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   TAQ NYSE Liffe Index Derivatives Level 1  

The TAQ NYSE Liffe Index Derivatives Level 1 product includes historical BBO (best bid and offer), last trade, end of day summary and reference data for index derivatives published on the NYSE Liffe real-time data feed.

This product allows clients to recreate top of book conditions for any given time period, based on data received in a real-time ticker environment. All data is time-stamped to the millisecond.

NYSE Liffe index derivatives products include the following:

  • Index Futures on FTSE 100, CAC 40, AEX, BEL 20, PSI 20 plus TOPIX and Dividend indices
  • Index Options on FTSE 100, CAC 40, AEX (including weekly and daily options) and BEL 20 indices.

    TAQ data is presented in normalized ASCII pipe-delimited file format. Files are compressed using GZIP, and are provided to clients on a T+1 basis.

    To purchase the Level 2, Trades, End of Day Summary or Reference products individually please click on the links below:

    NYSE Liffe Index Derivatives Level 2

    NYSE Liffe Index Derivatives Trades

    NYSE Liffe Index Derivatives End of Day Summary

    NYSE Liffe Index Derivatives Reference

    For further information

    Global TAQ Historical Data

    Client Specification

    Sample Data

    TAQ Frequently Asked Questions


  • Instruments Covered
    Futures, Derivatives, Options

    Markets Covered
    NYSE Liffe
    • Access Fee

      €500 / mo.

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