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Daily TAQ (2012) now here - stock market data at the millisecond level

Published by Mark Bodnar

Calling all market-microstructure researchers!

We are very pleased to announce that SFU researchers now have access to Daily TAQ (Trade-and-Quote) data with time stamps at the millisecond level.  We've purchased the Daily TAQ data for 2012 (full calendar year) and made it available via our WRDS dataset interface.

Note that we are treating this purchase as a trial -- although the millisecond-level data from 2012 is here to stay, we will be tracking usage and outcomes to help determine if we should buy future years of the data.  If you use this data for a publication or an assignment, please do let us know!  Carla Graebner (Economics): cgraebne@sfu.ca & Mark Bodnar (Business): mbodnar@sfu.ca

More on TAQ data:

  • What is the Daily TAQ Data? Daily TAQ is a historical data product that offers complete trade and quote data of all activity within the U.S. National Market System. All timestamps are provided at millisecond granularity.
  • What is the difference between the Monthly TAQ data and the Daily TAQ data? Daily TAQ Data includes additional fields as published by the SIPs on the CTA and UTP real-time feeds. Most significantly, Daily TAQ is time stamped to the millisecond whereas Monthly TAQ is time stamped only to the second. (Note: SFU also has the Monthly TAQ product from 1997-present via WRDS.)

(These, and a great many other FAQs, manuals, videos, and guides for TAQ are available within WRDS.  Make sure you do some reading before you start searching as result sets in Daily TAQ can quickly reach dozens of MB in size.)

And if you like that, can we interest you in some Tick Data and EBS FX data...?

  • SFU researchers also have access to Tick Data: several years of both the Futures & Indexes section and the Options section. Tick Data is installed on Standalone Computer #2 near the Ask Us Desk in the Bennett (Burnaby) Library.  For more on this product, see the publisher's webpages on Futures, Options, and Indices.
  • And the same standalone computer has incredibly detailed EBS FX (foreign exchange) data -- covering historical trading activity on ICAP's electronic EBS platform.  See the publisher's page for more details.  (Accessing EBS data is currently complicated. Please contact us (addresses above) if you need to use it.)