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, bonds data, and all executed trades, quotes, NBBO on the CTA and UTP consolidated data feeds.
Daily TAQ
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
TAQ NYSE Equities
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 imbalance, 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 Imbalance provides data 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 MKT Equities
TAQ NYSE MKT Integrated Feed provides a comprehensive order-by-order view of events in the NYSE MKT equities market. TAQ NYSE MKT 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 imbalance, stock summary and security status messages.
TAQ NYSE MKT 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 MKT BBO file provides NYSE MKT Quotes (best bid/ask quotations) for all NYSE MKT-traded securities.
The TAQ NYSE MKT Trades file provides data on the NYSE MKT Last Sale printed throughout the trading day for all NYSE MKT-traded securities.
The TAQ NYSE MKT Order Imbalance provides data on the buy and sell imbalances sent at specified intervals during auctions throughout the trading day for all NYSE MKT listed securities.
TAQ NYSE Arca Equities
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 imbalance, stock summary and security status messages.
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.
Learn More About NYSE Arca ETFs
TAQ NYSE Group Short Sales
The TAQ NYSE Group Short Sales product contains a summary of short sale volume for security listed on NYSE, NYSE MKT, and NYSE Arca throughout the trading day.
NYSE Volume Summary
The NYSE Volume Summary proivdes a detailed breakdown of NYSE and NYSE MKT Trading activity by share size, number of trades, short sales(NYSE, NYSE MKT, NYSE Arca), odd-lot volume, VWAP, etc. The National Market Volume Summary of this package provides the total trades, volume, and dollar volume by market center (exchange) in each NYSE-traded issue.
TAQ NYSE Closing Prices
The TAQ Closing Prices files are available each trading day and show the Open/High/Low/Last prices and Total Volume for all NYSE, NYE MKT and NYSE Arca listed securities as of the 4:00 pm market close.
TAQ NYSE Bonds
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.
