FINRA - US Equities Short Interest / Short Volume Schemas#

FINRA US Equity short interest summary every two weeks, plus trade reports, and daily short volume through Trade Reporting Facilities. FINRA Daily Short Sale Volume is stored in the DAY table. This is populated daily. Monthly Short Sale Volume is stored in the TRD and SHORT_INT tables, and is populated monthly, approximately 8 days after the month is complete. The TRD table reports data per day, while the SHORT_INT table reports data twice per month.

US_SHORT_INT#

Database includes the following Tables:

DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest
SHORT_INT - Short Interest Statistics every 2 weeks
TRD - Trades
STAT - Static data, e.g. ISIN, description, security type

US_SHORT_INT - DAY#

Daily price and statistical data, e.g. closing price, settlement price, open interest

US_SHORT_INT - DAY Table Schema#
Field	Data Type	Description
SYMBOL_NAME	string	Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate)
TIMESTAMP	nsectime	Event Timestamp (typically at a nano-second resolution)
SHORT_VOLUME	double	Total short selling volume on the current trading day
SHORT_EXEMPT_VOLUME	double	Total short selling volume exempt from Regulation SHO restrictions
VOLUME	double	DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval
TRF	string[4]	Trade Reporting Facility used to report a trade (for trades reported to FINRA)
OMDSEQ	uint	Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first.

US_SHORT_INT - SHORT_INT#

Short Interest Statistics every 2 weeks

US_SHORT_INT - SHORT_INT Table Schema#
Field	Data Type	Description
SYMBOL_NAME	string	Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate)
TIMESTAMP	nsectime	Event Timestamp (typically at a nano-second resolution)
SHORT_INT	double	Total short position held in the security
PREV_SHORT_INT	double	Previous short interest
AVG_DAILY_VOLUME	double	Average daily traded volume
SHORT_INT_DAYS_TO_COVER	double	Short interest as a multiple of the average daily volume
SHORT_INT_CHG_PCT	double	Short interest percentage change
SHORT_INT_CHG	double	Short interest net change
OMDSEQ	uint	Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first.

US_SHORT_INT - TRD#

Trades

US_SHORT_INT - TRD Table Schema#
Field	Data Type	Description
SYMBOL_NAME	string	Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate)
TIMESTAMP	nsectime	Event Timestamp (typically at a nano-second resolution)
TRF	string[1]	Trade Reporting Facility used to report a trade (for trades reported to FINRA)
SIZE	int	TRD: Trade size, IND: Indicative size, PRL: Size at the relevant price point, PRL_FULL: Order size, RFQ: Size associated with a Request for Quote, RFC: Size associated with a Request for Cross
PRICE	double	TRD: Trade price, IDX: Index value, IND: Indicative price, PRL: Price point to which the depth entry relates, PRL_FULL: Order price, FIXING: Fixing price, RFC: Price associated with a Request for Cross
SHORT_TYPE	string[1]	Type of short sale
OMDSEQ	uint	Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first.

US_SHORT_INT - STAT#

Static data, e.g. ISIN, description, security type

US_SHORT_INT - STAT Table Schema#
Field	Data Type	Description
SYMBOL_NAME	string	Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate)
TIMESTAMP	nsectime	Event Timestamp (typically at a nano-second resolution)
NAME	string[200]	Description of the instrument
SIP_SYMBOL	string[16]	Ticker symbol used by the US Securities Information Processor (CTA / UTP)
PREV_SYMBOL	string[16]	Previous ticker symbol, in the event of a symbol change
PRIMARY_MIC	string[4]	MIC of the instrument’s primary listing market, or the reference market for instruments traded on an MTF
SEC_TYPE	string[30]	Security type, e.g. Equity, ETF, Future
NYSE_INDUSTRY_CODE	string[4]	Industry classification, as defined by NYSE
LOT_SIZE	double	All standard order sizes must be an integer multiple of the Lot Size
CONSOLIDATED_TAPE	string[1]	Consolidated Tape on which a US security is published (A/B/C).
TEST_SYMBOL	string[1]	Y - Test symbol, N - Not a test symbol
TICK_PILOT_IND	string[20]	Specifies any tick size pilot initiatives in which the instrument is participating
LISTING_DATE	string[8]	Date when the instrument was listed (YYYYMMDD)
SHARES_OUTSTANDING	long	Shares / quantity outstanding
OMDSEQ	uint	Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first.