NYSE TAQ — Introduction
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