Knowledge Base

Historical Intraday Data

TAQ

To download lots of historical intraday data, use TAQ – see WRDS access help. Note: This is a massive dataset so will require you to be skilled at working with large datasets.

First, see the Using TAQ Data Efficiently documentation in WRDS.

1. Connect to TAQ.
2. 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.

Intrinio

The Engineering Library provides access to Intrinio, which is particularly useful for undergrad/masters CS students needing lots of tick data for class projects. Learn more about Intrinio's US Historical Intraday prices data.

View Current Intraday Data - Limited Backfiles

View current (<180 days) intraday quotes in Bloomberg – see Bloomberg access help.

1. Enter Ticker Equity GIT <GO> (e.g. IBM US Equity GIT <GO>).
2. In the amber fields, adjust options:
   1. Period - select any number of minutes up to 60.
   2. Date range - limit is latest 180 days.