Finding data

Access is provided through the WRDS platform. The WRDS platform can be accessed using a Day Pass. In the video the use of the Day Pass is explained. If you are using a WRDS Day Pass, do not use the email option in any query screen. This is not necessary and will not work!

If you need a lot of data from NYSE TAQ ( > 5 GB), it is recommended to use a personal WRDS account.

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. The VU License only covers data from 2007 onwards.

Using the TAQ database a researcher can perform such analyses as daily volatility estimation, probability of informed trading, short-term impact of breaking news, back-testing of intraday trading strategies, and assessment of programmed trading protocols.
TAQ is the only database in WRDS that records market information at the intraday level (to the microsecond), covering roughly 8,000 stock issues listed on major American exchanges. Because it provides a record of every trade and quote on these exchanges (since January 1993), it is by far the largest WRDS database, growing about 0.75 terabytes monthly.

The following listed files are generated by WRDS from the original TAQ Trades and Quotes datasets: 

• The WRDS-created NBBO (National Best Bid & Offer) database contains the best (highest) bid and the best (lowest) offer from all prevailing quotes issued by various market makers in national exchanges for each stock
• WRDS Consolidated Trades database: the NBBO's Bid and Ask midpoints are matched to each trade at seconds 0, -1, -2 and -5 relative to their trade time, and stored along with trades in the same datasets
• Intraday Indicators tools by WRDS

Documentation and manuals

You can request access to the data by sending an email to Data Support 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.