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Stocks Daily ShortVolume

Daily off-exchange short sale volume for US-listed stocks, one row per stock and trading day from August 2009, from FINRA's daily Reg SHO short sale volume files.

Shape measured at the next refresh of dataset_cards/facts.json. Refreshed monthly.

Why It Matters

Stocks-Weekly-ShortVolume sums these rows into weeks. Some signals need the days themselves:

Daily short share: short_volume_ratio is the share of a day's off-exchange volume that was sold short. Sorts on a month's lowest, highest or most recent daily ratios, on short selling around an announcement day, or on its day-to-day changes cannot be built from weekly sums.
One definition over the whole history: every day is the sum of the same four FINRA trade reporting facilities (the two Nasdaq TRFs, the NYSE TRF and the ADF). Where FINRA publishes its own consolidated file (from August 2018), the sum equals it exactly.
Consistent with the weekly table: summed over a week (Saturday to Friday), these rows give Stocks-Weekly-ShortVolume exactly, symbol by symbol. Every monthly refresh checks this before it publishes.

What It Does Not Measure

Off-exchange volume only. FINRA's files count trades reported to its trade reporting facilities: dark pools, wholesalers and internalisers. Trades executed on an exchange are not included, so total_volume is not the consolidated volume of the day, and short_volume_ratio is the short share of the off-exchange flow, not of all trading.
Not short interest. These are shares sold short during the day, not open short positions. A short sale closed the same day still counts, and the figure says nothing about how much remains outstanding. For positions, use Stocks-Semimonthly-ShortInterest.
Market makers count too. Market makers sell short to fill buy orders, so a large part of the short volume is liquidity provision, not a bet against the stock. Off-exchange short shares typically sit around 0.4-0.5.
Regular trading hours. FINRA's files cover trades reported during regular hours.

Load It

pip install --upgrade pwb-toolbox

from pwb_toolbox import datasets as pwb_ds

df = pwb_ds.load_dataset("Stocks-Daily-ShortVolume", symbols=["AAPL"])
print(df.iloc[-1, :])

Columns

Column Name	Description
symbol	Stock ticker, as the catalogue's price tables spell it; share classes after a dot (`BRK.B`). Only symbols routed to `Stocks-Daily-Price` are kept: ETFs, preferreds, warrants and units are left out.
date	Trading day (NYSE calendar).
short_volume	Shares sold short during the day (short-exempt sales included), in trades reported to FINRA's facilities.
short_exempt_volume	The part of `short_volume` marked short exempt. Empty before 2011-02-28, when FINRA added the field.
total_volume	All shares traded during the day in trades reported to those same facilities: the off-exchange volume, not the consolidated tape.
short_volume_ratio	`short_volume / total_volume`; empty when `total_volume` is zero.

Volumes are kept as FINRA publishes them. FINRA's files carry fractional shares since 2026, so the volume columns are floats; summed over a week and rounded, they give the weekly table's figures.

Source: FINRA Reg SHO daily short sale volume files.

Access

Browsing the card and the schema is open to anyone. Downloading the files needs an approved request, tied to a subscription: what each plan includes. The same subscription covers every dataset in this organisation and the strategy catalogue.

Elsewhere

The strategy catalogue
pwb-toolbox, the loader used in the snippet above
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