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TAQ: Available Files

Currently, the TAQ2 Data Extraction Program is available and allows you to filter and extract just the data you require and output the results in multiple data formats. Click here, for TAQ2 program installation instruction.

TAQ does not include transaction data that is reported outside of the Consolidated Tape hours of operation. As of November 1999, those hours are 8:00am to 6:30pm EST. Trading in NYSE-listed securities between 8:00am – 9:30am by other markets are also not on TAQ. For more information about product of TAQ, click here.

  • The current available TAQ data is for the period 2000.7 to 2000.10.
  • The new files are typically received monthly.
The following files are included in TAQ2:
  1. CT Binary File (Tyyyymmx.BIN) The Consolidated Trade binary file, Tyyyymmx.BIN, is written in binary integer format with a fixed record length of 29 bytes (without ending carriage return or line feed). The letter 'x' in the filename is the letter of the CD the file resides on.
  2. CT Index File (Tyyyymmx.IDX) The Consolidated Trade index file, Tyyyymmx.IDX, is written in binary integer format with a fixed record length of 22 bytes (without ending carriage return or line feed). The letter 'x' in the filename is the letter of the CD the file resides on. The TDATE field is 4 binary bytes in the format: yyyymmdd.
  3. CQ Binary File (Qyyyymmx.BIN) The Consolidated Quote binary file, Qyyyymmx.BIN, is written in binary integer format with a fixed record length of 39 bytes (without ending carriage return or line feed). The letter 'x' in the filename is the letter of the CD the file resides on.
  4. CQ Index File (Qyyyymmx.IDX) The Consolidated Quote index file, Qyyyymmx.IDX, is written in binary integer format with a fixed record length of 22 bytes (without ending carriage return or line feed). The letter 'x' in the filename is the letter of the CD the file resides on. The QDATE field is 4 binary bytes in the format: yyyymmdd.
  5. The Master Table (Myyyymm.tab) The master table contains reference information about the stocks in the trade and quote files. Some fields apply only to NYSE and/or AMEX issues, and are blank or zero-filled when not applicable to the issue. For those issues that clear through the National Securities Clearing Corp. (NSCC), there is at least one record. If an issue does not clear through the NSCC, a record will not appear in the master file.
  6. The Dividend File (Dyyyymm.TAB) The dividend file, Dyyyymm.TAB, contains one record for each symbol that either paid a dividend or redistributed stock during the month. In rare cases, a symbol may have two records for one month. The file is written in character format with a fixed record length of 51 bytes (53 including carriage return and line feed).