Daily TAQ 01 DEC 2014 for Citi (C):

Trades Data:

As a test for working with the TAQ database, one day is used and presented here. This section is dedicated to the trade data.

Daily TAQ is different from the Monthly TAQ in that it has millisecond timestamps and more detailed attributes. For example, the trades file has share type, where the trade was reported from, more detailed order type, and a few others.

The main advantage is the accuracy of the time stamp. Trades that appear to happen at the same second can be shown to happen milliseconds apart. However, it should be noted both files are in the same order. So, the Monthly timestamp can be regarded as a rounded version of the Daily.

For offical documentation see: https://www.nyse.com/publicdocs/nyse/data/Daily_TAQ_Client_Spec_v2.2a.pdf

Plots: Below are a few graphs to provide a visual of the data. I have only used trades of common stock, which is the same as the Montly file.

Per the above graph, the vertical lines show the start and end of the trading day. Trades before and after are considered after-hours trading.

The below table shows the percentage of trades by which exchange it was executed on. The table includes normal trading hours and after-hours.

Top Five Exchanges:
D = Financial Industry Regulatory Authority, Inc. (FINRA ADF)
T = NASDAQ Stock Exchange, LLC (in Tape A, B securities)
Z = Bats BZX Exchange, Inc.
P = NYSE Arca, Inc.
N = New York Stock Exchange LLC

D T Z P N Y K J B X M
% of Trades 24.2 19.2 12.7 9.9 9.5 8.4 6.1 4.9 4.4 0.7 0

Full listing of exchanges codes can be found in appendix E: https://www.nyse.com/publicdocs/nyse/data/Daily_TAQ_Client_Spec_v2.2a.pdf