers turn over every day, dollar volume barely moves at allMarket structure · Measured Dec 2, 2025 – Aug 21, 2026 · 181 sessionsNAMES HELD FROM ONE SESSION TO THE NEXT, TOP TEN BY PERCENT10.0%THE SAME FOR THE TOP TEN BY DOLLAR VOLUME80.0%DISTINCT NAMES THAT PASSED THROUGH EACH TOP TEN ACROSS 181 SESSIONS957 against 40›▤Top gainers: 46.4% to make the top ten, 24.0% if it must be tradableMarket structure · Measured Dec 2, 2025 – Aug 21, 2026 · 181 sessionsMEDIAN MOVE NEEDED FOR THE DAY'S TOP TEN BY PERCENT46.4%THE SAME ONCE A $1 PRICE AND $1,000,000 OF TURNOVER ARE REQUIRED24.0%MEDIAN TURNOVER NEEDED FOR THE TOP TEN BY DOLLAR VOLUME$11.44B›▤Penny stock spreads: a finer price grid does not mean a tighter marketMarket structure · Measured Apr 2, 2025 – Jul 27, 2026 · 38 sessionsMEDIAN QUOTED SPREAD, STOCKS UNDER $11.81%THE SAME FOR STOCKS BETWEEN $1 AND $50.72%SHARE OF QUOTED SECONDS SITTING ON THE MINIMUM TICK2.4% against 60.4%›▤Round numbers in the order book: quotes cluster, orders do notMarket structure · Measured Apr 2, 2025 – Jul 27, 2026 · 38 sessionsSHARE OF BEST BIDS ENDING IN A ZERO CENT14.23%THE SAME FOR THE RAREST ENDING DIGIT8.34%SESSIONS WHERE THE CLUSTERING HELD38 of 38›▤Buying vs selling on a fast move: the cost is the same both waysMarket structure · Measured Apr 2, 2025 – Jul 27, 2026 · 38 sessionsMEDIAN DISTANCE FROM THE LAST PRINT TO THE TOUCH, BUYING VS SELLING, ON ONE-SECOND MOVES OF 1.00% OR MORE0.31% vs 0.29%MEDIAN DOLLARS AT THE TOUCH IN THE SAME SECONDS$740 vs $720SECONDS WITH NO PRICE CHANGE AT ALL82.1%›▤Liquidity when a stock drops: the bid thins on 95% of sessionsMarket structure · Measured Apr 2, 2025 – Jul 27, 2026 · 38 sessionsMEDIAN DOLLARS AT THE BEST BID ON FALLS UP TO 0.25%$2,720THE SAME ON FALLS OF 1.00% OR MORE$720SESSIONS WHERE THE THINNING HELD35 of 37›▤Stop-loss slippage: the spread widens with the drop that triggers itMarket structure · Measured Apr 2, 2025 – Jul 27, 2026 · 38 sessionsMEAN QUOTED SPREAD WHEN THE TAPE DROPS 1.00% OR MORE IN ONE SECOND2.11%THE SAME ON DROPS UP TO 0.25%0.50%MEDIAN DISTANCE FROM THE LAST PRINT DOWN TO THE BID0.12%›▤Top gainers by percent or by dollar volume: the same day, two lists that share 9 names out of 50Market structure · Measured Jun 26 – Aug 21, 2026 · 40 sessionsSHARED NAMES IN THE TWO TOP-50 LISTS9 of 50VERSUS TWO RANDOM DRAWS1.29xMEDIAN PRICE, BY-PERCENT VS BY-TURNOVER$5.92 vs $40.07›▤Premarket trading measured: 0.65% of the day's volume, and 90% of its minutes never tradeMarket structure · Measured Aug 7 – Aug 20, 2026 · 10 sessionsPREMARKET SHARE OF DAILY DOLLAR VOLUME0.65%PREMARKET MINUTES WITH ANY TRADE33 of 330DOLLAR VOLUME PER TRADED MINUTE10.2x lower›▤Relative volume (RVOL) in day trading: how to calculate it, and how to check your data is rightMarket data · Measured Aug 20, 2026 · 60 US stocks trading over a million sharesSTOCKS MATCHING EXCLUDES-TODAY59 of 60MEDIAN RELATIVE ERROR0.02%ALTERNATIVE HYPOTHESIS5.5%›▤Yahoo Finance Top Gainers missed all 15 of the day's biggest movers — we checked 5,077 stocksMarket data · Measured Aug 20, 2026 · one full US sessionSTOCKS IN THE LIST78STOCKS IN THE MARKET THAT DAY5,077TOP 15 MOVERS PRESENT0›▤How much do day trading commissions cost? Four US brokers, 36,947 real tradesCosts · Measured Oct 29, 2024 – Jan 26, 2026 · 310 sessions$1,000 ORDER COMMISSION-FREE0.35bpSAME ORDER IBKR PRO FIXED24.04bpRATIO68.7x›▤The opening 30 minutes is the easiest day trading window, not the only oneExecution · Measured Jul 15 – Jul 31, 2026 · 13 recorded sessionsOPENING RATIO, $5-201.56xMINUTES CLEARING COST, OPEN56%…AT THE CLOSE41%›▤The last price is not a price you can trade atData quality · Measured Apr 2, 2025 – Jul 31, 2026 · 264 recorded sessionsFLAGGED BY A FLAT RULE1.90%LEFT AT 10X THE SPREAD0.22%STILL UNEXPLAINED0.05%›▤The quoted price is only good for about $1,200 to $5,200: order book depth measuredExecution · Measured Apr 2, 2025 – Jul 31, 2026 · 264 recorded sessionsAT THE BEST OFFER$1.2k-$5.2kWITHIN 25BP$1.9k-$43.9kTOP LEVEL SHARE3.9-6.3%›▤46% of a recorded trading day contained no new information: market data quality measuredData quality · Measured Apr 2, 2025 – Jul 31, 2026 · 264 recorded sessionsDEAD MINUTES, FIXED LIST46%SCANNER-PICKED8%LONGEST STALL359 min›▤What day trading a US stock really costs: 35 million quotes measuredExecution · Measured Apr 2, 2025 – Jul 31, 2026 · 264 recorded sessions$5K BUY, $5-20 STOCK38bpQUOTES AT ONE CENT32.2%$25K UNFILLABLE28.7%›▤Half the stocks on your day trading watchlist at 09:35 are gone by 10:00Market Discovery · Measured Jul 20 – Jul 31, 2026 · 10 recorded sessionsTHROUGH 30 SLOTS140 symbolsSTILL THERE AT 10:0057%AT THE CLOSE33%›