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   Daily TAQ   (Historical Trades & Quotes-All CTA Participating Markets)

Daily TAQ (Trade and Quote) provides users with FTP access to all trades and quotes for all issues traded on NYSE, Nasdaq, and Regionals for the previous trading day.

The dataset includes Daily NBBO File, Daily Quotes File, Daily TAQ Master File, and Daily Trades File.

The package now contains the Master File with Primary Exchange Indicator, an NBBO file containing continuous National Best Bid and Offer updates, and Consolidated trades & quotes for all listed and non-listed issues.

A new set of Daily Trades and Quotes Admin Message files contain captures of all Limit-up/Limit-down Price Band messages (which pilot became effective April 8, 2013).

Historical information is available for an additional fee. The daily files are in ASCII format.

TAQ Frequently Asked Questions

Instruments Covered
Equities

Markets Covered
NYSE, All CTA Participating Markets
  • OngoingDirect & indirect

    $3,000 / month
    12 months minimum subscription
    includes 12 months back history

  • Back HistoryDirect & indirect

    Table depicting the pricing options available
    First 12 months $3,000 / month
    12+ months $500 / month
  • Redistribution

    Additional fees apply for redistribution. Please contact sales-pdp@theice.com.

 
Included Data

Regulation SHO Data

Overview
In response to SEC Regulation SHO, SRO’s must make Short Sale transactions data available on a monthly basis for trade dates beginning January 2005 through the pilot period ending April 2006. NYSE has released its Short Sale data to users of NYSE historical TAQ at no additional fee. See the specifications for details.
Specifications

Daily Trades File

Overview
Every trade reported to the consolidated tape, from all CTA participants. Each trade identifies the time, exchange, security, volume, price, sale condition, and more. See the specifications for the full list.
Specifications
Delivery
FTP Download. Data is available for download via FTP.

TAQ Admin Messages-All CTA Participating Markets

Daily TAQ Master File (Beta)

Overview
New BETA file: all master securities information in NYSE-listed and non-listed stocks. See the specifications for details.
Specifications
Delivery
FTP Download. Data is available for download via FTP.

Daily TAQ Master File

Overview
All master securities information in NYSE-listed and non-listed stocks, including Primary Exchange Indicator. See the specifications for details.
Specifications
Delivery
FTP Download. Data is available for download via FTP.

Daily Quote and Trade Admin Message File

Overview
All Limit-up/Limit-down Price Band messages published on the CTA and UTP trade and quote feeds. The LULD trial is scheduled to go live with phase 1 on April 8, 2013. See the Specification for the full list of fields.
Specifications
Delivery
FTP Download. Data is available for download via FTP.

Daily NBBO File

Overview
An addendum to the Daily Quotes file, containing continuous National Best Bid and Offer updates and consolidated trades and quotes for all listed and non-listed issues. See the specifications for details.
Specifications
Delivery
FTP Download. Data is available for download via FTP.

Daily Quotes File

Overview
Every quote reported to the consolidated tape, from all CTA participants. Each quote identifies the time, exchange, security, bid/ask volumes, bid/ask prices, NBBO indicator, and more. See the specifications for the full list.
Specifications
Delivery
FTP Download. Data is available for download via FTP.

Authorized Vendors
NYSE
Daily TAQ - Academic Customers Only
Wharton Research Data Services - Academics
Other Products Website
Wharton Research Data Services -Academics
Wharton Research Data Services (WRDS) is the leading data research platform and business intelligence tool for over 30,000 corporate, academic, government and nonprofit clients at over 375 institutions in 33 countries. WRDS provides the user with one location to access over 200 terabytes of data across multiple disciplines including Accounting, Banking, Economics, Finance, and Statistics. Flexible data delivery options include a powerful web query method that reduces research time, the WRDS Cloud for executing research and strategy development, and the WRDS client server using PCSAS, Matlab, Python and R. Our Analytics team, doctoral-level support and rigorous data review and validation give clients the confidence to tailor research within complex databases and create a wide range of reliable data models. WRDS is the global gold standard in data management and research, all backed by the credibility and leadership of the Wharton School. Founded in 1881 as the first collegiate business school, the Wharton School of the University of Pennsylvania is recognized globally for intellectual leadership and ongoing innovation across every major discipline of business education. With a broad global community and one of the most published business school faculties, Wharton creates economic and social value around the world. The School has 5,000 undergraduate, MBA, executive MBA, and doctoral students; more than 9,000 participants in executive education programs annually and a powerful alumni network of 93,000 graduates.
Thomson Reuters
Other Products Website
Thomson Reuters
website
TQA is the premier provider of high-frequency data and analytics solutions to the investment management industry.
Fitch Data (Francis Emory Fitch, Inc.)
Website
Tick-by-Tick Time & Sales Market Data
website
Provides instant access to a historical database of all listed and non-listed U.S. equities traded on the NYSE, AMEX, NASDAQ and Regional Exchanges dating back to 1968. Our data is updated nightly and custom requests can be processed and delivered in a range formats.
Tick Data, Inc.
Other Products Website
Tick Data
website
Tick Data provides historical intraday time series data. For over several decades, traders and analysts have relied on Tick Data to remove the frustration of building and maintaining an historical database.
Pico Quantitative Trading LLC
Pico Quantitative Trading LLC
website
Pico is a financial technology services firm and an agency only broker dealer established under the business principles of providing distinguished products and services and delivering innovative and pragmatic technology solutions. Pico provides infrastructure, hosting, networking, market data, integration management and software solutions to a diverse financial services client base. Pico's client base encompasses the full spectrum of market participants including proprietary trading groups, market makers, asset managers, banks, broker dealers, hedge fund, technology vendors and liquidity venues. Founded in 2009, we have grown to include over 64 employees in 2 offices and 14 datacenters in the United States, Canada and Europe, providing solutions for every asset class.