I am considering getting some data from the NYSE TAQ database. Does anybody have experience with this data? Are there any problems or shortcomings?
It comes directly from NYSE so it seems like it should be the most reliable source. However, it looks like the trades and quotes are two separate databases, merging the two might be tricky...
It comes directly from NYSE so it seems like it should be the most reliable source. However, it looks like the trades and quotes are two separate databases, merging the two might be tricky...