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ISSM TRANSACTIONS FILE DATABASES
The ISSM transactions file databases provide tick-by-tick data covering the NYSE and AMEX between 1983 and 1992, and NASDAQ between 1987 and 1992. Each year of data is divided into two files, one for trades and one for quotes. For researchers interested in market microstructure, ISSM is complementary to the NYSE's Trade and Quote Database, wich starts in 1993.
For each trade, the record contains the time to the second, price, volume, originating exchange, and condition codes.
For each quote, the record contains bid and ask prices timed to the second, originating exchange, bid and ask size (market depth), condition codes and market maker (for third market quotes).
Supplementary files (available only in skew) include CUSIP numbers, number of trades and quotes for each year, name of firm, issue description, margin/option flag and SIC code.
Institute for the Study of Security Markets
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