US Equities Short Share Volume Data

Purchase with a sample includes the most recent month of daily consolidated TRF/ADF Daily Short Sale Volume data 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:
- SRA_FINRASHORTVOLUME_SAMPLE

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

搜集汇总

背景与挑战

背景概述

该数据集提供美国上市股票的每日卖空交易量汇总数据，包含各交易所的常规交易时段卖空成交量、豁免卖空量及总成交量。需注意其反映的是每日交易量而非月度持仓数据，两者虽相关但统计维度不同。