The real-time price TAQ data includes price quotations and trade prices that are updated frequently during a trading day. Queries against these tables require knowledge of intra-day price fluctuations.
Script name |
TAQ query description |
|---|---|
tick_qry1.sql |
Get all ticks for a specified set of 100 securities for a specified three-hour time period on a specified trade date. |
tick_qry2.sql |
Determine the volume weighted price of a security considering only the ticks in a specified three hour interval. |
tick_qry3.sql |
Determine the top 10 percentage losers for the specified date on the specified exchanges sorted by percentage loss. The loss is calculated as a percentage of the last trade price of the previous day. |
tick_qry4.sql |
Determine the top 10 most active stocks for a specified date sorted by cumulative trade volume by considering all trades. |
tick_qry5.sql |
Find the most active stocks in the COMPUTER industry (use SIC code). |
tick_qry6.sql |
Find the 10 stocks with the highest percentage spreads. Spread is the difference between the last ask-price and the last bid-price. Percentage spread is calculated as a percentage of the bid-point price (average of ask and bid price). |
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