This database contains intraday transactions data in two databases, Consolidated Quote database for intraday quotes (time (to the millisecond), price and number of shares for each offer to buy or sell) and Consolidated Trade database for intraday trades (time (to the millisecond), price, and number of shares for each actual sale) 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. Data is available for January 1, 2009 the present with a 3 month delay.
NYSE Trade and Quote Millisecond (TAQ Millisecond) is accessed through a Wharton Research Data Services (WRDS) account.
Special Note: WRDS accounts will only be generated for current faculty, currently enrolled students (Ph.D., masters, and undergraduate), and selected current staff of UNC-Chapel Hill.
To fill out an on-line account request form go to https://wrds-www.wharton.upenn.edu/ and click on the “Register” tab in the upper right portion of the screen.
UNC-CH users with additional password
https://wrds-www.wharton.upenn.edu/