At approximately 8:00PM each day, a file will be made available that contains a summary of the ReTrac activity during the day for each stock and identifies the volume of retail buy and sell shares executed on the NYSE. At approximately 8:00PM each day, there is also a file made available that includes a summary of all program trading activity for each stock and identified the amount that was executed for all index arbitrage program trades from that of all non-index arbitrage program trading.
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A replay of the program trading datafeed.
A summary of all program trading activity for each stock identifying the total amount of shares that was executed for each stock through index arbitrage program trading vs. all other program trading strategies.
A replay of the retail trading datafeed.
A summary of all program trading activity for each stock identifying the total amount of shares that was executed for each stock through index arbitrage program trading vs. all other program trading strategies.
TAQ CTA products provide monthly, daily, intraday, and customizable access to trades and quotes for all issues listed on NYSE, Nasdaq (OTC), and Regional Exchanges.
TAQ NYSE Arca Integrated Feed data is available on a historical/end-of-day basis in flat file format, which enables users to see the depth of book (with add, modify, delete orders), trades (with corrections and cancel/errors), order imbalance, and security status messages.
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Depth of book (with add, modify, delete orders), trades (with corrections and cancel/errors), order imbalance, and security status messages.
ArcaBook data is available on a historical/end-of-day basis in flat file format, enabling you to recreate the limit order book for any given time.
TAQ NYSE ArcaBook files contain messages disseminated via NYSE ArcaBook for all subscriptions during the trading day (OTC, Listed, ETF, ArcaEdge Bulletin Board (pre August 19th, 2013)).
TAQ NYSE ArcaBook files are available in flat file ASCII format, zipped using GZIP. The approximate size of the compressed daily file is 2.5 GB. For a complete list of data fields and their descriptions, please see the TAQ NYSE ArcaBook specification documentation.
TAQ NYSE Arca products provide full visibility of transactions that occur on NYSE Arca or NYSE ArcaEdge (OTCBB securities).
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The Arca EOD Index Report provides statistics for NYSE and NYSE Arca listed ETFs.
TAQ NYSE Arca Trades provides detailed execution data for all transactions handled by NYSE Arca.
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Trade bust information, which can be mapped to the original trade message, is also available.
TAQ NYSE Arca Trades includes trades executed on NYSE ArcaBook, with an external market center, and orders which "crossed" on NYSE Arca. All orders are time stamped in milliseconds and contain a unique reference number enabling users to track the lifecycle of an order — from entry to execution or cancel. Execution reports indicate whether the order was executed against another order on the NYSE Arca system or executed against an external market center (e.g., ITS or Instinet).
The NYSE BBO file provides each NYSE Best Quote printed throughout the trading day for all NYSE traded securities.
TAQ NYSE Integrated Feed data is available on a historical/end-of-day basis in flat file format, which enables users to see the depth of book (with add, modify, delete orders), trades (with corrections and cancel/errors), order imbalance, stock summary and security status messages. The comprehensive feeds integrate orders and trades in sequence.
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In a separate file, the Stock Summary Message per symbol includes msg type 223, sequence number, source time, high price, low price, open, close, and total volume.
Depth of book (with add, modify, delete orders), trades (with corrections and cancel/errors), order imbalance, and security status messages. Integrates orders and trades in sequence. Includes full depth order by order data, trades, auction imbalances, and security status messages.
The TAQ NYSE MKT BBO Quotes feed provides top of the book NYSE MKT Quotes (best bid/ask quotations) messages disseminated for all NYSE MKT traded securities. TAQ NYSE MKT BBO is available on a historical/end-of-day basis in flat file format, which enables users to see the NYSE MKT BBO (Best Quote) printed throughout the trading day for all NYSE MKT traded securities.
TAQ NYSE MKT Integrated Feed data is available on a historical/end-of-day basis in flat file format, which enables users to see the depth of book (with add, modify, delete orders), trades (with corrections and cancel/errors), order imbalance, stock summary and security status messages.
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In a separate file, the Stock Summary Message per symbol includes msg type 223, sequence number, source time, high price, low price, open, close, and total volume.
Depth of book (with add, modify, delete orders), trades (with corrections and cancel/errors), order imbalance, and security status messages.
TAQ NYSE MKT 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.
The TAQ NYSE MKT Trades file provides data on all NYSE Last Sale's printed throughout the trading day for all NYSE MKT-traded securities.
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In a separate file, the Stock Summary Message per symbol includes msg type 223, sequence number, source time, high price, low price, open, close, and total volume.
XDP format of TAQ NYSE Trades. TAQ NYSE Trades provides each NYSE Last Sale printed throughout the trading day for all NYSE-traded securities.
TAQ NYSE products provide full visibility of transactions that occur on NYSE. Full order book and trades data is supplemented with offerings on volume, security status, order imbalances, and more.
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The TAQ NYSE Alerts file is available at approximately 6:00pm each trading day and reports all of the day’s status messages regarding halts, MOC/LOC imbalances and pre-opening indications for both NYSE listed and NYSE AlterNext listed stocks. The TAQ NYSE Alerts file is available in Text & Excel formats and can be delivered via email, FTP, or Downloaded from the website. Data available: 6/2003 - present
TAQ NYSE 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.
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Daily files available via FTP containing all NYSE OpenBook and NYSE Liquidity Quote data for previous day's trading. OpenBook data is available as of 1/24/02.
Daily files available via FTP containing all NYSE OpenBook Ultra data for the previous day's trading.
TAQ NYSE Order Imbalances provides information from the NYSE Order Imbalances Data feed. The NYSE Imbalances Data feed publishes opening and closing imbalances automatically at specified intervals throughout the trading day for all NYSE listed securities, which greatly enhances market transparency and improves the quality of opening and closing auctions.
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The TAQ NYSE Order Imbalances product provides a capture of the NYSE Order Imbalances datafeed. The NYSE Imbalances Datafeed publishes Opening and Closing imbalances automatically at specified intervals throughout the trading day for all NYSE listed securities. The NYSE Order Imbalances feed will greatly enhance the transparency of our market and improve the quality of our opening and closing auctions.
The TAQ NYSE Trades file provides data on all NYSE Last Sale's printed throughout the trading day for all NYSE-traded securities.
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n a separate file, the Stock Summary Message per symbol includes msg type 223, sequence number, source time, high price, low price, open, close, and total volume.
TAQ NYSE Trades provides each NYSE Last Sale printed throughout the trading day for all NYSE-traded securities. Each NYSE Trade message is an enhanced with the source timestamp and a transaction LinkID that will allow customers to match each execution message with the tape print.
NYSE Bonds historical data is a unique offering that provides full visibility in the NYSE Bond market (formerly known as ArcaBook for Bonds), where real-live quotes are captured and made available for market participants to analyse. Customers can choose from OrderBook and trade details from as early as 2006.
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Orderbook and trade data for NYSE Bonds
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The Bond Master file provides comprehensive information about the bonds being traded such as: Bond Symbol, Issuer Name, CUSIP ID, Interest Rate, Maturity Date, Face Value, Underlying, Alt Symbol, Suffix, Issue type, Bypass Clearing, Currency Code, Flat, Bankrupt, and Exchange
The orderbook file includes all quotes from the NYSE Bonds Matching Engine throughout the trading day.
The Trade Bust message identifies trades that were busted after the execution was reported. These messages can be mapped to the original trade message using the sequence number.
The trades file includes all executed trades throughout the trading day.
Liffe U.S. historical data allows clients to recreate both market and order book conditions based on data received in a real-time ticker plant environment. TAQ Liffe U.S. provides clients with full visibility into the Liffe U.S. market to either develop and deploy profitable trading strategies or gain an in-depth understanding of Liffe U.S. market dynamics. The Level 2, Level 1, and Trades offerings include: Interest Rate Derivatives, Equity Index Derivatives, and Commodity Derivatives.
TAQ Options U.S. covers regional options exchange quotes, options time & quotes, concomitant stock data, options time & sales, U.S. Options & Equity derivatives quotes at 1 minute and 15 minutes intervals with intraday and EOD calculations.
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