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