1. Trades and Quotes (TAQ)
Intraday trades and quotes
All securities
All U.S. equity exchanges
ISSM from WRDS— (NYSE only)—time stamp seconds
Monthly TAQ—from NYSE—time stamp seconds
via FTP
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

2. 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

3. 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

4. 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