TAQ Trades & Quotes (WRDS)

The WRDS portal offers à tic by tic database called TAQ


Downloading tic by tic information always results in enormous output files. It is safer to cut your downloads in 'shorter' time periodes. Keep in mind that data FROM à single day already results in many megabytes (when it's done as a .txt file)

For instance:
Consolidated quotes
 Set range. Mind my in initial remark.
Note how precise the time window can be set... (measuring one day)

Symbol = Ticker..

Output text.TXT

Note that you are obliged to compress your output file <<<< indication of output size
(zip or gzip)
This time window (1st to 2nd Agust 2014), resulted in 6,5 Mb output.
Output size can be cruitical when trying to open in a spreadsheet Program.
I believe STATA can cope with larger files.
Remark: even this limited set gave problems opening in Excel.

Output example:

TAQ short sales
content: database contains data related to SEC Regulation SHO per the terms of the SRO requirement to make Short Sale transactions data available on a monthly basis for trade dates beginning January 2005 through the pilot period ending 2007. (SROs are self-regulatory organizations in the securities industry, such as the NYSE, that create and enforce rules for its members based on the federal securities laws.)

Conditions are similar to Trades and Quotes.