Intraday quotes are available in the following databases:
Bloomberg (Terminal Use only)
- For equities or indices, enter a ticker symbol, hit the yellow Equity key, type GIT, then hit the green GO key.
- Example: For intraday trading for the S&P 500: SPX GIT <GO>
The coverage date range is limited to the last 180 days.
TAQ (via WRDS)
The NYSE Trade and Quote (TAQ) database offers tick-by-tick trade and quote data of all activity within the U.S. National Market System. TAQ provides transaction information at the intraday level (to the microsecond) covering over 10,000 stock issues listed on 16 major American exchanges, including the New York Stock Exchange (NYSE), American Stock Exchange (AMEX), and Nasdaq. Requires an individual WRDS account.
TAQ data is made available through two datasets:
1. Milliscond Tade and Quote - "Daily Product". 2003 - present, updated daily
2. Trade and Quote "Monthly Product". 1993 - 2014
Manuals and overviews are available for both databases on WRDS.
LSEG Tick History
Historical market data service offering global millisecond data dating back to 1996. Yale subscription includes futures data only.
