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.

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 becomes effective April 8, 2013).

Historical information is available for an additional fee. The daily files are in ASCII format.

TAQ Frequently Asked Questions

Product Guid: 
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  • Direct Access Includes first user

    $1,500.00 / month

    Bulk Pricing Discounts

    months historical data from NYSE Euronext
    x
    See Details
    months historical data from an Authorized Vendor
    x
    See Details

  • Add'l Users

    $600.00/ user

    Enterprise License

    Share the data within your firm
    $1,500.00 / mo.

  • Redistribution License

    Redistribute the data to
    other Firms / mo.
    x
    Redistribute the data to
    other Users / mo.
    x
    See Details
    Redistribute the data in display form
    $1,000.00 / mo.
    Unlimited Display Fee
    Redistribute Extracts of the data
    $5.00 each
    Extract Fee
Included Data:
Regulation SHO Data
Daily Trades File
Daily TAQ Master File (Beta)
Daily TAQ Master File
Daily Quote and Trade Admin Message File
Daily NBBO File
Daily Quotes File
Market Covered
NYSE, All CTA Participating Markets
Instruments Covered
Equities

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 its Short Sale data to users of NYSE historical TAQ at no additional fee. See the specifications for 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.

Text
Sample data is available from our FTP server at ftp.nyxdata.com/Historical%20Data%20Samples/

FTP Download. Data is available for download via FTP.

Daily TAQ Master File (Beta)

New BETA file: all master securities information in NYSE-listed and non-listed stocks. See the specifications for details.

Sample Data
Sample data is available from our FTP server at ftp.nyxdata.com/Historical%20Data%20Samples/

FTP Download. Data is available for download via FTP.

Daily TAQ Master File

All master securities information in NYSE-listed and non-listed stocks, including Primary Exchange Indicator. See the specifications for details.

Text
Sample data is available from our FTP server at ftp.nyxdata.com/Historical%20Data%20Samples/

FTP Download. Data is available for download via FTP.

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 is scheduled to go live with phase 1 on April 8, 2013. See the Specification for the full list of fields.

FTP Download. Data is available for download via FTP.

Daily NBBO File

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.

Text
Sample data is available from our FTP server at ftp.nyxdata.com/Historical%20Data%20Samples/

FTP Download. Data is available for download via FTP.

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.

Text
Sample data is available from our FTP server at ftp.nyxdata.com/Historical%20Data%20Samples/

FTP Download. Data is available for download via FTP.

Authorized Vendors

Tick Data, Inc.
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Tick Data provides historical intraday time series data. For over 18 years, traders and analysts have relied on Tick Data to remove the frustration of building and maintaining an historical database.
Thomson Reuters
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Thomson Reuters is the premier provider of data and analytical solutions to the investment management industry.
NYSE Euronext
Wharton Research Data Services - Academics
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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.
Francis Emory Fitch, Inc.
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