From the readme.bnp.txt file in the JAE Data Archive available at http://qed.econ.queensu.ca/jae/2011-v26.4/bien-nolte-pohlmeier/:
The high-frequency data used in the paper come from the Trades and Quotation (TAQ) database. The data contains time-stamped quotations of Citicorp stock traded at the NYSE over the period from 20th February to 23rd February 2001.
In the study, 30-second bid and ask quote changes are constructed from the irregularly-spaced quote data. The study covers observations recorded from 9:35 EST until 16:00 EST.
The data contains 3080 rows and eight columns - in order:
1. year 2. month 3. day 4. time in number of seconds after the 9:35 EST 5. best ask quote 6. best bid quote 7. 30-second change of the ask quote in number of ticks 8. 30-second change of the bid quote in number of ticks.
data("tqdata")A data.frame object containing 3,080 observat. ions.
Bien K, Nolte, I, Pohlmeier W (2011). "An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics". Journal of Applied Econometrics, 26(4), 669-707. tools:::Rd_expr_doi("10.1002/jae.1122")