TAQ ("NYSE TAQ")

The NYSE TAQ (“Trades and Quotes”) database consists of intraday transactions from the New York Stock Exchange, American Stock Exchange, Nasdaq, and Smallcap. Data queries are by date range and timestamp. WRDS has specialized hardware for handling queries on these enormous datasets.

Availability

TAQ through 2014 and Millisecond TAQ from 2012 up to the present are accessible through query pages on the WRDS website, and SAS datasets on the WRDS linux server.

WRDS Introduction (includes how to get an account)
WRDS Website (to request an account or to login)
WRDS Without Account (on public terminals in Bobst Library)