Basic Python library for working with the TAQ (US Trade and Quote) dataset. License: BSD-2-Clause license. 0 stars. 11 forks.

This piece of code classify TAQ data from 2008 according to tick test and quote test as buy or sell orders; and predicted the percentage of informed trader.

The Trade and Quote (TAQ) dataset from the NYSE comes in heavily compressed zip archives of fixed-width data. The column formats have changed over the years, ...

15 мая 2023 г. · I want to download historical tastaq data in python. I see there is an option in Excel, however, it only allows you to download data for one stock at the time.

28 мар. 2022 г. · The example I use here is for the NYSE Trades and Quotes database and this contains High Frequency data on equities listed at the NYSE exchange.

10 янв. 2013 г. · The following R code was used to run the Python script on each date of interest. It processes the files in parallel, making use of all twelve ...

The NYSE Trade and Quote (TAQ) database offers tick-by-tick trade and quote data of all activity within the U.S. National Market System.

25 июн. 2021 г. · I get an empty list, but this may be because I don't have access to TAQ. Also it looks like the TAQ tables are foreign tables and the ...

Note. • The code presented here is based on a sample. SAS code available at WRDS. (http://wrds.wharton.upenn.edu/). • You can copy-and-paste the code in SAS ...

marketflow.raw_taq module¶. Basic, efficient interface to TAQ data using numpy. A central design goal is minimizing external dependencies. class marketflow.