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algoquant / HighFreq

R package for high frequency time series data management
Mozilla Public License 2.0
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Why WRDS as the reference data source? #4

Open stucash opened 2 years ago

stucash commented 2 years ago

This technically is not an issue but I couldn't find a better place to ask this question...

Why use WRDS as the reference data source for TAQ data? as far as I can see the TAQ data format of WRDS looks to be very different from what we can get from a commercial data source (Polygon.io, IQFEED, or InteractiveBroker, to name a few robust retail data sources); these retail data sources typically give you both BidExchange and AskExchange in quote data whereas WRDS only contains one column called Exchange for quote data.

I am asking because isn't this package created for real-world analysis and WRDS looks more like an academic data source? It's very likely I missed something here, it'd be great if you could shed some light on this.

Thanks very much!

algoquant commented 2 years ago

@stucash Good points. I do plan to replace the data files.