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TRADE AND QUOTE (TAQ) DATABASE

Contents


Availability

The Trade and Quote (TAQ) database is available to Kellogg faculty and doctoral students. The preferred access method is through Wharton Research Data Services (WRDS).

The CDs are also available for use in a personal workstation (Kellogg faculty and doctoral students only). Note that each month of data takes several CDs (up to 23); starting in July 2002, the data is in DVDs.

Description

The Trade and Quote (TAQ) database is a collection of intraday trades and quotes for all securities listed on the New York Stock Exchange, American Stock Exchange, Nasdaq National Market System and SmallCap issues.

TAQ provides historical tick by tick data of all stocks listed on NYSE back to 1993. It does not include: (i) aggregate indexes; (ii) transaction data reported outside the Consolidated Tapes hours of operation (8:00am to 6:30pm EST since August 2000); or (iii) trading in NYSE-listed securities between 8:00am and 9:30am by other markets.

Vendor information

New York Stock Exchange, Inc.
NYSE Market Data Services
11 Wall Street, 21st Floor
New York, NY 10005

Accessing TAQ

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