Skip to main content
It looks like you're using Internet Explorer 11 or older. This website works best with modern browsers such as the latest versions of Chrome, Firefox, Safari, and Edge. If you continue with this browser, you may see unexpected results.

Finding data

NYSE (TAQ)

Access is provided through the WRDS interface. To get access, you need to enter your institutional email address (that is, the email address ending in '@vu.nl' or '@student.vu.nl') on the WRDS home page. You will receive your Day Pass link from WRDS by mail, usually within a few minutes.

The Day Pass is sufficient for access to the data, both on campus and remotely. In exceptional cases, for example if you need access to the programming backend in WRDS, you need to apply for a personal account. Click 'register' on the top of the WRDS home page, and fill out the form. Bachelor students should apply for a Master account type.

Content

The 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 SmallCap issues. This database is accessible through the WRDS interface. The VU License only covers data from 2007 onwards.

Documentation and manuals

The NYSE website has more details on the data.

Thomson Reuters Tick History

You can request access to the data by sending an email to Research Data Services and providing your VUnetID. The data can then be accessed from a computer at the VU Campus. The amount of data you need may be large (many gigabytes). If you need to copy the data be sure to have a storage option which has enough space.

Content

The tick data is available on the following series: Corn, soybean, Wheat, Gold, Silver, Copper, Light Sweet Crude Oil (WTI), Crude Oil Brent, Natural Gas, 10 Year T-Note, 5 year T-Note, 30 Year T-Note, S&P500, Euro Stoxx 50, Dax, Bund, Boble, Schatz and Emini. Both options and futures data are intraday data with frequencies of 1 min and 5 min. The data was originally supplied by Thomson Reuters and covers approximately eight years of data from 2007-2015.