TAQ Data Queries

Trades and quotes (TAQ) data tables include real-time price quotes and trade prices that are updated frequently during a trading day. Queries against these tables use intraday price and quote fluctuations.

The tick queries are representative of the query workloads generated in pretrade analysis and trade order generation. This selection of possible queries constitutes a reasonable sample test for use in performance and tuning analysis, and also as a template to build a library of queries. You can modify the sample queries to build a native Transact-SQL access layer to present data to computational applications.

TAQ data queries are optimized to run with the RAP sample data in both the in-memory and historical databases.

• TAQ Data Query Script Files
  Descriptions of the sample query script files.
• tick_qry1.sql
  Gets all ticks for a specified set of 100 securities during a select 3-hour time period on a specified trade date.
• tick_qry2.sql
  Determines the volume-weighted price of a security considering only the ticks in a specified three-hour interval.
• setup_tick_qry3_last_price.sql
  Run this SQL script on the RAPCache database at the end of each trading day to capture the last price of that day.
• tick_qry3.sql
  Determines the top 10 percentage losers for the specified date on the specified exchanges, sorted by percentage loss.
• tick_qry4.sql
  Determines the top 10 most active stocks for a specified date, sorted by cumulative trade volume, by considering all trades.
• tick_qry5.sql
  Finds the most active stocks in the COMPUTER industry using SIC codes.
• tick_qry6.sql
  Finds the 10 stocks with the highest percentage spreads.