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.

Key Features

  • Sequence Transparency-For any given symbol, all updates are provided in deterministic sequence, virtually eliminating ambiguities.
  • Comprehensive Content-Includes full depth order data, trades, auction imbalances, and security status messages.
  • Single High-Performance Feed-It eliminates the challenges related to data correlation and latency disparities faced by providing comprehensive market data content in a single feed.

Products

TAQ NYSE Integrated Feed

Historical data available as of 16 Nov 2015 – present.

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TAQ NYSE American Integrated Feed

Historical data available as of 16 Nov 2015 – present.

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TAQ NYSE Arca Integrated Feed

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).

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TAQ NYSE National Integrated Feed

Historical data available as of 21 May 2018 - present.

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TAQ NYSE Chicago Integrated Feed

Historical data available as of 4 November 2019

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Resources

TAQ XDP Products Client Spec v2.3

NYSE

Production June 17, 2019

NYSE American

Production June 3, 2019

NYSE Arca

Production July 1, 2019

NYSE Chicago

Production Nov. 4, 2019

NYSE National

Production June 17, 2019