Equity

FINRA Short Sale Volume

Financial Industry Regulatory Authority

Daily short sale volume data from FINRA's trade reporting facilities, providing comprehensive insights into short selling activity across U.S. equity markets including stocks, ETFs, and other securities.

Update Frequency

Daily

Historical Coverage

From 2019

Point in Time

Not Available

Overview & Use Cases

Best Used For

•Equity trading and short squeeze analysis
•Market sentiment and positioning analysis
•Risk management and portfolio optimization
•Regulatory compliance and reporting

Common Workflows

•Daily short interest monitoring and alerts
•Short squeeze candidate identification
•Market maker activity analysis
•Cross-sectional short selling pattern studies

Coverage Details

ADF

Alternative Display Facility trades

TRF Carteret

Trade Reporting Facility Carteret

TRF Chicago

Trade Reporting Facility Chicago

All Securities

Stocks, ETFs, and other equity securities

Data Dictionary & Schema

Field	Type	Unit	Description	Sample
Date	DATE	N/A	Trade date for the short sale volume data	20240115
Symbol	STRING	N/A	Security symbol identifier	AAPL
ShortVolume	LONG	Shares	Total short sale volume for the security	1234567
ShortExemptVolume	LONG	Shares	Short exempt volume for the security	45678
TotalVolume	LONG	Shares	Total trading volume for the security	5678901
Market	STRING	N/A	Market identifier where trades were executed	B

Data Quality & Methodology

Data Collection Process

FINRA collects short sale volume data through mandatory reporting from member firms to its trade reporting facilities. Data is aggregated daily and published no later than 6:00 PM ET on the same trade date.

•Real-time trade reporting to FINRA facilities (ADF, TRFs)
•Daily aggregation and validation processes
•Coverage includes all FINRA member firm transactions

Quality Controls

•Automated validation of trade report completeness and accuracy
•Cross-validation between different reporting facilities
•Historical trend analysis to identify reporting anomalies
•Regular audits of member firm reporting compliance

Known Limitations

•Only covers trades reported to FINRA facilities (excludes some dark pools)
•Does not include exchange-traded volume (NYSE, NASDAQ direct)
•Holiday and weekend processing may cause delays
•Point-in-time data not available - only current/revised versions

"Gotchas" & Important Notes

Common Misconceptions

⚠
Not Total Market Volume: FINRA data only covers trades reported to FINRA facilities, not the entire market including exchanges.
⚠
Short Volume ≠ Short Interest: Daily short volume shows trading activity, not outstanding short positions (short interest).
⚠
No Point-in-Time Data: Historical data may include revisions and corrections, making it unsuitable for backtesting strategies that require as-reported data.

Timing Considerations

⏰
Publication Schedule: Data is published no later than 6:00 PM ET on the same trade date.
⏰
Market Hours: Data covers regular trading hours (9:30 AM - 4:00 PM ET) and some extended hours activity.
⏰
Holiday Delays: Publication may be delayed on federal holidays and the following business day.

Understanding Short Sale Mechanics

FINRA short sale data requires specific understanding of market structure:

•Short Volume: Includes both institutional and retail short sales
•Short Exempt: Trades exempt from uptick rule, often market maker activity
•Market Making: High short volume may indicate market maker inventory management
•Pipe-Delimited Format: Data is provided in pipe-delimited format (Date|Symbol|ShortVolume|ShortExemptVolume|TotalVolume|Market)

Data Interpretation & Analysis

•Short Ratio Trends: Focus on changes in short volume ratio over time, not absolute levels
•Volume Context: Always analyze short volume relative to total volume and historical patterns
•Market Conditions: Short volume patterns vary significantly during different market regimes
•Symbol Coverage: Not all symbols appear daily; low-volume securities may be absent
•File Format: Data is provided in pipe-delimited format (Date|Symbol|ShortVolume|ShortExemptVolume|TotalVolume|Market)
•Market Codes: B=TRF Carteret, Q=TRF Chicago, N=ADF (Alternative Display Facility)
•Date Format: Dates are provided in YYYYMMDD format without separators
•Data Revisions: Historical data may be revised, so current downloads may differ from previously downloaded historical data

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