Access is available on and off campus to current McMaster University students, faculty and staff.
- WRDS account: Current McMaster users can register for a personal WRDS account.
- WRDS Day Pass: Current McMaster users can request a 24-hour WRDS day pass using this form. A McMaster email address is required. Once the form is submitted, a WRDS access link will be emailed to you within minutes via email.
- TAQ (Trade & Quote) and other datasets via WRDS has been fully funded by the DeGroote School of Business (DSB).
Coverage: 2018 to the present
To access TAQ data, connect to WRDS > on the WRDS Subscriptions page (default home page) select TAQ > scroll through the resulting list and select the Millisecond Trade and Quote -"Daily Product" options. NOTE: McMaster's subscription dates back to 2018, not 2003.
Offers tick-by-tick trade and quote data of all activity within the U.S. National Market System. TAQ provides transaction information at the intraday level (to the microsecond) covering over 10,000 stock issues listed on 16 major American exchanges, including the New York Stock Exchange (NYSE), American Stock Exchange (AMEX), and Nasdaq.
Includes 150+ daily variables that cover liquidity, volatility, price/flows, informativeness, and many others.
