Consolidated Daily Short Sale Volume Data
Consolidated TRF/ADF Daily Short Sale Volume Files," which combines the volume for trades in exchange-listed securities reported to the TRFs and the ADF.
The Short Sale Files do not—and are not intended to—equate to bi-monthly reported short interest position information. The short interest data reflects short positions held by market participants at a specific moment in time on two discrete days each month, while the Daily File reflects the aggregate volume of trades executed as short sales on each trade date.
Some market participants mistakenly conclude that the bi-monthly short interest data is understated because the Daily File reflects short sale volume that is much larger than what is reported as short interest. However, short interest data reflects short positions held by market participants at a specific moment in time on two discrete days each month, while the Daily File reflects the aggregate volume of trades executed as short sales on each trade date. Therefore, while the two data sets are related (i.e., short sale volume may ultimately result in a reportable short interest position), they are not necessarily correlated.
For example, if a firm sells short 1,000 shares of security ABCD, then purchases 1,000 shares of ABCD later the same day, the short sale volume in the Daily File will include the 1,000 shares that were sold short. Because the firm sold short and purchased an equivalent number of shares that day, it did not establish or accumulate a short position in ABCD; thus, its short sale has no impact on the reported short interest in ABCD.
Table Name:
FINRASHORTINTEREST
Table Field Names:
-Symbol: Stock Ticker Symbol
-Date: Trading Trading Date
-ShortVolume: Aggregate reported share volume of executed short sale and short sale exempt trades during regular trading hours
-ShortExemptVolume: Aggregate reported share volume of executed short sale exempt trades during regular trading hours
-TotalVolume:Aggregate reported share volume of all executed trades during
regular trading hours
- Market: Reporting Facility identifier. Values are : N = NYSE TRF, Q = NASDAQ TRF Carteret, B = NASDAQ TRF Chicago, D = ADF
More Information
To assist market participants in understanding the short sale volume data, FINRA has updated its website to include a short primer on reading the published data.
- Specifically, the Daily File includes total volume, total short sale volume and total short exempt volume.
- See www.finra.org/industry/trf/trf-regulation-sho-2018, www.finra.org/industry/adf/adf-regulation-sho and www.finra.org/industry/orf/orf-regulation-sho
- See Information Notice 9/29/09, Publication of Daily and Monthly Short Sale Reports on the FINRA Web Site, at www.finra.org/industry/information-notice-092909. See also Securities Exchange Act Release No. 60807 (October 9, 2009), 74 FR 53524 (October 19, 2009) (Notice of Filing and Order Granting Accelerated Approval of File No. SR-FINRA-2009-064).
- The “consolidated tape” is a high-speed, electronic system that reports the latest price and volume data on sales of listed stocks.
- The data reflected on the consolidated tape is generated by various market centers, including securities exchanges, electronic trading platforms such as alternative trading systems and broker-dealers.
- Internet sites that provide updated market information and financial news programs on television often include trade reports from the consolidated tape.
- See www.sec.gov/fast-answers/answersconsolthtm.html.
- The trade between the firm and its customer may be reported to FINRA for regulatory purposes, but is not publicly disseminated.
- FINRA notes that even if the short sale volume data were consolidated across the exchanges and FINRA, it would not eliminate the potential confusion (discussed above) created by the Short Sale Files only capturing publicly disseminated trades.
Market participants would need to combine data from each of FINRA’s published files to get a complete picture of total off-exchange volume.
- See www.sec.gov/answers/shortsalevolume.htm.
- FINRA provides its short sale volume data free of charge.
- See Rule 4560 (Short Interest Reporting).
- Market participants can also access short interest information from certain independent financial websites.
- The primer is available at the TRF, ADF and ORF Regulation SHO landing pages of the FINRA website.
- See www.finra.org/industry/trf/trf-regulation-sho-2018, www.finra.org/industry/adf/adf-regulation-sho and www.finra.org/industry/orf/orf-regulation-sho