TAQ OpenBook data is available on a historical/end-of-day basis in flat file format, which enables users to recreate the limit order book for any given time. TAQ OpenBook provides a view of the Limit-Order Book for all NYSE, NYSE American-traded securities. Users can see the display limit-order volume at every bid and offer price.
The TAQ OpenBook package includes the TAQ OpenBook Aggregated and TAQ Openbook Ultra files. TAQ OpenBook Aggregated is a frequency based depth of book feed that contains aggregate limit-order volume at every bid and offer price. It is a snapshot feed with update frequency per symbol of one second. TAQ OpenBook Aggregated provides a more convenient option for display applications.
TAQ OpenBook Ultra is an event-based depth of book feed that contains aggregate limit-order volume and individual event-by-event volume, action and price information for all bid and offer prices in all NYSE, NYSE American-traded securities with greater speed. With microsecond latency, OpenBook Ultra updates with every limit-order book event.
The TAQ NYSE OpenBook Ultra is available as of 6/2/2008 - present.
TAQ NYSE OpenBook Aggregated is available as of 1/24/2002 - present.