TAQ - Trade and Quote


Trade and Quote contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE), American Stock Exchange (AMEX), as well as Nasdaq National Market System (NMS). Data are available on a monthly basis for the period from 1993 until 2014.
Millisecond Trade and Quote contains trades and bids tracked at the millisecond level. Data are available on a daily basis from 2003 on. Millisecond Trade and Quote is updated daily.

TAQ can be accessed through the Wharton Research Data Services (WRDS) Interface.