NASTRAQ: Nasdaq Trade and Quote Data

Description     Issues or Changes     Access & Installation     Documentation 

Description

The NASdaq Trade And Quote database provides intraday trades and quotes for all Nasdaq stocks. Nastraq stands for North American Securities Tracking and Quantifying system. It is a sophisticated software application that can build and update an Access-compatible database of the closing price histories of all securities traded on the NASDAQ, AMEX, NYSE and OTCBB markets (strictly those whose closing price histories are available on the NASDAQ web site). It also includes the histories of some 14 other indexes. Currently the database contains 5,004 NASDAQ, 1,000 AMEX, 3,614 NYSE, and 4693 OTCBB securities or indexes all with full history. This means an historical database (up to 96 months) of all significant stocks traded worldwide (because non-US securities are traded in the US as American Depository Receipts). The database can be put on any modern home PC and comes with an extensive suite of pre-configured analysis software. 

The Nastraq program makes it easier for you to get better and more detailed information about quotes and trades on the NASDAQ Stock Market. The data is stored on CD-ROM in MS Access format. This program provides an easy interface to retrieve the particular stocks you want for whatever date range you have available. For detailed data information, go to documentation or the vendor site. 

Data Year
  • Nastraq program files:   January 1999 - December 2003   
  • eNastraq data files:   January 2004 - December 2007
     
Update Schedule The product is currently distributed approximately eight weeks after the last trading day of each month. 

File Descriptions

There are three different types of data that you can retrieve from Nastraq: Trade, Inside Quote, and Dealer Quote. For eNastraq, there are five different types of data that you can retrieve:

  • NASDAQ Dealer Quotes  
        This data will provide Market Participant quote changes in SuperMontage.
  • NASDAQ Inside Quote  
        This data will provide Inside quote changes in SuperMontage.
  • NASDAQ Trades  
        This data will provide Trades reported to Nasdaq.
  • UTP Trades  
        This data will provide Trades reported to Nasdaq and other markets (consolidated).
  • UTP Inside Quotes  
        This data will provide Inside quote changes for SuperMontage and other markets (consolidated).

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Issues or Changes

Due to a change in the data being captured by NASDAQ, the format for the NASDAQ Inside Quotes and the NASDAQ Dealer Quotes files has changed slightly, effective May 24, 2004. 

Beginning in January 2004, the Nastraq v3.1 program in MS Access is no longer supported. The eNASTRAQ data CD-ROM in Comma Delimited Text format becomes available. For more complete information, please visit our web site or the vendor site. 

Prior to December 2003, data was stored on CD-ROM in MS Access format. The Nastraq program provides an easy interface to retrieve the particular stocks you want for whatever date range you have available. You can export the data into Access, Ascii, dBase, Excel, and other different formats. There are three different types of data that you can retrieve: Trade, Inside Quote, and Dealer Quote.

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Access & Installation

The eNastraq data is delivered in text format only. The data files are located on our research server at R:/cb_data/Nastraq/ or R:/cb_data/enastraq/. Either Nastraq application or SAS-Nastraq interface program set up is required. Users can simply go to the server and copy or download the data as needed. (Make sure the research server is connected on your computer.)


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eNastraq Documentation

 

     

(Last update 06/10/2010)     (back to top)

Documentation