About US Equities Short Availability
The US Equity Short Availability dataset by Atreyu Trading provides the available shares for open short positions in the US Equity market. The data covers 10,500 US Equities, starts in January 2018, and is delivered on a daily frequency. This dataset is created by Atreyu Trading using information from the exchanges.
This dataset depends on the US Equity Security Master dataset because the US Equity Security Master dataset contains information on splits, dividends, and symbol changes.
About Atreyu Trading
Atreyu Trading is a high-tech electronic brokerage connecting quantitative managers to U.S. markets founded in 2015. They offer an institutional platform, modern APIs, expert support, and competitive pricing. As a technology firm and introducing broker, Atreyu Trading focuses on systematic managers whose expertise is designing trading models, not trading infrastructure.
About QuantConnect
QuantConnect was founded in 2012 to serve quants everywhere with the best possible algorithmic trading technology. Seeking to disrupt a notoriously closed-source industry, QuantConnect takes a radically open-source approach to algorithmic trading. Through the QuantConnect web platform, more than 50,000 quants are served every month.
Algorithm Example
class ShortAvailabilityDataAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.SetStartDate(2021, 1, 1)
self.SetEndDate(2021, 7, 1)
self.SetCash(1000)
self.SetBrokerageModel(InteractiveBrokersBrokerageModelWithShortable())
self.equity = self.AddEquity("GME")
self.Schedule.On(
self.DateRules.EveryDay(self.equity.Symbol),
self.TimeRules.AfterMarketOpen(self.equity.Symbol, 10),
self.Rebalance)
def Rebalance(self) -> None:
symbol = self.equity.Symbol;
self.Plot('Total Shortable Quantity', symbol, self.equity.TotalShortableQuantity)
# First, let's not rebalance if there are no shares to short
if self.ShortableQuantity(symbol) < 0: return
# Then, test whether we can short the desired quantity
quantity = self.CalculateOrderQuantity(symbol, -1)
if self.Shortable(symbol, quantity):
self.MarketOrder(symbol, quantity)
def OnMarginCallWarning(self) -> None:
self.Liquidate()
class InteractiveBrokersBrokerageModelWithShortable(InteractiveBrokersBrokerageModel):
def __init__(self) -> None:
super().__init__()
self.ShortableProvider = AtreyuShortableProvider(SecurityType.Equity, Market.USA)
Example Applications
The US Equities Short Availability dataset enables you to accurately design strategies harnessing information about short availability. Examples include the following use cases:
- Avoiding short orders that the brokerage will reject
- Selecting securities based on how many shares are available to short
Pricing
Cloud Access
Enable realistic modeling of shortable stock limits for your QuantConnect Cloud backtesting. Plot and explore the data in backtesting and research.
On Premise Download
Download Atreyu short availability data on premise for your local backtesting and research. Data prepared as CSV by ticker and date.
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