NYSE offers a suite of historical Proprietary market data products that cover a comprehensive history, including all historical versions of its top of book (trades & quotes) from U.S. exchanges for all securities; and, depth-of-book products for its proprietary data feeds for the markets that it operates (NYSE, NYSE NYSE American, NYSE Arca, and NYSE National). NYSE offers flexible delivery and access options through FTP, online and email delivery. NYSE historical market data products can be delivered in a range of formats including XML, Excel and TXT formats on a T+1 basis.

For facilitation of academic research on the equities markets and potential market reforms, NYSE is immediately increasing the discounts it offers to accredited academic institutions on its historical market data products. NYSE will provide accredited academic institutions an academic discount up to 80 percent for most NYSE historical market data products. The discounts will be limited to faculty and students of qualifying accredited academic institutions using the data for independent academic research, academic journals and other publications, teaching, or other educational purposes.

Eligible Historical Data Products

Multiple Markets

  • Historical ICE Global Index Feed

    Launched June 6, 2018

    The Historical ICE Global Index Feed (HGIF) product suite provides a historical record of all data that was published by the ICE Global Index Feed on a particular day. The suite is comprised of multiple individual data sets of US real-time index and exchange-traded product valuations data, where each set captures the data published on a ICE Global Index Feed channel on a particular day. The product is available on an end-of-day basis in flat file format, enabling you to recreate Index and ETF IOPV values and statistics for any given time. HGIF supports advanced trading methodologies and dissemination frequency required for todays’ index and exchange-traded product calculations.

Top of Book (Trades & Quotes)

  • Daily TAQ
    Daily TAQ (Trade and Quote) provides users with FTP access to all trades, quotes, nbbo, etc. for all issues traded on NYSE, Nasdaq (OTC), and Regionals for the current trading day. Historical data available as of 1993 - Present

DEPTH OF BOOK

TAQ NYSE EQUITIES

  • TAQ NYSE OpenBook
    The TAQ NYSE OpenBook data is available on a historical/end-of-day basis in flat file format, which enables users to recreate the limit order book for any given time. Data available: 1/2002 - Present
  • TAQ NYSE Trades
    The TAQ NYSE Trades file provides data on all NYSE Last Sale's printed throughout the trading day for all NYSE-traded securities. Data available: 2/2007 - Present
  • The TAQ NYSE Order Imbalance
    The TAQ NYSE Order Imbalance provides information from the NYSE Order Imbalance Data feed. The NYSE Imbalance Data feed publishes opening and closing imbalances automatically at specified intervals throughout the trading day for all NYSE listed securities, which greatly enhances market transparency and improves the quality of opening and closing auctions. Data available: 7/2008 - Present
  • TAQ NYSE Alerts
    The TAQ NYSE Alerts file is available at approximately 6:00pm each trading day and reports all of the day’s status messages regarding halts, MOC/LOC imbalances and pre-opening indications for both NYSE listed stocks. The TAQ NYSE Alerts file is available in Text & Excel formats and can be delivered via email, FTP, or Downloaded from the website. Data available: 6/2003 - Present
  • TAQ NYSE Integrated Feed
    The TAQ NYSE Integrated Feed data is available on a historical/end-of-day basis in flat file format, which enables users to see the depth of book (with add, modify, delete orders), trades (with corrections and cancel/errors), order imbalance, stock summary and security status messages. Data available: 14 December 2015 - Present
  • TAQ NYSE BBO
    The TAQ NYSE BBO file provides NYSE Quotes (best bid/ask quotations) for all NYSE-traded securities. Historical Data is available from 21 July 2014 - Present.

TAQ NYSE ARCA EQUITIES

  • TAQ NYSE Arca Trades
    The TAQ NYSE Arca Trades provides detailed execution data for all transactions handled by NYSE Arca. Data available: 10/2004 – Present.
  • The TAQ NYSE Arca Integrated Feed
    The TAQ NYSE Arca Integrated Feed data is available on a historical/end-of-day basis in flat file format, which enables users to see the depth of book (with add, modify, delete orders), trades (with corrections and cancel/errors), order imbalance, and security status messages. Historical data available as of 5/2012 - Present.
  • TAQ NYSE Arca BBO

    Launch Targeted June 4, 2018

    The TAQ NYSE Arca BBO file provides NYSE Arca Quotes (best bid/ask quotations) for all NYSE Arca-traded securities.
  • TAQ NYSE Arca Order Imbalances

    Launch Targeted June 4, 2018

    The TAQ NYSE Arca Order Imbalances provides publication on the buy and sell imbalances sent at specified intervals during auctions throughout the trading day for all NYSE Arca listed securities.

TAQ NYSE AMERICAN EQUITIES

  • The TAQ NYSE American OpenBook
    The TAQ NYSE OpenBook data is available on a historical/end-of-day basis in flat file format, which enables users to recreate the limit order book for any given time. Historical data available as of 3/12/2014 - Present.
  • TAQ NYSE American Order Imbalance
    The NYSE American Order Imbalance data feed enhances the transparency of the NYSE American market and improves the quality of opening and closing auctions. This product is a real-time publication of buy and sell imbalances sent at specified intervals throughout the trading day for all NYSE American listed securities. Historical data available as of 7/2008 - Present.
  • TAQ NYSE American Integrated Feed
    The TAQ NYSE American Integrated Feed data is available on a historical/end-of-day basis in flat file format, which enables users to see the depth of book (with add, modify, delete orders), trades (with corrections and cancel/errors), order imbalance, stock summary and security status messages. Data available 14 December 2015 - Present.
  • TAQ NYSE American BBO
    The TAQ NYSE American BBO file provides NYSE American Quotes (best bid/ask quotations) for all NYSE American-traded securities. Historical Data is available from 8 Dec 2015 - Present.
  • The TAQ NYSE American Trades
    The TAQ NYSE American Trades file provides data on the NYSE American Last Sale printed throughout the trading day for all NYSE American-traded securities. Historical Data is available from 1 Jun 2015 - Present.

NYSE NATIONAL EQUITIES

Available as of 21 May 2018

  • TAQ NYSE National Integrated Feed
    The TAQ NYSE National Integrated Feed provides a comprehensive order-by-order view of events in the NYSE National equities market. This single high-performance product integrates orders and trades in sequence, providing a more deterministic and transparent view of the order book and related activity.
  • TAQ NYSE National BBO
    The TAQ NYSE National BBO provides NYSE National Quotes (best bid/ask quotations) for all NYSE National-traded securities.
  • NYSE National Trades
    The TAQ NYSE National Trades provides the exchange Last Sale for all NYSE National-traded securities.

TAQ NYSE BONDS

SHORT SALES/SHORT VOLUME

  • TAQ Short Group Sales & Short Volume
    TAQ Short Sales & Short Volume is a monthly product containing a collection of the month's end of day replay files. The Short Sale files provide investors the ability to identify short sale behaviors at the NYSE by monitoring the short sale execution share volume for each stock. The package also includes a daily report of short volume for NYSE, NYSE Arca, NYSE American, and NYSE National. Historical data as of 5 Feb 2007 – present. Data for NYSE National available as of 21 May 2018.

Summary Data Products

  • NYSE Volume Summary
    Detailed breakdown of NYSE, NYSE American, NYSE Arca and NYSE National Trading activity by share size, number of trades, short sales, odd-lot volume, VWAP, etc. Data available as of 4 January 2004 - Present. Data for NYSE National available as of 21 May 2018.
  • TAQ Closing Prices
    The TAQ Closing Prices data contains Symbol, CUSIP, ExchangeID, Open, High, Low, Last, Net Change, Total Volume & Last Trade for NYSE, NYSE American, NYSE Arca, and NYSE National. Dates Available 11/1/2001 - Present. Data for NYSE National available as 21 May 2018.
  • NYSE ReTrac ProTrac EOD
    NYSE ReTrac ProTrac EOD contains a summary of the ReTrac activity during the day for each stock and identifies the volume of retail buy and sell shares executed on the NYSE. It also includes a summary of all program trading activity for each stock and identified the amount that was executed for all index arbitrage program trades from that of all non-index arbitrage program trading. The files are available at approximately 8:00PM each day. The NYSE ReTrac ProTrac EOD includes four separate files: NYSE ProTrac EOD Replay, NYSE ProTrac EOD Summary, NYSE ReTrac EOD Summary, and NYSE ReTrac EOD Replay.

Academic Policy

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