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

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FHLMC Reports

FHLMC Reports

  • Product Type Reference Historical
  • Market NYSE
  • Asset Class Bonds Government Bonds Stock
  • Data Type Reference Trades / Last Sale

FNMA 360 Fixed Rate Mega

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FNMA Active DUS MBS Files

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FNMA ARM Factor

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FNMA DISCOUNT MBS

FNMA DISCOUNT MBS

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FNMA Factor and Quartile Files

FNMA Factor and Quartile Files

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FNMA Final Data Statements

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FNMA Fixed Rate Factor

FIXED RATE MORTGAGE (FRM) MBS Factors

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FNMA Geographical Stats

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FNMA Interest Only Disclosure

FNMA Interest Only Disclosure

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FNMA Monthly Collateral Summary

FNMA Monthly Collateral Summary

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FNMA Multifamily Yield Maintenance Factor

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FNMA Pool Statistics (Daily )

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FNMA Quartile - Adjustable Rate

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FNMA Quartile - Fixed Rate

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FNMA REMIC Factors

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FNMA SMBS Factors

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FNMA Supplemental Disclosures

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

FNMA-GNMA Backed Megas

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

GNMA Consolidated Daily Disclosure File

GNMA Consolidated Daily Disclosure File

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

GNMA Consolidated Disclosure Data (Daily & Monthly)

  • Product Type Historical Reference
  • Market NYSE
  • Asset Class Stock Bonds Government Bonds
  • Data Type Trades / Last Sale Reference

GNMA HECM HMBS Disclosure Data (Loan Level, Daily & Monthly)

  • Product Type Reference Historical
  • Market NYSE
  • Asset Class Bonds Government Bonds Stock
  • Data Type Reference Trades / Last Sale

GNMA HECM HMBS Disclosure File

GNMA HECM HMBS Disclosure File

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

GNMA HMBS Disclosure Data (Pool Level, Daily & Monthly)

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

GNMA I & II Final Factors

  • Product Type Reference Historical
  • Market NYSE
  • Asset Class Bonds Government Bonds Stock
  • Data Type Reference Trades / Last Sale

GNMA ISSUER N&A

GNMA ISSUER N&A

  • Product Type Historical
  • Market NYSE
  • Asset Class Stock
  • Data Type Trades / Last Sale

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(OTC), and Regionals for the previous trading day.

      • Product Type Historical Reference
      • Market All CTA Participating Markets NYSE
      • Asset Class Equities
      • Data Type Trades / Last Sale Quotes / Best Bid & Offer Master File Administrative
      • Additional Details
        • 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.

          • Product Type Historical
          • Market All CTA Participating Markets
          • Asset Class Equities
          • Data Type Trades / Last Sale

          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.

          • Product Type Historical
          • Market All CTA Participating Markets
          • Asset Class Equities
          • Data Type Quotes / Best Bid & Offer

          Daily TAQ Master File

          Master list of securities for the trade and quote files

          • Product Type Reference
          • Market All CTA Participating Markets
          • Asset Class Equities
          • Data Type Master File

          Daily TAQ Master File (Beta)

          • Product Type Reference
          • Market All CTA Participating Markets
          • Asset Class Equities
          • Data Type Master File Administrative

          Daily NBBO File

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

          • Product Type Historical
          • Market All CTA Participating Markets
          • Asset Class Equities
          • Data Type Quotes / Best Bid & 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.

          • Product Type Reference
          • Market All CTA Participating Markets
          • Asset Class Equities
          • Data Type Administrative

          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.

          • Product Type Historical
          • Market NYSE
          • Asset Class Equities
          • Data Type Trades / Last Sale

          TAQ Admin Messages

          A capture of all Administrative messages published over CTA and UTP

          • Product Type Reference
          • Market All CTA Participating Markets
          • Asset Class Equities
          • Data Type Administrative

      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.

      • Product Type Historical
      • Market All CTA Participating Markets NYSE
      • Asset Class Equities
      • Data Type Trades / Last Sale Quotes / Best Bid & Offer
      • Additional Details
        • 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.

          • Product Type Historical
          • Market All CTA Participating Markets
          • Asset Class Equities
          • Data Type Trades / Last Sale Quotes / Best Bid & Offer

          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.

          • Product Type Historical
          • Market NYSE
          • Asset Class Equities
          • Data Type Trades / Last Sale

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.

  • Product Type Historical
  • Market NYSE Arca
  • Asset Class Equities Stock
  • Data Type Trades / Last Sale Depth of Book

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.

      • Product Type Summary
      • Market NYSE Arca
      • Asset Class ETFs
      • Data Type Trading Summaries

      TAQ NYSE Arca Trades

      Product Price

      Direct Access Fee:$500

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

      • Product Type Historical
      • Market NYSE Arca
      • Asset Class Stock Equities
      • Data Type Trades / Last Sale
      • Additional Details
        • TAQ NYSE Arca Trades XDP

          • Product Type Historical
          • Market NYSE Arca
          • Asset Class Stock
          • Data Type Trades / Last Sale

          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).

          • Product Type Historical
          • Market NYSE Arca
          • Asset Class Equities
          • Data Type Trades / Last Sale

          TAQ NYSE Arca Trade Bust

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

          • Product Type Historical
          • Market NYSE Arca
          • Asset Class Equities
          • Data Type Trades / Last Sale

      TAQ NYSE ArcaBook

      Product Price

      Direct Access Fee: $1,000

      NYSE ArcaBook 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.

      • Product Type Historical
      • Market NYSE Arca
      • Asset Class Equities
      • Data Type Depth of Book

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

      Product Price

      Direct Access Fee:$300

      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

      • Product Type Reference
      • Market NYSE
      • Asset Class Equities
      • Data Type Corporate Actions / Dividends

      TAQ NYSE Closing Prices

      Product Price

      Direct Access Fee:$100

      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.

      • Product Type Summary
      • Market NYSE NYSE Arca NYSE MKT
      • Asset Class Equities
      • Data Type Trading Summaries
      • Additional Details
        • TAQ NYSE Closing Prices

          The Closing Prices file includes the Open, High, Low, Last and Total NYSE Volume.

          • Product Type Summary
          • Market NYSE
          • Asset Class Equities
          • Data Type Trading Summaries

          TAQ NYSE Arca Closing Prices

          The Closing Prices file includes the Open, High, Low, Last and Total NYSE Arca Volume.

          • Product Type Summary
          • Market NYSE Arca
          • Asset Class Equities
          • Data Type Trading Summaries

          TAQ NYSE MKT Closing Prices

          The Closing Prices file includes the Open, High, Low, Last and Total NYSE MKT Volume.

          • Product Type Summary
          • Market NYSE MKT
          • Asset Class Equities
          • Data Type Trading Summaries

      TAQ NYSE OpenBook

      Product Price

      Direct Access Fee: $1,500

      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.

      • Product Type Historical
      • Market NYSE
      • Asset Class Equities
      • Data Type Depth of Book
      • 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.

          • Product Type Historical
          • Market NYSE
          • Asset Class Equities
          • Data Type Depth of Book

          TAQ NYSE OpenBook Ultra

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

          • Product Type Historical
          • Market NYSE
          • Asset Class Equities
          • Data Type Depth of Book

      TAQ NYSE Order Imbalance

      Product Price

      Direct Access Fee:$500

      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.

      • Product Type Reference
      • Market NYSE
      • Asset Class Equities
      • Data Type Reference

      TAQ NYSE Short Sales

      Product Price

      Direct Access Fee:$500

      TAQ NYSE Short Sales is a monthly product containing a collection of the month's end of day replay files. The 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.

      • Product Type Historical
      • Market NYSE NYSE MKT
      • Asset Class Equities
      • Data Type Trades / Last Sale
      • Additional Details
        • TAQ NYSE Short Sales

          The TAQ NYSE Short Sale execution file provides all short sale execution that occured in the trading month. This extract is available as a monthly ftp file in pipe dellimited format.

          • Product Type Historical
          • Market NYSE
          • Asset Class Equities
          • Data Type Trades / Last Sale

          TAQ NYSE MKT Short Sales

          • Product Type Historical
          • Market NYSE MKT
          • Asset Class Equities
          • Data Type Trades / Last Sale

      TAQ NYSE Trades

      Product Price

      Direct Access Fee:$500

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

      • Product Type
      • Market
      • Asset Class
      • Data Type

GNMA I & II Preliminary Factors

  • Product Type Reference Historical
  • Market NYSE
  • Asset Class Bonds Government Bonds
  • Data Type Reference Trades / Last Sale

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

      Product Price

      Direct Access Fee: $750
      Enterprise Fee: $1000
      Indirect Access Fee: $500

      Orderbook and trade data for NYSE Bonds

      • Product Type Historical Reference
      • Market NYSE Arca
      • Asset Class Bonds Corporate Bonds
      • Data Type Depth of Book Trades / Last Sale Reference Master File
      • Additional Details
        • TAQ NYSE Bonds Orderbook

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

          • Product Type Historical
          • Market NYSE Arca
          • Asset Class Bonds Corporate Bonds
          • Data Type Depth of Book

          TAQ NYSE Bonds Trades

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

          • Product Type Historical
          • Market NYSE Arca
          • Asset Class Bonds Corporate Bonds
          • Data Type Trades / Last Sale

          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.

          • Product Type Historical
          • Market NYSE Arca
          • Asset Class Bonds Corporate Bonds
          • Data Type Trades / Last Sale

          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

          • Product Type Reference
          • Market NYSE Arca
          • Asset Class Bonds Corporate Bonds
          • Data Type Reference Master File

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.

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    • TAQ Liffe U.S. Level 1

      The TAQ Liffe U.S. Level 1 product includes historical BBO (best bid and offer), last trade, and reference data for all derivatives contracts published on the Liffe real-time data feed.

      • Product Type Historical Reference
      • Market Liffe U.S.
      • Asset Class Derivatives Options Futures
      • Data Type Trades / Last Sale Quotes / Best Bid & Offer Reference Master File
      • Additional Details
        • TAQ Liffe U.S. Level 1

          • Product Type Historical Reference
          • Market Liffe U.S.
          • Asset Class Derivatives Options Futures
          • Data Type Trades / Last Sale Quotes / Best Bid & Offer Reference Master File

          TAQ Liffe U.S. Contract File

          • Product Type Reference
          • Market Liffe U.S.
          • Asset Class Derivatives Options Futures
          • Data Type Master File

          TAQ Liffe U.S. Trades

          • Product Type Historical Reference
          • Market Liffe U.S.
          • Asset Class Derivatives Options Futures
          • Data Type Trades / Last Sale Reference Master File

          TAQ Liffe U.S. Outright File

          • Product Type Reference
          • Market Liffe U.S.
          • Asset Class Derivatives Options Futures
          • Data Type Master File

          TAQ Liffe U.S. Strategy File

          • Product Type Reference
          • Market Liffe U.S.
          • Asset Class Derivatives Options Futures
          • Data Type Master File

      TAQ Liffe U.S. Level 2

      The TAQ Liffe U.S. Level 2 product includes complete historical order book, BBO (best bid and offer), last trade, and reference data for all derivatives contracts available on Liffe U.S.

      • Product Type Historical Reference
      • Market Liffe U.S.
      • Asset Class Derivatives Options Futures
      • Data Type Trades / Last Sale Quotes / Best Bid & Offer Depth of Book Reference Master File
      • Additional Details
        • TAQ Liffe U.S. Level 2

          • Product Type Historical Reference
          • Market Liffe U.S.
          • Asset Class Derivatives Options Futures
          • Data Type Trades / Last Sale Quotes / Best Bid & Offer Depth of Book Reference Master File

          TAQ Liffe U.S. Contract File

          • Product Type Reference
          • Market Liffe U.S.
          • Asset Class Derivatives Options Futures
          • Data Type Master File

          TAQ Liffe U.S. Level 1

          • Product Type Historical Reference
          • Market Liffe U.S.
          • Asset Class Derivatives Options Futures
          • Data Type Trades / Last Sale Quotes / Best Bid & Offer Reference Master File

          TAQ Liffe U.S. Outright File

          • Product Type Reference
          • Market Liffe U.S.
          • Asset Class Derivatives Options Futures
          • Data Type Master File

          TAQ Liffe U.S. Trades

          • Product Type Historical Reference
          • Market Liffe U.S.
          • Asset Class Derivatives Options Futures
          • Data Type Trades / Last Sale Reference Master File

          TAQ Liffe U.S. Strategy File

          • Product Type Reference
          • Market Liffe U.S.
          • Asset Class Derivatives Options Futures
          • Data Type Master File

      TAQ Liffe U.S. Trades

      The TAQ Liffe U.S. Trades product includes time, sales, and reference data for all derivatives contracts published on the Liffe real-time data feed.

      • Product Type Historical Reference
      • Market Liffe U.S.
      • Asset Class Derivatives Options Futures
      • Data Type Trades / Last Sale Reference Master File

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.