Trades and Quotes (TAQ)

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Presentation transcript:

Trades and Quotes (TAQ) Intraday trades and quotes All securities All U.S. equity exchanges ISSM from WRDS—1983-1992 (NYSE only)—time stamp seconds Monthly TAQ—from NYSE—time stamp seconds 1993-2003 via FTP 2004-2012 on CDs Daily TAQ—from NYSE (growing 0.75 terabytes monthly) May 2012 to present via FTP Millisecond to June 2015; microsecond to October 2016; nanosecond thereafter Includes NBBO

Intraday trades and quotes TotalView-ITCH Intraday trades and quotes Nasdaq only All securities Time stamped to nanosecond Unique order ID Number of shares and price

TotalView-ITCH Can build the limit order book because ITCH includes: Unique order ID Number of shares and price Message types: B—Add buy order S—Add sell order E—Execute outstanding order in part C—Cancel outstanding order in part F—Execute outstanding order in full D—Delete outstanding order in full X—Bulk volume for the cross event T—Execute non-displayed order

Nikkei Economic Electronic Databank System (NEEDS) All listings on the Tokyo Stock Exchange (and several minor exchanges) Includes: Trades—price and number of shares Quotes (bid and ask)—price and number of shares Various codes: Special quotes Continuous or batch trading