Description Issues or Changes Access & Installation Documentation
The Trade and Quote (TAQ) database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE), American Stock Exchange (AMEX), NASDAQ National Market System (NMS) and SmallCap issues. For detailed information and data formats, go to documentation or the vendor site.
TAQ3.EXE has been released with the January 2005 DVD set. See Issues or Changes for details.
The product is currently distributed approximately eight weeks after the last trading day of each month.
- CT Binary File (Tyyyymmx.BIN) The Consolidated Trade binary file.
- CT Index File (Tyyyymmx.IDX) The Consolidated Trade index file.
- CQ Binary File (Qyyyymmx.BIN) The Consolidated Quote binary file
- CQ Index File (Qyyyymmx.IDX) The Consolidated Quote index file.
- The Master Table (Myyyymm.tab) The master table contains reference information about the stocks in the trade and quote files.
- The Dividend File (Dyyyymm.TAB) The dividend file, Dyyyymm.TAB, contains one record for each symbol that either paid a dividend or redistributed stock during the month.
TAQ does not include transaction data that is reported outside of the Consolidated Tape hours of operation. As of November 1999, those hours are 8:00am to 6:30pm EST. Trading in NYSE-listed securities between 8:00am - 9:30am by other markets are also not on TAQ.
(back to top)
Issues or Changes
Note on Oct to Dec 2008 idx files:
The idx files for these months had dropped quotes records for some symbols. The files are now replaced and the issue has been resolved.
Note on July 26, 2005: The trade for symbol EMMSP at 9:30:02, 230 shares, at $2000.00, was incorrectly reported by the Nasdaq Stock Market, and should be ignored. The trade was canceled, although it remains in the TAQ file... more on TAQ3 Readme File07/2005.
TAQ3.EXE Program modifications New file formats and documentation for TAQ3.EXE can be found in the TAQOUT directory on R:\cb_programs\taq\TAQ3\.
Notes: Although the PRICE, BID and OFR fields now use less space, there has been no change to the data precision stored on the file. Please note that TSEQ and QSEQ are no longer available after January 2005.
The programs for retrieving trades and quotes for specific days and ticker symbols are available for Windows and DOS environments. (Use TAQ3: 93.09-current. TAQ2: 93.08-2004.12. TAQ-dos: 93.01-93.08.) [more detail]
Periodically, various trading venues post news items regarding outages and that would impact the data on TAQ. The following sites may be helpful:
(back to top)
Access & Installation
All of TAQ data files (93.01-2008.12) are available on MCoB Research server R:/cb_data/taq/. To install the TAQ_DOS or TAQ3 program, go to R:\cb_programs\taq\. For access instruction, click How to access & Install TAQ. 2009 data can be accessed by mapping a drive (using letter B) with the address \\research.business.nd.edu\data1 and then navigating to the folder B:/cb_data/TAQ. To access 2010 to 2013 data please contact the research team.
(back to top)