Trades and Quotes - TAQ
Description: Intraday transactions data (trades and quotes) starting in 1993 for all securities listed on the NYSE and AMEX, as well as NASDAQ and Small Cap issues.
We have access to milisecond data from 2014.
Help Sheets: You must be logged into a WRDS account view these documents.
- Getting Started with the WRDS Microstructure Cloud
- WRDS Microstructure Cloud Manual
- Using TAQ Efficiently
- Sample SAS code merging Daily Trades and Quotes Datasets
- Current HU faculty, students, and staff
- Harvard University faculty, graduate students (including MBA students) and researchers can request a WRDS account
- HU undergraduates may use WRDS in the Financial Databases Room.
Use of this database implies acceptance of our Copyright and Licensing Restrictions.