Daily Short Volume

2022년 5월 28일

This is a script to utilize Quandl (Now Nasdaq Data Link) FINRA Short Volume datasets to see daily volume proportions by short / long activity.

For clarity, long volume does not indicate buying or selling, just that some volume for the day was either buying-to-open or selling-to-close.
Similar but opposite, short volume indicates that some volume for the day was either selling-to-open or buying-to-close.

The decimal value indicates the proportion of Long to Short volume. Example, 0.40 green / 0.60 red would indicate 40% long volume / 60% short volume for that day.

We can take that information as well as the overall outcome of the days session to get an idea for who was drove the market direction for the day.
The four clear outcomes that we can look for are:

If the volume was mostly long (a mostly green bar in the indicator) than an up day would indicate position holders added to long positions.
If the volume was mostly long (a mostly green bar in the indicator) than a down day would indicate position holders reduced from long positions.
If the volume was mostly short (a mostly red bar in the indicator) than a down day would indicate position holders sold short and added to short positions.
If the volume was mostly short (a mostly red bar in the indicator) than an up day would indicate position holders bought to cover long positions.

Those are the clearest possible cases but far more likely the volume will be muddled between short and long making interpreting the net outcome of the day far more difficult.

Unfortunately this data is only published at a daily resolution by FINRA and is usually available at the end of the trading day approximately 3-4 hours following market close.

Please reach out with any questions, suggestions, or recommendations on how to improve this indicator.

Best,
Zero

2024년 12월 3일

릴리즈 노트

Update to correct for two things:
* new data source (FINRA:<sym>_SHORT_VOLUME)
* split adjusted volume on new data source

2024년 12월 17일

릴리즈 노트

Name update to comply with house rules.