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NASDAQ ITCH and TAQ Data: Order Book Reconstruction and Quote Limits

Article Quant Q&A · Author: Riser
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Summary

The answer clarifies that NASDAQ ITCH is itself a form of tick data, rather than a separate alternative to tick data. ITCH messages require the user to reconstruct the limit order book in order to track the best bid and ask for each stock, a process described as nontrivial. By comparison, TAQ data supplies the national best bid and offer directly.

The answer also notes limitations of TAQ: odd-lot trades are absent, and trades are not labeled as buyer- or seller-initiated. These distinctions matter when choosing market data for order-book analysis, quote tracking, or trade-direction research. The response is a concise data-format comparison, not a complete guide to reconstructing ITCH books or resolving TAQ data quality issues; it supplies no empirical comparison or implementation detail.

Key ideas

  • ITCH is tick-level data that requires reconstructing the limit order book to track best quotes.
  • TAQ provides the national best bid and offer without requiring the same reconstruction task.
  • TAQ omits odd-lot trades, according to the answer.
  • TAQ does not directly identify trades as buyer- or seller-initiated.
  • Data choice should reflect whether the analysis needs reconstructed book state or supplied best quotes.

Tags

Market microstructureEquitiesHigh-frequency trading
Full text
# Difference between Tick data and NASDAQ ITCH VIEW


# Difference between Tick data and NASDAQ ITCH VIEW












Could any one explain the difference

## Answer by CharlesM (score 2)

https://quant.stackexchange.com/a/18150

What Tick data you have in mind? NASDAQ ITCH is tick data but you have to construct the limit order book yourself to keep track of the best bid and ask price for each stocks. Not a trivial task. If you get TAQ data, you will get the best bid and ask (NBBO) but TAQ data has some issues like no odd-lot trades and trades are not mark buyer or seller initiated.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.