Historical Intraday Data
To download historical intraday data, use TAQ (WRDS):
First, see the Using TAQ Data Efficiently documentation in WRDS.
- Log in to WRDS and go to TAQ.
- Scroll down and under Getting Started select: Using TAQ Efficiently: Documentation (you must log in to WRDS to access the documentation)
The data is divided into 2 datasets:
- Trade and Quote - "Monthly Product". 1993 - 2014
- It can be helpful when first using TAQ to start by using the TAQ Tools file.
- Millisecond Trade and Quote - "Daily Product". 2001 - present, updated daily.
- It can be helpful when first using TAQ to start by using the TAQ Millisecond Tools file.
See more documentation about TAQ in the Manuals and Overviews section.
View Current Intraday Data-Limited Backfiles
View current (<180 days) intraday quotes in Bloomberg:
- Enter Ticker Equity GIT <GO> (e.g. IBM US Equity GIT <GO>).
- In the amber fields, adjust options:
- Period - select any number of minutes up to 60.
- Date range - limit is latest 180 days.