TAQ (“NYSE TAQ”)
The NYSE TAQ (“Trades and Quotes”) database consists of intraday transactions from the New York Stock Exchange, American Stock Exchange, Nasdaq, and Smallcap. Data queries are by date range and timestamp. WRDS has specialized hardware for handling queries on these enormous datasets.
TAQ through 2014 and Millisecond TAQ up to the present are accessible through query pages on the WRDS website, and SAS datasets on the WRDS unix server.