Low-latency, historical market data feeds cover the various asset classes and markets in the NYSE Group and on the CTA and UTP nationally consolidated data feeds. These feeds offer an insight into intraday trading activity. The historical feeds include top of book (Level 1), depth of book (Level 2), auction imbalances, security status messages, end-of-day summarized volume and market status messages, short sales, Fixed-Income data, and all executed trades, quotes, NBBO on the CTA and UTP consolidated data feeds. The suite also covers index and exchange-traded product valuations data. TAQ (Trade And Quotes) is a suite of historical market data products that are inclusive of, but not limited to, market data for top of book, depth of book, and all executed trades.
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Daily TAQ (Trade and Quote) provides users access to all trades and quotes for all issues traded on NYSE, Nasdaq and the regional exchanges for the previous trading day. It’s a comprehensive history of daily activity from NYSE markets and the U.S. Consolidated Tape covering all U.S. Equities instruments (including all CTA and UTP participating markets). The Daily TAQ files also include the NBBO, Master file, Quote and Trade Admin Messages, and, CTA and UTP Admin Message files
The Historical ICE Data Global Index Feed (HGIF) product suite provides a historical record of all data that was published by the ICE Data 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 Data 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. GIF supports advanced trading methodologies and dissemination frequency required for todays’ index and exchange-traded product calculations.
TAQ NYSE Integrated Feed provides a comprehensive order-by-order view of events in the NYSE equities market. TAQ NYSE Integrated Feed is available on a historical/end-of-day basis in flat file format, which enables users to see the depth of book, trades, order imbalances, stock summary and security status messages.
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. TAQ NYSE OpenBook includes TAQ NYSE Openbook Ultra and TAQ NYSE OpenBook Aggregated files.
TAQ NYSE BBO file provides NYSE Quotes (best bid/ask quotations) for all NYSE-traded securities.
The TAQ NYSE Trades file provides data on the NYSE Last Sale printed throughout the trading day for all NYSE-traded securities.
The TAQ NYSE Order Imbalances provides publication on the buy and sell imbalances sent at specified intervals during auctions throughout the trading day for all NYSE listed securities.
The TAQ NYSE Alerts file provides certain conditions related to the trading of NYSE-Traded securities. The TAQ NYSE Alerts provides status messages regarding halts, MOC/LOC imbalances and pre-opening indications for NYSE-traded securities.
TAQ NYSE American Equities
TAQ NYSE American Integrated Feed provides a comprehensive order-by-order view of events in the NYSE American equities market. TAQ NYSE American Integrated Feed is available on a historical/end-of-day basis in flat file format, which enables users to see the depth of book, trades, order imbalances, stock summary and security status messages.
TAQ NYSE American 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.
TAQ NYSE American BBO file provides NYSE American Quotes (best bid/ask quotations) for all NYSE American-traded securities.
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.
The TAQ NYSE American Order Imbalances provides publication on the buy and sell imbalances sent at specified intervals during auctions throughout the trading day for all NYSE American listed securities.
TAQ NYSE Arca Integrated Feed provides a comprehensive order-by-order view of events in the NYSE Arca equities market. TAQ NYSE Arca Integrated Feed is available on a historical/end-of-day basis in flat file format, which enables users to see the depth of book, trades, order imbalances, stock summary and security status messages.
Launch Targeted July 30, 2018
The TAQ NYSE Arca BBO file provides NYSE Arca Quotes (best bid/ask quotations) for all NYSE Arca-traded securities.
The TAQ NYSE Arca Trades file provides data on the NYSE Arca Last Sale printed throughout the trading day for all NYSE Arca-traded securities.
Launch Targeted July 30, 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 National Equities
Production Launch On May 21, 2018
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.
The TAQ NYSE National BBO provides NYSE National Quotes (best bid/ask quotations) for all NYSE National-traded securities.
The TAQ NYSE National Trades provides the exchange Last Sale for all NYSE National-traded securities.
TAQ Group Short Sales & Short Volume
The TAQ Group Short Sales product provides a summary of short sale volume and short sale transactions for securities on NYSE, NYSE American, NYSE Arca, and NYSE National throughout the trading day.
The Volume Summary provides a detailed breakdown of NYSE, NYSE American, and NYSE National trading activity by share size, number of trades, short sales (NYSE, NYSE American, NYSE Arca, NYSE National), odd-lot volume, VWAP, etc. The Consolidated Market Volume Summary of this package provides the total trades, volume, and dollar volume by market center (exchange) in each NYSE-traded issue.
The TAQ Closing Prices files are available each trading day and show the Open/High/Low/Last prices and Total Volume for all NYSE, NYSE American, NYSE Arca, and NYSE National listed securities as of the 4:00 pm market close.
The TAQ NYSE Bonds files product provides access the complete NYSE Bonds Orderbook, NYSE Bonds Trades and NYSE Bonds Master files. The full Depth of Book, level 2 Bonds Orderbook, and level 1 Bonds Trades and Bond Trade Bust information for the NYSE Bonds market.
