SCIENCE

In response to the growing need for time-stamped Trade and Quote (TAQ) data, The Wharton School of the University of Pennsylvania and NYSE Euronext announced that Wharton Research Data Services (WRDS) will now carry NYSE Euronext Daily TAQ data on its platform.

Since 2004, WRDS has been hosting the NYSE Monthly DVD data which is time-stamped to the second. The Daily TAQ data will help analysts better understand market dynamics, uncover hidden relationships and back-test trading strategies.

“NYSE Technologies is proud to continue its long-term partnership with WRDS through our daily TAQ Data product,” said Mark Schaedel, Senior Vice President, Global Data Products, NYSE Technologies. “By utilizing the technology advancements we’ve developed for our diverse range of commercial solutions like TAQ Data, WRDS users can easily access vast amounts of market information with the kind of millisecond granularity and flexibility that enables them to better examine the dynamics of today’s markets. We believe that in an academic setting like this, TAQ Data can play a key role in helping analyze and understand the future of equity trading research and education.”

Robert Zarazowski, WRDS Senior Director, added, “WRDS is excited about strengthening and expanding its partnership with NYSE Technologies. Having the daily TAQ product available through WRDS’ high performance computing cloud will allow researchers globally to investigate, analyze and interpret trading activity like never before.”

The Daily Trade and Quote (TAQ) database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National Market System (NMS) and SmallCap issues. In addition to trades and bids being tracked at the millisecond level, the file now contains the Master File with Primary Exchange Indicator, the new "NBBO file" containing continuous National Best Bid and Offer updates; consolidated trades and quotes for all listed and non-listed issues.

The Daily TAQ data will be hosted on the powerful WRDS Cloud that is optimized to effectively meet your research needs for the extraction and analysis of large microstructure data.