TAQ Database Information
Database Name NYSE Trade and Quoting Database
Click on Market Information, then TAQ Database
Overview of the Data
The Trade and Quote database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National Market System (NMS) and Small Cap issues.
The Finance Department maintains a current subscription to this data.
How to Access This Data
TAQ datasets are contained on CDs and DVDs that are held by the Data Czar. We receive new TAQ data periodically from the New York Stock Exchange. If you would like to access or look at the TAQ data, email the Data Czar to set up a time when you can meet with him to retrieve the data disks you are looking for. Before retrieving the data disks, it is necessary to know the relevant dates of the data that you are interested in.
Once you have the relevant data disks, data can be extracted from them using a windows application called TAQ2.exe. This application can be downloaded directly from the NYSE website. If for some reason this link does not work, TAQ2.exe can be downloaded from the TAQ Database website, accessed by following the directions above.
After downloading TAQ2.exe, unzip the files and install the program on to your computer. You can then use TAQ2.exe to easily create research "jobs" that will pull specified data items for specified firms from specified exchanges for specified time frames.
Data is usually exported from TAQ2.exe in a .txt format, which can then be imported in to the software suite of your choice, such as SAS for example.
The TAQ Database Guide is available for download from the TAQ website above, or for Finance Faculty and Grad Students, the guide can be accessed on the Finance Common drive, which for most departmental computers is located at: S:\dataczar\TAQguide.