TAQ (Trade and Quote) data is NYSE's record of the trades and quotes published on the U.S. consolidated tapes. Its consolidated product, Daily TAQ, is a set of files holding "all trades and quotes for all issues listed and traded on US regulated exchanges for a single trading day", taken from the output of the two securities information processors (SIPs) [1]. The archive goes back to 1993 [1, 3].
The files have changed on set dates. Timestamps moved from seconds to nanoseconds in steps, on different dates for each SIP [1]. Odd-lot trades joined the tape on 9 December 2013 [26]. On 3 November 2025, round lots were redefined by share price and quote sizes switched to shares [7, 13]. A series crossing one of these dates needs a flag at the break.
What TAQ data contains: the NYSE Daily TAQ files
The CTA SIP carries NYSE-listed securities (Tape A) and those listed on Cboe, NYSE Arca, NYSE American and regional exchanges (Tape B). The UTP SIP carries Nasdaq-listed securities (Tape C) [10].
| File | What it holds | History from |
|---|---|---|
| Master | Symbol reference data, including the round lot | 1 Jan 1993 |
| Trades | Every trade reported to the consolidated tape | 1 Jan 1993 |
| Quotes (26 files) | Every round-lot quote | 1 Jan 1993 |
| NBBO | Quotes that change the national best bid or offer | 10 Sep 2003 |
| Odd Lot Quotes, BOLO | Odd-lot quotes, best odd-lot bid and offer | 1 Jun 2026 |
| Trade and Quote LULD | Limit-up/limit-down price bands | 8 Apr 2013 |
| CTA and UTP Admin | Administrative messages | 28 Feb 2011 |
Source: [1].
NYSE's specification puts a typical day at about 69 million trade records and 1.9 billion quote records, estimates unchanged since at least its November 2022 version [1, 2]. Depth of book for NYSE's own markets sits in single-exchange products [4].
Daily TAQ and Monthly TAQ
Academic research widely used Monthly TAQ, with timestamps to the second [24]. Holden and Jacobsen compared it with Daily TAQ for 100 firms from April to June 2008. On Monthly TAQ, the percent effective spread was 54% larger and price impact 109% larger, driven by withdrawn quotes, second-level timestamps and canceled quotes [24]. NYSE's Daily TAQ starts in 1993, licensed by month of history or for ongoing access [1]. WRDS lists its Daily product from 10 September 2003 and its Monthly product from 1993 to 2014 [31].
SIP timestamp and participant timestamp
A Daily TAQ trade carries up to three times [1].
| Field | Daily TAQ definition | What the SIP specifications add |
|---|---|---|
| Time | "Time the trade was published by the SIP" | When the SIP produced the message |
| Participant Timestamp | "Time when the trade was reported to the SIP" | Exchanges: matching-engine publication time. Trades reported to a FINRA trade reporting facility (TRF): the execution time the member reports |
| TRF Timestamp | Blank for exchange trades | When the facility published the trade on its own feed, if it runs one |
Exchange clocks are synchronized to within 100 microseconds [1]. SIP time minus participant time is reporting latency. Bartlett and McCrary measured it for Dow 30 stocks from August 2015 to June 2016: an average of 1.13 milliseconds for quotes and 22.84 milliseconds for trades, with TRF trades averaging about 87 milliseconds on Tape A and 101 on Tape C [27]. About 0.72% of trade reports showed a SIP time earlier than the participant time, mostly from clock synchronization issues [27].
Daily TAQ files are sorted by symbol, SIP time and sequence number [1], and Bartlett and McCrary show trade pairs that participant time places in the opposite order [27]. A TRF trade's participant time is only as fine as the member's report. FINRA Rule 6380A asks for milliseconds where the member's system captures them [21].
Timestamp precision by year and tape
| From | UTP (Tape C) | CTA (Tapes A and B) |
|---|---|---|
| January 1993 | Seconds | Seconds |
| October 2003 | Milliseconds | Milliseconds |
| 27 July 2015 | Microseconds | Milliseconds |
| 3 August 2015 | Microseconds | Microseconds |
| 24 October 2016 | Nanoseconds | Microseconds with 000 appended |
| 18 September 2017 | Nanoseconds | Nanoseconds |
Source: [1].
The participant and TRF fields arrived with the 2015 move to microseconds [1].
Sequence numbers on Tapes A and B
Tape C sequence numbers rise by 1 with every message. Tape A and B numbers equal the CTA block sequence number times 100 plus the message ID, so they "do not increase continuously" [1], and CTA block numbers restart at zero each day [8]. A +1 gap check raises false alarms here, as the note on rebuilding order books from snapshots and diffs explains.
TAQ sale condition codes and which trades count
A trade carries up to four sale condition codes [1]. Each SIP's matrix says which conditions update the last price, the high and low, and volume [7, 8].
| Sale condition | Updates last, high and low | Updates volume |
|---|---|---|
| Regular sale, intermarket sweep | Yes | Yes |
| Odd lot trade (I) | No | Yes |
| Average price trade (B on CTA, W on UTP) | No | Yes |
| Form T and extended hours (T, U) | No | Yes |
| Market center official close (M) | Market center values only | No |
When a trade carries several conditions, a "no" from any one of them wins [7, 8]. In its June 2026 Rule 611 proposal, the SEC counted regular-way trades as Regular Trade, Intermarket Sweep Order or Odd Lot Trade [17].
In a 2014 study of TAQ's missing odd lots, O'Hara, Yao and Ye found them a median 24% of trades in their sample, and 60% or more in some stocks [25].
Corrections, cancels and the NBBO file
Daily TAQ keeps each original trade with a code for what happened to it (01 corrected, 07 erroneous, 08 canceled), followed by the correction, error or cancel record [1].
In 2008 data, Holden and Jacobsen found the NBBO file incomplete. When one exchange held both the best bid and the best offer, the official NBBO record sat in the Quotes file, so they merged the two [24]. From the first quarter of 2023, the NBBO file includes quotes that are themselves the new NBBO (CTA code G, UTP code 4) [1].
The round lot definition from November 2025
The SEC's 2020 Market Data Infrastructure rule set round lots by price: 100 shares at $250 or less, 40 up to $1,000, 10 up to $10,000 and 1 above that [12]. A September 2024 release set compliance for November 2025 and reassignment twice a year, on the first business day of May and of November [13]. The SIPs implemented it on 3 November 2025 [7, 14].
A stock's round lot is therefore a dated attribute, read per day from the Master file [1]. Quote sizes changed unit on the same date: the 2022 specification gave them "in round lots" [2], and since 3 November 2025 they are in shares, rounded down to a multiple of the round lot [7, 13].
In Cboe's own analysis of SIP data, average inside size for stocks priced $1,000 to $10,000 fell from about 99 shares in October 2025 to about 32 in November, and their NBBO spreads went from about 53 basis points (July to October 2025) to about 35 (November 2025 to March 2026) [32].
From 23 February 2026, the SIPs carry fractional share quantities for NMS stocks [7, 23]. Before then, a reported fractional trade printed as one share, since the tape did not accept reports for less than a single share [28].
Odd-lot quotes on the SIP
The UTP SIP introduced odd-lot quote messages and the best odd-lot bid and offer (BOLO) on 27 April 2026 [7]. Under SEC relief that defers odd-lot quotes at every price level to May 2028, the SIPs carry one odd-lot price level per venue [9, 14, 22]. NYSE's March 2026 specification starts Daily TAQ's odd-lot files on 1 June 2026 [1].
Rules still moving
On 11 June 2026, the SEC moved compliance for the half-penny tick for some stocks and the $0.001 access fee cap to the first business day of November 2027 [15]. The same day, it proposed rescinding Rule 611, the trade-through rule, and Rule 610(e) on locked and crossed quotes [16]. It would also drop "trade-through exempt indicators" from regulatory data, the content of TAQ Trades field 15 [1, 17]. The SEC's rulemaking page still listed it as proposed on 24 October 2026 [18].
The SIPs are scheduled to run a 23-hour trading day, five days a week, from 6 December 2026, subject to readiness and approvals [7, 11]. CTA counts trades and quotes from 9 PM to midnight under the next calendar date [11].
Rillor's market data holds trade and quote history for U.S. stocks and futures from 2018, mapped to one symbol list. Each trade keeps its sale conditions as reported, and every record keeps the source's own timestamp beside capture time [33].
Read the full report
The full report adds a table of the dated breaks, Monthly TAQ's early timestamp history and both SIPs' sale condition rules in detail.