NYSE offers a suite of historical Proprietary market data products that cover a comprehensive history, including all historical versions of its top of book (trades & quotes) from U.S. exchanges for all securities; and, depth-of-book products for its proprietary data feeds for the markets that it operates (NYSE, NYSE MKT, and NYSE ARCA). NYSE offers flexible delivery and access options through FTP, online and email delivery. NYSE historical market data products can be delivered in a range of formats including XML, Excel and TXT formats on a T+1 basis.
For facilitation of academic research on the equities markets and potential market reforms, NYSE is immediately increasing the discounts it offers to accredited academic institutions on its historical market data products. NYSE will provide accredited academic institutions an academic discount of 80 percent or more for most NYSE historical market data products. The discounts will be limited to faculty and students of qualifying accredited academic institutions using the data for independent academic research, academic journals and other publications, teaching, or other educational purposes.
Eligible NYSE Historical Products
Top of Book (Trades & Quotes)
- 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. Historical data available as of 1993-present
Depth of Book
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. Data available: 1/2002 - present
- 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. Data available: 2/2007 - present
- 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. Data available: 7/2008-present
- 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 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 Arca Trades - TAQ NYSE Arca Trades provides detailed execution data for all transactions handled by NYSE Arca. Data available: 10/2004 – present
- 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. Historical data available as of 5/2012-present
- TAQ NYSE MKT 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. Historical data available as of 1/24/2002-present.
- TAQ NYSE MKT Order Imbalance - The NYSE MKT Order Imbalance data feed enhances the transparency of the NYSE MKT market and improves the quality of opening and closing auctions. This product is a real-time publication of buy and sell imbalances sent at specified intervals throughout the trading day for all NYSE MKT listed securities. Historical data available as of 7/2008-present.
- TAQ NYSE Bonds - Orderbook and trade data for NYSE Bonds. Data available: 2007- present
- TAQ NYSE Group Short Sales - 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. The package also includes a daily report of short volume for NYSE, NYSE Arca, and NYSE Amex.
- NYSE Volume Summary - Detailed breakdown of NYSE and NYSE MKT Trading activity by share size, number of trades, short sales, odd-lot volume, VWAP, etc. Data available as of 4/1/2004 - present
Summary Data Products
- NYSE Volume Summary - Detailed breakdown of NYSE and NYSE MKT Trading activity by share size, number of trades, short sales, odd-lot volume, VWAP, etc. Dates Available 4/2004 - present. The package also includes the National Market Volume Summary which provides daily total trades, volume, and dollar volume by market center (exchange) in each NYSE-traded issue.
- TAQ NYSE Closing Prices - The file contains Symbol, CUSIP, ExchangeID, Open, High, Low, Last, Net Change, Total Volume & Last Trade. Dates Available 11/1/2001 - present.
Coming Soon - New Products Historical Products
- New Depth of Book products for TAQ NYSE Integrated Feed and TAQ MKT Integrated Feed
Please contact Sales-PDP@TheIce.com for more information