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Where can I get/buy the TAQ NYSE OpenBook for specific stocks on specific days? I don't need a whole year of all stocks. I just want to enter a day and a stock, so I can download the order book data of that day.

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If you don't want to deal with NYX, check out TickData. You can purchase a date range for symbols, but the minimum order is $999.

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For everything related to NYSE data you start at:

http://www.nyxdata.com/Data-Products/Historical-Data

If you just need end of day data, then you can get this from Google finance or yahoo finance for free. If you want to individual prices, then you have a few options:

1) get a Bloomberg terminal and pull the data you want. They go back 205 days I believe.

2) go to another data vendor like RealTik, or ActivData.

3) purchase from NYSE themselves at the above link.

I'm not sure the price differs if you want specific stocks versus the entire market. From what I remember, you just pay money and they let you query what ever stocks on which ever days you want.

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