Dark Pools & Short Data

The purpose of this menu is to provide the user with tools for gauging the level of short interest, FTD rate, and off-exchange volume in a NMS security. There are also commands for looking at market as a whole.

Usage

Enter the dps menu from the /stocks menu, or through the absolute path:

/stocks/dps

The commands which are not ticker-specific are grouped at the top of the menu, and they provide screener-like utility.

Shorted

A list of the most-shorted stocks, according to Yahoo Finance, is displayed with the shorted command. It should be noted that this menu is only able to provide data for SEC-regulated equities.

/stocks/dps/shorted

HSI

The hsi command includes the percent of short interest relative to the float size.

/stocks/dps/hsi

PROM

prom performs a linear regression to scan for tickers with growing trade activity on ATS tapes, reported to FINRA.

/stocks/dps/prom -n 50 -l 5 -t T1

Processing Tier T1 ...
Processing regression on 50 promising tickers ...

Tier 2 NMS Tickers:

/stocks/dps/prom -n 50 -l 5 -t T2

Processing Tier T2 ...
Processing regression on 50 promising tickers ...

pos provides a summary for the last reported trading day (information is updated in the early evening). Position represents a rolling twenty-day total and directional trends can be identified by watching the changes over time. Adding the -a flag will sort the list from the bottom up - the most negative - and creates a fuller picture when watching in tandom with the positive side of the ledger. Monitor the rate of change in position sizes, or a reversal in directional flow. This white paper, written by SqueezeMetrics, sheds some light on the trading activity reported here.

/stocks/dps pos

The other end of the spectrum:

/stocks/dps/pos -a

CTB

The cost-to-borrow is used as a proxy-measurement for an equity's specialness. ctb shows the most expensive equities to short, and the number shares available to short, on Interactive Brokers.

/stocks/dps/ctb -n 5

Symbol	Fees	Available
ALPSQ	1187.0287%	500000
LEO	1034.2946%	300000
NIM	872.2794%	2000
SVRE	801.5519%	15000
APLM	753.8133%	65000

FTD

The ftd command will lookup the SEC-reported fails-to-deliver data for a single company. Use load to set the symbol.

/stocks/dps/load cvna/ftd --start 2022-01-01