NYSE TAQ: trade and quote microstructure data (licensed)
Access confirmed (licensed) Jun 9, 2026 · via live TAQ NBBO query (taqm_2020.complete_nbbo_2020) through a licensed WRDS session
NYSE TAQ is a tick-level trade and quote database covering all US-listed equities on the consolidated tape. It records every trade (price, size, timestamp, exchange code, condition flags) and every quote (bid, ask, size, exchange) reported to the consolidated tape. It is a common data source for market-microstructure research: used in, for example Brogaard, Ringgenberg & Roesch for a study of whether floor trading matters in market microstructure, and Schwarz, Barber, Huang, Jorion & Odean for execution-quality analysis in the actual retail price of equity.
- Cost: licensed, subscription. No free tier. Most academics reach it through WRDS.
- Vendor: NYSE (ICE Data Services).
- Coverage: all US-listed equities, consolidated tape, intraday (tick level); Monthly TAQ from 1993 onward; Daily TAQ from 2003 onward (millisecond stamps), with nanosecond resolution introduced in 2014.
Access (when licensed)
Section titled “Access (when licensed)”- Through WRDS. The common academic path: WRDS exposes both the Monthly TAQ and Daily TAQ tables. WRDS also provides the Intraday Indicators product (WRDS-computed microstructure measures such as effective spreads, price impact, and realized spreads), so many research designs do not require processing raw ticks at all; use the derived measures where they suffice.
- Directly from NYSE / ICE Data Services. Available through NYSE’s data licensing programs.
- Credentials are required either way. Keep them in
.env, never hard-coded.
Gotchas (the ones that bite pipelines)
Section titled “Gotchas (the ones that bite pipelines)”These are the failure modes to expect when working with the data.
- Raw Daily TAQ is enormous. Daily TAQ runs to terabytes per year; do not attempt a naive full pull. Use WRDS server-side queries (SAS or Python with WRDS Cloud filters), push filtering and aggregation to the server, or use the WRDS Intraday Indicators for pre-aggregated measures.
- Trade-signing rules must match the era. Timestamp alignment between trades and quotes changed over the sample period. The original Lee-Ready rule used a 5-second lookback; later literature moved to a contemporaneous-quote convention once timestamps tightened. The sign-of-trade algorithm must be chosen to match the period; mixing conventions introduces systematic errors in effective spread and order-flow estimates.
- The data requires cleaning before use. Key steps: drop cancelled and corrected trades (condition codes), exclude opening and closing auction prints, filter out-of-sequence and late-reported trades, and apply standard quote filters (zero or locked/crossed quotes). Failing to clean produces biased spread and impact estimates.
- Monthly TAQ and Daily TAQ are not the same product. They differ in field names, timestamp resolution, and symbology conventions. Code written for one does not transfer directly to the other; state which product your pull uses.
- Consolidated tape mixes venues. TAQ records trades and quotes from all reporting venues (NYSE, Nasdaq, regional exchanges, dark pools). Venue-level inference requires the exchange code; studies of a specific venue must filter on it, not take the full tape.
- Symbology and the CRSP link require care. TAQ identifies securities by symbol (which can be reused across firms over time), not CUSIP or PERMNO. Linking to CRSP or Compustat requires the TAQ-CRSP linking table and attention to date ranges; symbol reuse and symbol changes cause silent mismatches if the link is applied without effective dates.
Citation
Section titled “Citation”Cite the specific product and vendor, e.g.: NYSE TAQ [Monthly TAQ / Daily TAQ], NYSE / ICE Data Services, accessed via WRDS; data licensed and accessed YYYY-MM-DD. State which product (Monthly or Daily), the timestamp resolution used, the trade-signing rule applied, and the cleaning criteria (condition codes excluded, auction prints, quote filters).