Data Products By Type: Historical Data

Complete tick-by-tick data for Trades, Quotes, and Depth of Book data

FHLMC Giant Collateral GNMA Report

FHLMC GIANT COLLATERAL REPORT GNMA

FNMA DISCOUNT MBS

FNMA DISCOUNT MBS

FNMA Fixed Rate Factor

FIXED RATE MORTGAGE (FRM) MBS Factors

FNMA Interest Only Disclosure

FNMA Interest Only Disclosure

FNMA Monthly Collateral Summary

FNMA Monthly Collateral Summary

GNMA Consolidated Daily Disclosure File

GNMA Consolidated Daily Disclosure File

GNMA HECM HMBS Disclosure File

GNMA HECM HMBS Disclosure File

GNMA ISSUER N&A

GNMA ISSUER N&A

NYSE ReTrac ProTrac EOD

At approximately 8:00PM each day, a file will be made available that contains a summary of the ReTrac activity during the day for each stock and identifies the volume of retail buy and sell shares executed on the NYSE. At approximately 8:00PM each day, there is also a file made available that includes a summary of all program trading activity for each stock and identified the amount that was executed for all index arbitrage program trades from that of all non-index arbitrage program trading.

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    • NYSE ProTrac EOD Replay

      A replay of the program trading datafeed.

      NYSE ProTrac EOD Summary

      A summary of all program trading activity for each stock identifying the total amount of shares that was executed for each stock through index arbitrage program trading vs. all other program trading strategies.

      NYSE ReTrac EOD Replay

      A replay of the retail trading datafeed.

      NYSE ReTrac EOD Summary

      A summary of all program trading activity for each stock identifying the total amount of shares that was executed for each stock through index arbitrage program trading vs. all other program trading strategies.

TAQ CTA Products

TAQ CTA products provide monthly, daily, intraday, and customizable access to trades and quotes for all issues listed on NYSE, Nasdaq (OTC), and Regional Exchanges.

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    • Daily TAQ

      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.

      • Additional Details
        • Daily NBBO File

          An addendum to the Daily Quotes file, indicating the National Best Bid and Offer

          Daily Quote and Trade Admin Message File

          All Limit-up/Limit-down Price Band messages published on the CTA and UTP trade and quote feeds. The LULD trial commenced on April 8, 2013.

          Daily Quotes File

          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.

          Daily TAQ Master File

          Master list of securities for the trade and quote files

          Daily Trades File

          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.

          Regulation SHO Data

          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 it's TAQ NYSE Short Sale data to users of Monthly TAQ at no additional fee.

          TAQ Admin Messages-All CTA Participating Markets

          A capture of all Administrative messages published over CTA and UTP

      Monthly TAQ (Decommissioned on 12/31/2014)

      Monthly TAQ provides users with access to all trades and quotes for all stocks listed on NYSE, NYSE Arca, NYSE MKT, NASDAQ and all regional markets for the previous month.

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        • Monthly TAQ (Trade and Quote Detail)

          Monthly TAQ provides users with access to all trades and quotes in NYSE-listed and non-listed stocks for the previous month. This product includes a 32-bit Windows program for retrieving trades and quotes for specific days and ticker symbols. Academic Institutions can apply for a discount on only TAQ dataset.

          Regulation SHO Data

          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 it's TAQ NYSE Short Sale data to users of Monthly TAQ at no additional fee.

TAQ NYSE Arca Integrated Feed

TAQ NYSE Arca Integrated Feed data is available on a historical/end-of-day basis in flat file format, which enables users to see the depth of book (with add, modify, delete orders), trades (with corrections and cancel/errors), order imbalance, and security status messages.

TAQ NYSE Arca Products

TAQ NYSE Arca products provide full visibility of transactions that occur on NYSE Arca or NYSE ArcaEdge (OTCBB securities).

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    • NYSE Arca EOD ETF Report

      Product Price

      Direct Access Fee:$200

      The Arca EOD Index Report provides statistics for NYSE and NYSE Arca listed ETFs.

      TAQ NYSE Arca Trades

      TAQ NYSE Arca Trades provides detailed execution data for all transactions handled by NYSE Arca.

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        • TAQ NYSE Arca Trade Bust

          Trade bust information, which can be mapped to the original trade message, is also available.

          TAQ NYSE Arca Trades

          TAQ NYSE Arca Trades includes trades executed on NYSE ArcaBook, with an external market center, and orders which "crossed" on NYSE Arca. All orders are time stamped in milliseconds and contain a unique reference number enabling users to track the lifecycle of an order — from entry to execution or cancel. Execution reports indicate whether the order was executed against another order on the NYSE Arca system or executed against an external market center (e.g., ITS or Instinet).

TAQ NYSE Integrated Feed

TAQ NYSE Integrated Feed data is available on a historical/end-of-day basis in flat file format, which enables users to see the depth of book (with add, modify, delete orders), trades (with corrections and cancel/errors), order imbalance, stock summary and security status messages.

  • Additional Details
    • Stock Summary

      In a separate file, the Stock Summary Message per symbol includes msg type 223, sequence number, source time, high price, low price, open, close, and total volume.

      TAQ NYSE Integrated Feed

      Depth of book (with add, modify, delete orders), trades (with corrections and cancel/errors), order imbalance, and security status messages.

TAQ NYSE MKT Integrated Feed

TAQ NYSE MKT Integrated Feed data is available on a historical/end-of-day basis in flat file format, which enables users to see the depth of book (with add, modify, delete orders), trades (with corrections and cancel/errors), order imbalance, stock summary and security status messages.

  • Additional Details
    • Stock Summary

      In a separate file, the Stock Summary Message per symbol includes msg type 223, sequence number, source time, high price, low price, open, close, and total volume.

      TAQ NYSE MKT Integrated Feed

      Depth of book (with add, modify, delete orders), trades (with corrections and cancel/errors), order imbalance, and security status messages.

TAQ NYSE MKT Trades

The TAQ NYSE MKT Trades file provides data on all NYSE Last Sale's printed throughout the trading day for all NYSE MKT-traded securities.

  • Additional Details
    • Stock Summary

      In a separate file, the Stock Summary Message per symbol includes msg type 223, sequence number, source time, high price, low price, open, close, and total volume.

      TAQ NYSE MKT Trades XDP

      XDP format of TAQ NYSE Trades. TAQ NYSE Trades provides each NYSE Last Sale printed throughout the trading day for all NYSE-traded securities.

TAQ NYSE Products

TAQ NYSE products provide full visibility of transactions that occur on NYSE. Full order book and trades data is supplemented with offerings on volume, security status, order imbalances, and more.

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    • TAQ NYSE Alerts

      The TAQ NYSE Alerts file is available at approximately 6:00pm each trading day and reports all of the day’s status messages regarding halts, MOC/LOC imbalances and pre-opening indications for both NYSE listed and NYSE AlterNext listed stocks. The TAQ NYSE Alerts file is available in Text & Excel formats and can be delivered via email, FTP, or Downloaded from the website. Data available: 6/2003 - present

      TAQ NYSE Closing Prices

      The TAQ Closing Prices files are available at approximately 4:30pm each trading day and show the Open/High/Low/Last prices and Total Volume for all NYSE-listed, NYSE Alternext US-listed (NYSE MKT) and NYSE Arca listed issues as of the 4:00pm close. Issues are separated into files based on the listed exchange venue.

      TAQ NYSE OpenBook

      TAQ NYSE OpenBook data is available on a historical/end-of-day basis in flat file format, which enables users to recreate the limit order book for any given time.

      • Additional Details
        • TAQ NYSE OpenBook

          Daily files available via FTP containing all NYSE OpenBook and NYSE Liquidity Quote data for previous day's trading. OpenBook data is available as of 1/24/02.

          TAQ NYSE OpenBook Ultra

          Daily files available via FTP containing all NYSE OpenBook Ultra data for the previous day's trading.

      TAQ NYSE Order Imbalance

      TAQ NYSE Order Imbalance provides information from the NYSE Order Imbalance Data feed. The NYSE Imbalance Data feed publishes opening and closing imbalances automatically at specified intervals throughout the trading day for all NYSE listed securities, which greatly enhances market transparency and improves the quality of opening and closing auctions.

      TAQ NYSE Group Short Sales

      TAQ NYSE Group Short Sales is a monthly product containing a collection of the month's end of day replay files. The monthly TAQ NYSE Short Sale files provide investors the ability to identify short sale behaviors at the NYSE by monitoring the short sale execution share volume for each stock. The monthly TAQ NYSE Short Sales and TAQ MKT Short Sales are made available for the current month on the first of the following month.

      TAQ NYSE Trades

      The TAQ NYSE Trades file provides data on all NYSE Last Sale's printed throughout the trading day for all NYSE-traded securities

TAQ NYSE Bonds Products

NYSE Bonds historical data is a unique offering that provides full visibility in the NYSE Bond market (formerly known as ArcaBook for Bonds), where real-live quotes are captured and made available for market participants to analyse. Customers can choose from OrderBook and trade details from as early as 2006.

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    • TAQ NYSE Bonds

      Orderbook and trade data for NYSE Bonds

      • Additional Details
        • TAQ NYSE Bonds Bond Master

          The Bond Master file provides comprehensive information about the bonds being traded such as: Bond Symbol, Issuer Name, CUSIP ID, Interest Rate, Maturity Date, Face Value, Underlying, Alt Symbol, Suffix, Issue type, Bypass Clearing, Currency Code, Flat, Bankrupt, and Exchange

          TAQ NYSE Bonds Orderbook

          The orderbook file includes all quotes from the NYSE Bonds Matching Engine throughout the trading day.

          TAQ NYSE Bonds Trade Bust

          The Trade Bust message identifies trades that were busted after the execution was reported. These messages can be mapped to the original trade message using the sequence number.

          TAQ NYSE Bonds Trades

          The trades file includes all executed trades throughout the trading day.

TAQ Liffe U.S. Products

Liffe U.S. historical data allows clients to recreate both market and order book conditions based on data received in a real-time ticker plant environment. TAQ Liffe U.S. provides clients with full visibility into the Liffe U.S. market to either develop and deploy profitable trading strategies or gain an in-depth understanding of Liffe U.S. market dynamics. The Level 2, Level 1, and Trades offerings include: Interest Rate Derivatives, Equity Index Derivatives, and Commodity Derivatives.

TAQ Options U.S. Products

TAQ Options U.S. covers regional options exchange quotes, options time & quotes, concomitant stock data, options time & sales, U.S. Options & Equity derivatives quotes at 1 minute and 15 minutes intervals with intraday and EOD calculations.