TAQ Integrated Feed provides a comprehensive order-by-order view of events that integrate orders and trades in sequence in the equities markets. An integrated, sequential data feed of all events that transpire on the NYSE, NYSE Arca, NYSE American, NYSE National, and NYSE Chicago markets. TAQ Integrated Feeds include depth of book (with add, modify, delete orders), last sale, trades (with corrections and cancel/errors), order Imbalances, stock summary and security status all in one low latency, un-throttled, integrated feed for each market.
TAQ Integrated Feed products for NYSE, NYSE Arca, NYSE American, NYSE National, and NYSE Chicago provide feeds of the Exchange's Order Book for all traded securities. Users will see the complete depth of book (with add, modify, delete orders), all trade events (with corrections and cancel/errors), stock imbalances, stock summary messages and security status messages. All of the data is sent in the order in which it occurs at the Matching Engine. The single high-performance feed integrates orders and trades in sequence, providing a more deterministic and transparent view of the order book and related activity.
Historical data available as of 1 Feb 2012 - present (Further historical data available in the TAQ NYSE ArcaBook format from 2 Aug 2004 - 1 May 2015).