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A current awareness resource for students & faculty members in Business & Economics

On very big and very small numbers... millisecond TAQ data from 2003 to yesterday

Published March 17, 2015 by Mark Bodnar

Finance is a world of numbers -- both very large and very small -- so I'll lead off this post about a finance resource with some key numbers:  0.001 and 362,664,000,000.

  • 0.001 : Our Daily Trade-and-Quote (TAQ) database offers intraday transaction data (trades and quotes) for securities, and the data is time stamped at the millisecond level for each transaction. In a world of high-frequency finance where machines and algorithms react to the market, milliseconds count!
  • 362,664,000,000:  As of this week, SFU researchers have access to trade-and-quote data spanning over 362 billion of those milliseconds -- we now have the deep backfile of the Daily TAQ product with data as far back as Sept. 10, 2003, and as far forward as yesterday.

Daily TAQ data is available via the WRDS financial data interface through the SFU Library -- accessible to all current SFU students and faculty.  Note that faculty and graduate level students can also register for WRDS accounts which would allow access to the data through SAS/SPSS -- possibly a more efficient option than the HTML search screen given the size of many TAQ search results.  Small frequencies add up to huge results... more big numbers! -- MarkB P.S.: We plan to evaluate our subscription to Daily TAQ data this summer.  If your research or teaching requires such high-frequency financial data, we'd love to hear from you!

  • Mark Bodnar (Business – Burnaby): mbodnar@sfu.ca
  • Carla Graebner (Economics – Burnaby): cgraebne@sfu.ca
  • Megan Sorenson (Business – Vancouver): megan_sorenson@sfu.ca
  • Ania Dymarz (Business – Surrey): adymarz@sfu.ca

P.P.S.: It took me 900,000 milliseconds to write this post.  Just imagine how many stock trades happened in that time!