Cutting-Edge Financial Data Sources and Systems
Explore comprehensive real-time trading and quote data from various U.S. equity exchanges like NYSE and Nasdaq, including information from the Trades and Quotes database, TotalView-ITCH system, and Nikkei Economic Electronic Databank System (NEEDS). These systems provide intricate details on trades, quotes, order book building, and more, with increasing precision down to nanosecond timestamps.
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Trades and Quotes (TAQ) Intraday trades and quotes All securities All U.S. equity exchanges ISSM from WRDS 1983-1992 (NYSE only) time stamp seconds Monthly TAQ from NYSE time stamp seconds 1993-2003 via FTP 2004-2012 on CDs Daily TAQ from NYSE (growing 0.75 terabytes monthly) May 2012 to present via FTP Millisecond to June 2015; microsecond to October 2016; nanosecond thereafter Includes NBBO
TotalView-ITCH Intraday trades and quotes Nasdaq only All securities Time stamped to nanosecond Unique order ID Number of shares and price
TotalView-ITCH Can build the limit order book because ITCH includes: Unique order ID Number of shares and price Message types: B Add buy order S Add sell order E Execute outstanding order in part C Cancel outstanding order in part F Execute outstanding order in full D Delete outstanding order in full X Bulk volume for the cross event T Execute non-displayed order
Nikkei Economic Electronic Databank System (NEEDS) All listings on the Tokyo Stock Exchange (and several minor exchanges) Includes: Trades price and number of shares Quotes (bid and ask) price and number of shares Various codes: Special quotes Continuous or batch trading
