Is there anyway possible to see the real time short interest in a stock?

Discussion in 'Trading Software' started by kmgilroy89, Oct 10, 2020.

  1. I’m particularly interested in this for a low float stock that’s doing lots of rotations in a day...
    One of my friends who is a world class low float trader says it’s not possible, but I’m holding out hope that it is lol.
     
  2. realtrades

    realtrades

    Short interest data is only released twice a month.
     
  3. Yeah, dunno if any software can keep track of short orders. My trades are marked as short or sell orders. However, the T&S only shows transactions without describing if they were shorts or sells. Just don’t know if the transaction types are public info that can be obtained in real time anywhere (then obviously be added).
     
  4. realtrades

    realtrades

    I know there is software and sites that show daily short volume, don't know how this is obtained and the reliability of it, as far as the official numbers, they only come out 2x monthly.
     
    levanyashin likes this.
  5. Depends on what you mean by realtime. If you mean intraday, then
    no, not as far as I know of. If you mean timely EOD, then the
    answer is maybe.

    As mentioned above, short interest data is released twice-monthly,
    eight days in arrears, so that the data relesed this past Friday
    is a snapshot as of 20200930. The best and most timely source
    of consolidated (all exchanges) data I have found to be FactSet.
    Avoid ShortSqueeze.com, they don't include BATS and they are
    usually two days late.

    Short Volume, on the other hand, is available nightly on the FINRA
    site for NYSE and NASDAQ and associated TRF data, and on the CBOE
    ftp site for BATS data.

    The are several sources of daily stock-lending (short-interst
    surrogate) data available from private sources. The best known
    vendor in this space is IHS-Markit (old Data-Explorers feed)
    but there are several other, cheaper, sources. This data bear
    the same or similar relation to short interest as ATP payroll
    data bear to NFP.

    Short borrow rates are available in one large nightly file from
    IB's ftp, or can be scraped on individual names from several
    other sources. And optionable names yield implied borrow via
    put-call relationship.

    You will find that a linear (VARX) contemporaneous "Now-Cast"
    model of daily short interest using daily short-volume, stock-
    lending, borrow/implied-borrow, recent stock movement, and
    industry/sector economic variables as input is astoundingly accurate.
    Recalibrate (shift to today-minus-8 current) every two weeks
    when the report comes out.
     
  6. I’m looking for real time, because I want to see how it moves throughout float rotations.
     
  7. realtrades

    realtrades

    Getting up to date short interest on low floats won't really tell you much anyway, these low floats are shorted big by day traders and their sheep, some are in and out in hours, minutes even seconds, data can't account for that.
     
  8. It would be very helpful if you could see the real time like a volume delta does with the volume on the bid/ask. I haven’t ever found volume delta very helpful though.
     
  9. TheBigShort

    TheBigShort

    Its really nice to see you posting Kevin.

    Something to add here, Quandl provides daily short volume (not interest) with one day lag though their BATS exchange access.

    You can easily pull the data for free or you can view it on the website. https://www.quandl.com/data/BATS-BATS-U-S-Stock-Exchanges?keyword=aapl

    For example here was the short volume for AAPL on the BATS exchange(s) through time.

    Screen Shot 2020-10-13 at 1.11.13 AM.png
     
    Last edited: Oct 13, 2020
    horizon likes this.