TAQ 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 OpenBook provides a view of the Limit-Order Book for all NYSE, NYSE American-traded securities. Users can see the display limit-order volume at every bid and offer price.

The TAQ OpenBook package includes the TAQ OpenBook Aggregated and TAQ Openbook Ultra files. TAQ OpenBook Aggregated is a frequency based depth of book feed that contains aggregate limit-order volume at every bid and offer price. It is a snapshot feed with update frequency per symbol of one second. TAQ OpenBook Aggregated provides a more convenient option for display applications.

TAQ OpenBook Ultra is an event-based depth of book feed that contains aggregate limit-order volume and individual event-by-event volume, action and price information for all bid and offer prices in all NYSE, NYSE American-traded securities with greater speed. With microsecond latency, OpenBook Ultra updates with every limit-order book event.

TAQ NYSE OpenBook

The TAQ NYSE OpenBook Ultra is available as of 6/2/2008 - present.

TAQ NYSE OpenBook Aggregated is available as of 1/24/2002 - present.

TAQ NYSE American OpenBook

The TAQ NYSE American OpenBook Ultra is available as of 12 March 2014 - present.

TAQ NYSE OpenBook Aggregated is available as of 24 July 2017 - present.

Resources

NYSE

Production starting March 12, 2018
TAQ OPENBOOK CLIENT SPEC V1.2

NYSE American

Production for NYSE American on July 24, 2017

TAQ OPENBOOK CLIENT SPEC V1.2

Previous Specs

Sample Data

Fees

Academics