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   Daily TAQ   (Historical Trades & Quotes)

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
  • Direct Access

    $1,500 /mo.

    Bulk Pricing Discounts

    months historical data
    from NYSE
    $3,100
    3 x Direct Access Fee
    See Details
    months historical data
    from an Authorized Vendor
    $1,600
    3 x Indirect Access Fee
    See Details
  • Add'l Users

    $600/ user

    Enterprise License

    Share the data within your firm $1,500 /mo.
    Enterprise Fee
  • Redistribution License

    Redistribute the data to
    other Firms
    $4,500 /mo.
    3 x Enterprise Fee
    Redistribute the data to
    other Users
    $1,600 /mo.
    3 x Indirect Access Fee
    See Details
    Redistribute the data
    in display form
    $1,000 /mo.
    Unlimited Display Fee
    Redistribute Extracts of the data $100 each
    Extract Fee
 
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

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.

Related Products in Other Markets
There is no product related in the other market at this time
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 comprehensive, internet-based data and research service used by academics. WRDS manages the data and delivers it in a seamless, unified, and consistent form. WRDS provides the user with one location to access over 200 terabytes of data. WRDS provides flexible data delivery options including executing research and strategy development on the WRDS computing cloud. WRDS, the global standard for research, is recognized by prominent universities around the world as the leading business intelligence tool.
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.
Wharton Research Data Services - Commercial
Website
Wharton Research Data Services - Commercial
Wharton Research Data Services (WRDS) is the leading comprehensive, internet-based data and research service used by academic, government, non-profit institutions and corporate firms. WRDS manages the data and delivers it in a seamless, unified, and consistent form. WRDS provides the user with one location to access over 200 terabytes of data across multiple disciplines including Finance, Marketing, and Economics. WRDS provides flexible data delivery options including executing research and strategy development onthe WRDS computing cloud. WRDS,the global standard for business research, is recognized by prominent universities, research institutions, and corporate firms around the world as the leading business intelligence tool.
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.
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Frequently Asked Questions
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