Sorry if I am writing to wrong forum but could anyone suggest a resource with a detailed explanations for TAQ file formats? These files contains raw tick trade/quote data from exchange. Although certain documentation is available (http://www.nyxdata.com/data-products/daily-taq) it is quite brief.
For example, the difference between Unit of Trading and Unit of Trade, etc
Thank you.
For example, the difference between Unit of Trading and Unit of Trade, etc
Thank you.
