TAQ
The Trade and Quote (TAQ) database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National Market System (NMS) and SmallCap issues. Further information can be found on the WRDS website (see links below).
Availability
Consolidated trades and consolidated quotes data are available to NYU through WRDS. Query pages with Documentation of data variables, along with a User’s Guide are included on the WRDS website. The WRDS unix server (wrds.wharton.upenn.edu) has SAS datasets and SAS sample programs.
TAQ Commercial Website
WRDS Introduction (includes how to get an account)
WRDS Website (to request an account or to login)
WRDS Without Account (via Stern wireless, and on public terminals at Stern and Bobst Library)