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BATS Exchange Releases Short Volume As Part Of Increasing Disclosure, Suprising Results
As part of the recent initiatives by Exchanges, ECNs and ATS to provide much needed transparency into daily trading practices, BATS recently started disclosed not only daily volume breakouts of total daily and short volume, but also detail into every single transaction occuring during the trading day. The complete data can be found here: the transaction level detail is staggering.
Yet the daily volume information provides a useful summary snapshot of individual and combined stock volume and the short volume disclosure is quite suprising. Based on available trading data, Short Volume on BATS accounts for over 46% of total volume. This is quite surprising in light of the fact that over the past month Short Interest as disclosed by the NYSE and Nasdaq has plunged materially. The question is how does BATS define a short transaction, and who out there actually has the guts at this moment to initiate short positions. Also, are the shorters moving aggressively from traditional exchanges such as the NYSE to fringe mediums such as BATS, ITG, etc.
Below is the chart summarizing the recent volume disclosure by BATS.
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OK...
I'm hardly one to analyze such data. But that looks like a huge amount of shorting activity.
Progam trading? J'accuse!
Zola, nice
Another possibility - Since this is only a couple of weeks of data, it could be showing large short positions being taken.
Futures this AM went up big, then dropped. That smells of a stop sweep to me.
Given what else I'm looking at, we could be FINALLY looking at the correction many have been expecting.
MY guess is that its likely intraday short positions likely tied to index arbing. I doubt much of this is held over night.
exactly
Thats the liquidity adding traders. So, while over the past months short interest has declines, plenty of day traders/hft have shorted and covered creating a net 0 diff in open short interest.
My guess is they count a sell order as a short order, perhaps if the security is not in the account and it needs to be DTC'd in. Other than that, program trading.
Demsco, with respect, that really doesn't make sense. A short sale has a clear definition, and I really, really doubt they would call all sales short sales (also, if that was the case, using BATS as a proxy for the market as a whole, we would have seen a 0.6% rise in the markets over that time period).
That's shorting activity. Whoa!
a 'will deliver' trade would not be marked short--
while I am for full disclosure and transparancy, this is too much. I would not use BATS as an institution knowing that the way I determine when to short may be disclosed by an analysis of every transaction. BATS needs to balance protection of its clients order flow with market transparancy....and this tilts toward showing the street too much.
Why too much? The party is not identified. Short and Long should have the same disclosure level.
Short sales should be part of the real-time time/sales tick.
Hell yes.
i would rather have full disclosure and transparency than what we have now. and what we have now is that the goddamn worthless SEC doesn't want to disclose who has a short position on which stock. that my friend is a black box of all black boxes that lay around. And with the Madoff exemption still in force, you don't need to have much coordination to bring down the company of your wish: Let me point you to SAC and the fact that 75% of their positions were unknown in q3 and 4 of 08 and 1 of 09
Brilliant! Captivating! Bravo!
" .. and who out there actually has the guts at this moment to initiate short positions?"
Probably the same people who went long in March.
...And me. Actually, been trying to short this f*cker for a month now.
I see a headline that NYSE is experiencing problems with some orders. When will GS take back its point-man there? He is making them look bad.
The question is if short sales on BATS shows up on the NYSE and Nasdaq short interest monthly reports.
If not, there is a disclosure gap and big players could be exploiting this.
BATS is 10% of US equity volume. Is is representative of the other 90%?
It should be, but who knows. It wouldn't be hard for the boyz to avoid BATS and do their trades in a less transparant market. Dark poolz rool!
It is a great move for BATS and hopefully others will follow.
The more info out the less insider's edge and better off society is.
Maybe markets will go back to being about investment and not casino.
I am for one heavily short these days and will remain.
d
articles like this is what separates ZH from everybody else. great job TD and thank you.
The SPY transaction data file is so large that it goes beyond the capabilities of excel after an hour and a half of trading.
I originally sent the data to ZH. I had to enter the data into Oracle to get the aggregated results.
TY Anon 35170.
I really hope you pick a suitable handle and give us updates on this data - I don't think many of us have access to that type of DB software.
You need a DB? You got it.
http://www.postgresql.org/
I know it runs great on mac/win/linux/bsd. The more memory and CPU the better, but if you can set jobs up before going to bed, any old PC will do.
Now you need mad SQL skillz to do some aggregating/summing.
Dump the results into openoffice.org to make your graphs and Bob's yer Uncle!
http://www.openoffice.org/
Seriously, it's there for the taking. Free.
Interesting. Have you used PostgreSQL?
I've never had to deal with 100mb+ datasets before...
I work with 10's of gigabytes-size datasets in postgesql and I'm on the laughably small end of the dataset bragging rights.
Mysql could be used easily too. I prefer postgresql though.
If you know what the interesting data looks like, I'm happy to host the data, do the queries, return small result sets.
Here ya go http://www.batstrading.com/market_data/shortsales/
Same data was used to make the graph up top.
Excel 2007 has a lot more capacity for data... More CPU efficiency, more RAM memory usage than 02 and 03 Excels and allows up to 1 Million Rows where the previous versions were only 65K rows... have you tried Excel 07
Excel is a poor man's database. I mean that in the friendliest way because I get that spreadsheet jockeys want to use what they know and there is nothing wrong with that.
With datasets like this, you need a legitimate database. No, Access isn't a legitimate DB backend. Access is useful for putting forms up as frontends for data, but it's query language is very weak. So, the way to do it is to dump the data into a legitimate DB.
http://www.postgresql.org/
If you are stuck on Access as a DB frontend, (yikes) use the postgresql ODBC connector.
Is it timely? By timely I mean can I see it a microsecond before everyone else? Oops! Sorry, I thought I was Goldman Sachs there for a milli.
It is my understnading that this is short volume NOT short interest. Short volume easily occurs when a market maker receives a customer order. If its a customer sell order, the market maker may sell "short" from his account to the street first, and then immediately buy from the customer. That first trade with the market maker and the contra broker/dealer would be rpeorted as a short sale (technically it is), but it is really not short because the market maker immedaitely buys it from customer. The same scenario can work conversely with customer buys order - Market maker sells "short" to a customer and then immediately goes out and buys in his short from the street. This is normal market maker operations. Short volume is much different from Short interest which is reported by clearing firms on Form NS-1 from EOD position information in ALL customer/proprietary accounts.
There`s a "Short Sale Type" field that is labelled either M or S in the Time/Sales data.
Not sure what it means.
This denotes if the short was a sell into the bid or a buy from a ask where the ask was selling short.
Ah... That clears up a lot, thanks.
It seems large... But since this data just became available, there's no history to compare it against (unless BATS releases it).
Still, a good step in the right direction.
"...Short Volume on BATS accounts for over 46% of total volume." Are you sure that's 46% of total volume or is it 46% of all sales?
Nm, just realized that was a dumb question.
There are many unknowns in this known to be unknown world. Those known to be unknown, are making it possible for the known to make unknown amounts of money. If and when the unkown becomes known,the known would be out of bussiness.And here is the prrohttp://www.reuters.com/article/ousivMolt/idUSTRE57C26V20090813f
How are they able to borrow the shares?
I believe that MMs are excluded from naked short selling rules as they have to make markets. In theory they can naked short sell in order to meet demand and provide an orderly market (ie to prevent a stock from exploding on the upside).
In practice I`m pretty sure MMs abuse this privilege. I do not know how tight the regulation is for this.
Yeah but isn't BATS a private exchange? No market makers there?
Market makers can make a market anywhere they like; you're thinking of specialists.
http://www.realtytrac.com/ContentManagement/PressRelease.aspx?channelid=...
short the stock market
I don't know what to look for, but if there is some interest from people that know what to look for, I'd be happy to host the data, write/run queries, generate smaller result sets every month the data becomes available.
It would be a good way of contributing.
Post a reply to this comment with an email address to reach you to get started.
I think most HFT traders simply request locates every day and mark their orders as short sell when they sell their positions, while in many cases they are just liquidating their long positions. It is just easy for them to program.
Maybe the graph just says there are so many HFT trading going on these days :-)
If you're goldman you can initiate a short poeition while running up the market knowing you'll bring it down later to make a profit both ways. Also explain the continual short squeezes bring up the market. stop going short so the market can go down!!!!. you don't need to go long just buy UUP, or bonds.
If anyone ever wanted a large dataset with real value to run/test their supervised or even unsupervised learning algorithms this is it. Now if only I had other people's money to wager like a bank... Heads I win, tails they lose.
Top 100 shorted stocks (by percentage) on BATS with volume over 1,000,000 for today:
DAY SYMBOL SHORT_VOLUME TOTAL_VOLUME PCT_SHORT MARKET_CENTER
20090813 FXP 490716 618289 79.36676861 Z
20090813 NWS 487978 648392 75.25971943 Z
20090813 QQQQ 12043379 16336956 73.71862298 Z
20090813 VNQ 893168 1226534 72.82048439 Z
20090813 XLB 1734930 2385455 72.7295212 Z
20090813 XLF 16917133 23469339 72.08184687 Z
20090813 UAUA 1772298 2487301 71.25386111 Z
20090813 XLI 993376 1445856 68.70504393 Z
20090813 NSM 831831 1216321 68.38910123 Z
20090813 CSE 523478 767637 68.19342997 Z
20090813 RFMD 1537498 2258079 68.0887604 Z
20090813 SPY 14120205 20741227 68.07796376 Z
20090813 FCX 1050421 1544754 67.9992413 Z
20090813 SNV 547168 811368 67.43771014 Z
20090813 NSC 358255 533476 67.15484858 Z
20090813 XLY 818501 1229644 66.56406244 Z
20090813 CNX 374140 570720 65.55578918 Z
20090813 MXIM 670649 1026677 65.32229708 Z
20090813 FIS 763277 1168722 65.30868761 Z
20090813 CHKP 382592 591101 64.72531767 Z
20090813 CY 669226 1041184 64.27547869 Z
20090813 URE 1852901 2906646 63.74704728 Z
20090813 HMA 454196 713137 63.68986604 Z
20090813 DXO 1283771 2033677 63.12560943 Z
20090813 XLU 631173 1000925 63.05897045 Z
20090813 HGSI 496322 789437 62.87037471 Z
20090813 HD 1664642 2655526 62.68596127 Z
20090813 GDX 777983 1241294 62.67515995 Z
20090813 ZION 375639 600318 62.57333613 Z
20090813 EWA 338269 542992 62.29723458 Z
20090813 ANF 370080 596302 62.06251195 Z
20090813 DCT 311042 502048 61.95463382 Z
20090813 TQNT 410151 663573 61.80947688 Z
20090813 KLAC 420475 681525 61.69619603 Z
20090813 BTU 571222 929952 61.42489075 Z
20090813 DDR 308488 505946 60.97251485 Z
20090813 PBR/A 600454 985706 60.91613524 Z
20090813 CHK 1103983 1813516 60.87528315 Z
20090813 XHB 859994 1412830 60.87030995 Z
20090813 COF 618978 1017488 60.83393613 Z
20090813 STD 412288 679190 60.7028961 Z
20090813 XLE 1749732 2885768 60.63314861 Z
20090813 MRVL 1312613 2175044 60.34880214 Z
20090813 BPOP 964710 1601617 60.23350152 Z
20090813 SII 598199 993408 60.21684947 Z
20090813 VWO 904501 1506191 60.05221117 Z
20090813 UNG 2596625 4342920 59.78984186 Z
20090813 TLM 331993 555486 59.76622273 Z
20090813 GME 516722 864905 59.74320879 Z
20090813 TCK 577356 969797 59.53369623 Z
20090813 ONNN 1340582 2266598 59.14511528 Z
20090813 BP 316609 541351 58.48497555 Z
20090813 WMT 1986063 3426667 57.95903133 Z
20090813 MRK 1017568 1755883 57.95192504 Z
20090813 TSO 471696 815709 57.8265043 Z
20090813 PALM 1243494 2150683 57.81856275 Z
20090813 SD 455091 787978 57.7542774 Z
20090813 EGO 479226 830546 57.70011535 Z
20090813 TXN 844617 1468046 57.53341517 Z
20090813 ATML 316530 551321 57.41301347 Z
20090813 SBUX 1087401 1895556 57.36580718 Z
20090813 WFT 814309 1422640 57.23928752 Z
20090813 PCU 407233 712648 57.14363894 Z
20090813 DD 670340 1176214 56.99132981 Z
20090813 MBI 415045 730784 56.79448373 Z
20090813 HBAN 1484522 2617497 56.71532766 Z
20090813 MOT 1352056 2386835 56.64639575 Z
20090813 LVLT 591278 1044276 56.62085502 Z
20090813 DELL 2430621 4293521 56.61136862 Z
20090813 EK 468872 828373 56.6015551 Z
20090813 ANR 327687 579731 56.52397405 Z
20090813 WFC 3037001 5385251 56.39479014 Z
20090813 MFA 305287 542467 56.27752472 Z
20090813 EWS 290206 516359 56.20237083 Z
20090813 LNC 468386 834107 56.15418645 Z
20090813 SQNM 303976 541388 56.1475319 Z
20090813 MRO 615971 1097805 56.10932725 Z
20090813 MYL 1301287 2321530 56.05299092 Z
20090813 YHOO 1992910 3565314 55.89718044 Z
20090813 CENX 386101 691013 55.87463622 Z
20090813 INTC 3747219 6739275 55.60270207 Z
20090813 TRV 340032 612008 55.56005804 Z
20090813 AMTD 314878 567806 55.45520829 Z
20090813 BBT 543013 980115 55.40298842 Z
20090813 DPTR 324582 586184 55.37203335 Z
20090813 VRSN 479106 866548 55.28903188 Z
20090813 PKI 287041 520415 55.15617344 Z
20090813 LLTC 461514 837217 55.12477649 Z
20090813 RTH 413800 751300 55.07786503 Z
20090813 DRYS 1032470 1878755 54.9550101 Z
20090813 LCC 515372 938238 54.92977262 Z
20090813 BAC 14448051 26380172 54.76860045 Z
20090813 NYB 298287 545234 54.7080703 Z
20090813 PMCS 277966 508275 54.68811175 Z
20090813 AA 1868193 3425496 54.53788298 Z
20090813 GPS 766268 1405469 54.52044833 Z
20090813 PTEN 292425 537619 54.39260889 Z
20090813 UNH 596454 1099872 54.22940124 Z
20090813 AKAM 974177 1797410 54.19893068 Z
20090813 F 3592486 6629878 54.18630629 Z