NYSE TAQ data — Introduction

WRDS guides you through the introductory steps to access current U.S. market equities at the millisecond level including:

• Access current U.S. market equities at the millisecond level.
• View granular details of all trade and quote activity.
• Validate best execution, develop profitable trading strategies and perform in-depth research on the aggregate marketplace.

Use cases scenarios:

• How Liquidity affects asset prices (08-09 crisis, and the recent flash crashes)
• Examine how the changes in market, driven by the firm or institutions, affects stock liquidity and firm performance
• Assess whether microstructural innovations in the market, such as Regulation change or introduction of Algorithmic Trading, impacts liquidity
• Identify Liquidity, Price Impact, Execution
• Cost estimation and Trade Classification