Short Availability
Key Concepts
Introduction
To short a security, you need to borrow shares from another investor or organization that owns the shares. A shortable provider is a model that tracks the number of shares that are available for you to borrow. A shortable provider can make your backtest results more realistic because it doesn't let you place a short trade if there are no shares available for you to borrow.
Set Providers
The brokerage model of your algorithm automatically sets the settlement model for each security, but you can override it. To manually set the shortable provider of a security, call the SetShortableProvider
method on the Security
object.
// In Initialize var security = AddEquity("SPY"); security.SetShortableProvider(new LocalDiskShortableProvider("axos"));
# In Initialize security = self.AddEquity("SPY") security.SetShortableProvider(LocalDiskShortableProvider("axos"))
You can also set the shortable provider in a security initializer. If your algorithm has a universe, use the security initializer technique. In order to initialize single security subscriptions with the security initializer, call SetSecurityInitializer
before you create the subscriptions.
// In Initialize SetSecurityInitializer(CustomSecurityInitializer); AddEquity("SPY"); private void CustomSecurityInitializer(Security security) { security.SetShortableProvider(new LocalDiskShortableProvider("axos")); }
# In Initialize self.SetSecurityInitializer(self.CustomSecurityInitializer) self.AddEquity("SPY") def CustomSecurityInitializer(self, security: Security) -> None: security.SetShortableProvider(LocalDiskShortableProvider("axos"))
If you call the SetSecurityInitializer
method, it overwrites the default security initializer. The default security initializer uses the security-level reality models of the brokerage model to set the following reality models of each security:
To extend upon the default security initializer instead of overwriting it, create a custom BrokerageModelSecurityInitializer
.
// In Initialize SetSecurityInitializer(new MySecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrices))); // Outside of the algorithm class class MySecurityInitializer : BrokerageModelSecurityInitializer { public MySecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder) : base(brokerageModel, securitySeeder) {} public override void Initialize(Security security) { // First, call the superclass definition // This method sets the reality models of each security using the default reality models of the brokerage model base.Initialize(security); // Next, overwrite some of the reality models security.SetShortableProvider(new LocalDiskShortableProvider("axos")); } }
# In Initialize self.SetSecurityInitializer(MySecurityInitializer(self.BrokerageModel, FuncSecuritySeeder(self.GetLastKnownPrices))) # Outside of the algorithm class class MySecurityInitializer(BrokerageModelSecurityInitializer): def __init__(self, brokerage_model: IBrokerageModel, security_seeder: ISecuritySeeder) -> None: super().__init__(brokerage_model, security_seeder) def Initialize(self, security: Security) -> None: # First, call the superclass definition # This method sets the reality models of each security using the default reality models of the brokerage model super().Initialize(security) # Next, overwrite some of the reality models security.SetShortableProvider(LocalDiskShortableProvider("axos"))
To view all the pre-built shortable providers, see Supported Providers.
Default Behavior
The brokerage model of your algorithm automatically sets the shortable provider for each security. The default brokerage model is the DefaultBrokerageModel
, which uses the NullShortableProvider.
Provider Structure
Shortable providers must implement the IShortableProvider
interface.
Shortable providers that implement the IShortableProvider
interface must implement the FeeRate
, RebateRate
, and ShortableQuantity
methods.
These methods receives a Symbol and the local time of the algorithm.
The FeeRate
method returns the borrow fee rate.
The RebateRate
method returns the borrow rebate rate.
The ShortableQuantity
returns the shortable quantity.
// In the Initialize method, set the shortable provider security.SetShortableProvider(new MyShortableProvider()); // Define the custom shortable provider class MyShortableProvider : IShortableProvider { public decimal FeeRate(Symbol symbol, DateTime localTime) { return 0.0025m; } public decimal RebateRate(Symbol symbol, DateTime localTime) { return 0.0507m; } public long? ShortableQuantity(Symbol symbol, DateTime localTime) { return 10000; } }
# In the Initialize method, set the shortable provider security.SetShortableProvider(MyShortableProvider()) # Define the custom shortable provider class MyShortableProvider(NullShortableProvider): def FeeRate(self, symbol: Symbol, localTime: datetime) -> float: return 0.0025 def RebateRate(self, symbol: Symbol, localTime: datetime) -> float: return 0.0507 def ShortableQuantity(self, symbol: Symbol, localTime: datetime) -> float: return 10000
For a full example algorithm, see this backtestthis backtest.
Borrowing Costs
In live trading, your brokerage charges an interest fee when you borrow shares to short a security. In backtesting, we don't currently simulate short interest fees. You can evaluate the borrowing cost with the FeeRate
and RebateRate
methods.
To get valid borrowing rates, use the InteractiveBrokersShortableProvider.