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.
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).
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.
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.
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.
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.
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.