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Monthly Short Sale Volume Files

Please give us feedback on this preview of the new FINRA Data section.

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.