A Free TAQ & CRSP Alternative

Why researchers use it as a TAQ/CRSP alternative

Commercial intraday data for U.S. equities is expensive and usually reached through a WRDS subscription — NYSE Trade and Quote (TAQ) for tick-level trades and quotes, and CRSP for daily security prices and returns. Students, independent researchers, and anyone without an institutional subscription are often locked out.

The HF Data Library is a free, openly licensed option for the large share of intraday work that needs 1-minute OHLCV bars rather than full tick data: realized-volatility estimation, spread and liquidity proxies, jump detection, intraday seasonality, event studies, and backtesting prototypes. Every series is downloadable directly or through a free REST API, and the dataset has a citable Zenodo DOI.

How it compares

What it is — and what it isn't

To set expectations honestly:

• Not tick-level. Data is aggregated to 1-minute OHLCV bars, so it does not replace TAQ for quote-level or sub-second microstructure work.
• Source change in March 2022. From March 2022 onward the underlying feed is IEX Exchange, which represents roughly 2–3% of consolidated U.S. volume; earlier data is broader. See Known Issues for details.
• Universe is a recent snapshot. The 1,391-ticker universe is fixed, so the pre-2022 history carries survivorship considerations — document this in any study that uses the long sample.

For the many research and teaching tasks where free, citable, well-documented 1-minute data is enough, it is a practical substitute for paid TAQ/CRSP access.

Who it's for

• Students and instructors who need intraday data for coursework without a WRDS login.
• Independent and early-career researchers prototyping empirical finance and market-microstructure studies.
• Quants who want free historical 1-minute bars for backtesting before committing to a paid vendor.