Attachment_A2_-_TAQ_Data_Field_Requirements.xlsx

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Trade and Quote Data for the Office of Financial Research (OFR) and the Financial Stability Oversight Council (FSOC)
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TFSAOFR14CI0007
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Attachment A2

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Sheet1

ATTACHMENT A2 - Data Field Descriptions Checklist
Instructions: Place a Y for "yes" or an N for "no" in the corresponding column next to each data field within the four (4) charts below. All data fields are a mandatory requirement. NOTE: IF ANY MANDATORY REQUIREMENT IS NOT MET, THE OFFER WILL BE CONSIDERED TECHNICALLY UNACCEPTABLE AND THE OFFEROR'S PROPOSAL WILL NOT BE EVALUATED FURTHER. If the Offeror captures additional data fields within its commercial product, please describe such field in the 20 page limit technical proposal.
Consolidated Trades to the Millisecond back to January 1, 2004 to remain present during the performance periodConsolidated Quotes to the Millisecond back to January 1, 2004 to remain present during the performance period
Data Field DescriptionDoes the Offeror's product(s) cover this Data Field? (Y/N)Data Field DescriptionDoes the Offeror's Product Cover this Data Field? (Y/N)
Date of tradeAsk price
Exchange that issued the tradeAsk exchange
Price of tradeAsk size in units of trade
Volume of tradeBid price
Security symbol rootBid exchange
Security symbol suffixBid size in units of trade
Time of Trade or Quote with milliseconds (HHMMSSXXX)Date of quote
Trade Correction IndicatorExchange that issued the quote
Trade Reporting FacilityNASD BBO Indicator
Trade Sale Condition (up to 4 codes)National BBO Indicator
Trade Sequence NumberQuote Cancel/Correction
Source of TradeCondition of quote issued
Trade Stop Stock Indicator (NYSE Only)Quote Sequence Number
SIC or NAIC Industry CodeSource of Quote
Security symbol root
Security symbol suffix
Time of Trade or Quote with milliseconds (HHMMSSXXX)
SIC or NAIC Industry Code
Consolidated Trades to the Second back to 1993, but prior to January 1, 2004Consolidated Quotes to the Second back to 1993, but prior to January 1, 2004
Data Field DescriptionDoes the Offeror's Product Cover this Data Field? (Y/N)Data Field DescriptionDoes the Offeror's Product Cover this Data Field? (Y/N)
Sale ConditionBid Price
Correction IndicatorBid Size in Number of Round Lots
Exchange on which the trade occuredExchange on which the quote occurred
Combined "G" Rule 127 & Stopped Stock Trade IndicatorNasdaq market marker for each NASD Quote
Actual trade Price per ShareQuote Condition
Number of Shares TradedOffer Price
SYMBOLOffer Size in Number of Round Lots
SIC or NAIC Industry CodeSYMBOL
SIC or NAIC Industry Code

Sheet2

Sheet3

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