The Monthly Short Sale Transaction Files provide detailed trade activity of all short sale trades executed and reported to a FINRA Trade Reporting Facility (TRF) or FINRA’s Alternative Display Facility (ADF) during normal market hours as well as after-hours. The Short Sale Files include only trades reported to a TRF or ADF for public dissemination purposes (i.e., media-reported trades).

As discussed more fully in Information Notice 5/10/19, the following key points about the Short Sale Files may help avoid misperceptions regarding the data:

• The Short Sale Files do not include any trading activity that is not publicly disseminated. As a result, some offsetting buying activity related to reported short selling would not be reflected in the Daily File and may result in the appearance of a higher concentration of short sale volume to total volume.
• The Short Sale Files are not consolidated with exchange data. To obtain a complete picture of the short sale volume to total volume for a particular exchange-listed stock, market participants must combine data from the separate files for the TRFs and the ADF as well as from each exchange.
• 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.