TAQ is one of Parity's historical market data file formats. It consists of the best bids and offers (BBOs) and trades.
TAQ uses the tab-separated values (TSV) file format with ASCII encoding.
A TAQ file consists of a header and zero or more records. The header and each record consist of a fixed number of fields. One field, Record Type, specifies which fields are present in a record. Fields that are not present in a record are empty.
Dates are represented as YYYY-MM-DD (ISO 8601).
Timestamps are represented as HH:MM:SS.SSS (ISO 8601).
Prices and sizes are represented either as integers or as decimal numbers using decimal point.
A record consists of the fields enumerated below.
| Name | Presence | Notes |
|---|---|---|
| Date | Q, T |
|
| Timestamp | Q, T |
|
| Instrument | Q, T |
|
| Record Type | Q, T |
See below |
| Bid Price | Q |
Empty if not available |
| Bid Size | Q |
Empty if not available |
| Ask Price | Q |
Empty if not available |
| Ask Size | Q |
Empty if not available |
| Trade Price | T |
|
| Trade Size | T |
|
| Trade Side | T |
Refers to resting order, empty if not available |
The record types are enumerated below.
| Record Type | Description |
|---|---|
Q |
Quote |
T |
Trade |
- Version 1. Initial version.