TAQ Data Query Script Files

Descriptions of the sample query script files.

The sample query script files are in:

TAQ Data Query Script Descriptions
Script Name	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. Note: To capture the last price of a given day, run setup_tick_qry3_last_price.sql on the RAPCache database at the end of each trading day. This data is referenced by tick_qry3.sql
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).