FINRA - Daily Short Sale Volume
Financial Industry Regulatory Authority (FINRA)
Daily aggregated short sale volume data by security for all off-exchange short sale trades reported to FINRA trade reporting facilities. Published under SEC Regulation SHO, covering trades executed during regular market hours across all FINRA reporting venues.
Update Frequency
Daily
Historical Coverage
Since August 2018
Point in Time
Available
Overview & Use Cases
Best Used For
- •Short selling activity monitoring and sentiment analysis
- •Market microstructure research on off-exchange trading
- •Reg SHO compliance monitoring and short exempt tracking
- •Venue-level volume analysis across FINRA reporting facilities
Common Workflows
- •Daily short volume ratio analysis (short volume / total volume) by security
- •Cross-venue comparison of short selling patterns
- •Short exempt volume spike detection for circuit breaker events
- •Historical short sale trend analysis correlated with price movements
Coverage Details
Consolidated NMS
Combined short sale volume across all FINRA Trade Reporting Facilities and the Alternative Display Facility
Individual Venue Breakdown
Separate volume data for each reporting venue — Nasdaq TRF Chicago, Nasdaq TRF Carteret, NYSE TRF, and ORF
Short Exempt Volume
Trades marked as short exempt under Reg SHO Rule 201 (circuit breaker), tracked separately from regular short sales
Data Dictionary & Schema
| Field | Type | Unit | Description | Sample | |
|---|---|---|---|---|---|
| trade_date | DATE | N/A | Trading date for the reported short sale volume | 2026-02-13 | |
| symbol | STRING | N/A | Ticker symbol of the security (up to 14 characters) | AAPL | |
| market | STRING | N/A | FINRA reporting facility identifier(s) where the trades were reported | B,Q,N | |
| short_volume | LONG | Shares | Aggregate reported share volume of executed short sale and short sale exempt trades during regular trading hours | 2476374 | |
| short_exempt_volume | LONG | Shares | Aggregate reported share volume of executed short sale exempt trades during regular trading hours | 43664 | |
| total_volume | LONG | Shares | Aggregate reported share volume of all executed trades during regular trading hours | 7832795 |
Data Quality & Methodology
Data Collection Process
FINRA collects short sale data through mandatory trade reporting from broker-dealers. All off-exchange trades in NMS and OTC equity securities must be reported to a FINRA trade reporting facility (TRF, ADF, or ORF). FINRA aggregates the reported short sale volume by security for each trading day and publishes the files by approximately 6 PM ET on the same trading day.
- •Mandatory reporting from broker-dealers under FINRA rules
- •Covers all publicly disseminated off-exchange trades during regular market hours (9:30 AM – 4:00 PM ET)
- •Data aggregated by security across each reporting facility
- •Consolidated NMS file combines TRF and ADF volumes
Quality Controls
- •FINRA validates trade reports against known security master data
- •File includes header row and trailer with record count for integrity verification
- •Empty files still generated with header and zero-count trailer on no-data days
- •Pronto validates short_volume <= total_volume and checks file sizes against expected minimums
Known Limitations
- •Only includes off-exchange (OTC) trades — does NOT include exchange-traded volume (NYSE, Nasdaq, etc.)
- •Excludes non-publicly-disseminated trades, which means some offsetting buy activity is missing
- •ADF file is frequently empty or minimal due to low ADF reporting volume
- •Data is same-day but not real-time — published after market close by ~6 PM ET
- •Cannot distinguish between directional short selling and market maker short positions from liquidity provision
"Gotchas" & Important Notes
Common Misconceptions
- ⚠Short Sale Volume ≠ Short Interest: Daily short sale volume is NOT the same as bi-monthly short interest. Short interest reflects aggregate open short positions at a point in time (reported twice monthly). Short sale volume reflects the volume of trades marked short on a single day. Some third-party sites incorrectly label this data as "short interest" — it is not.
- ⚠Off-Exchange Only — Not Total Market: This data covers only trades reported to FINRA facilities (TRFs, ADF, ORF). It does NOT include short sales executed on exchanges like NYSE or Nasdaq. To get a complete picture of short selling, you must combine FINRA data with exchange-published data.
- ⚠High Short Volume Ratio Can Be Misleading: Market makers routinely sell short as part of providing liquidity, then cover those positions within the same day. This bona fide market making activity inflates the apparent short sale volume without representing directional short interest. A stock with little genuine short selling can still show a high short volume ratio.
Timing Considerations
- ⏰Publication Schedule: Files are published on the same trading day, typically by 6:00 PM ET. Pronto ingests at 6:00 PM ET (cron: 0 18 * * 1-5). No data is published on weekends or US market holidays.
- ⏰Historical Availability: Consolidated NMS files available since August 1, 2018. FINRA/Nasdaq TRF Chicago files available since September 10, 2018. All other venue files available since August 1, 2018.
- ⏰Corrections and Restatements: FINRA may correct previously published files. Corrections are not separately flagged — the file for a given date is simply replaced. Pronto's upsert logic handles this automatically via the (trade_date, symbol) composite key.
Understanding the Reporting Venues
- •CNMS (Consolidated NMS): Combined data from all TRFs plus the ADF — the most commonly used file
- •FNSQ (Nasdaq TRF Carteret): Trades reported to the primary Nasdaq TRF in Carteret, NJ — typically the highest individual venue volume
- •FNYX (NYSE TRF): Trades reported to the FINRA/NYSE TRF
- •FNQC (Nasdaq TRF Chicago): Trades reported to the FINRA/Nasdaq TRF in Chicago
- •FORF (ORF): Over-the-Counter Reporting Facility — covers OTC equity securities
- •FNRA (ADF): Alternative Display Facility — very low volume, frequently empty files
Market Field Differs Between Consolidated and Individual Tables
In the consolidated table, the market field contains a comma-separated list of venues that reported volume for that security (e.g., "B,Q,N"). In the individual venue table, it is a single character code (e.g., "Q"). Do not assume the market field is a single value across both tables.
Market Field Codes
- •N = NYSE TRF
- •Q = Nasdaq TRF Carteret
- •B = Nasdaq TRF Chicago
- •D = ADF
- •O = ORF
Key Calculations
- •Short Volume Ratio: short_volume / total_volume — indicates proportion of trading that was short selling
- •Net Short Volume: short_volume - short_exempt_volume — short sales subject to standard Reg SHO rules
- •Short Exempt Ratio: short_exempt_volume / short_volume — indicates Rule 201 circuit breaker utilization
- •All volumes are in shares, not dollars
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