Short Sales / Short Selling

Short sales of equity is an area of increasing interest to academic researchers and we frequently receive requests for help with such data. End of day summary information on short sales data is available for several exchanges.Examples include,Australia(.AX), Hong Kong (.HK),Korea(.KQ),Taiwan(.TW),Thailand(.BK),India(.BO and .NS) andPoland(.WA).The access procedure is similar for each exchange but differs sometimes in the detail.In each case you need to use a RIC indicating you want short sale information.For .AX, .HK, .KQ and .TW that RIC contains a “stat” string.For example, BHPstat.AX specifies the end of day short sale summary for BHP.AX, 0001stat.HK identifies short sale data for 0001.HK and 000250stat.KQ corresponds to short sale data for 000250.KQ.The extra RIC string is slightly different for the other exchanges.It is “ss” for .BK, .BO and .NS and “s” for .WA.For example, ADVAss.BK, or AAAIss.NS, or ACPPs.WA. Notice these short sales RICs all contain a mixture of upper and lower case letters.Case is relevant for these RICs and must be entered correctly. Once the appropriate short sales RICs are correctly specified, you next need to select the correct data fields.These are the End of Day Message Type found under the Fields tab.Select them all and Preview a small data sample to see what is available.The range of populated fields varies from exchange to exchange but Volume is available from every exchange.Last is provided by .HK and .KQ. Short sales summary data is available too under the Time & Sales Message Type.If you choose this source then you will receive summary data as it was delivered to Thomson Reuters IDN service.That can be more than once per day.For instance, .HK has a morning and afternoon summary signal.Both are visible here.In order to see these you need to select a different range of fields.Time & Sales data has its own Short Sales category under the Transactions heading.Choose these to view the Time & Sales sourced “stat” data.A word of warning is warranted here though.The Time & Sales sourced data shows exactly when that data was received by Thomson Reuters.This could be a day after the interval it represents.For instance, if you compare Time & Sales Short Sales values with those obtained through the End of Day Message Type for BHPstat.AX you will see the Time & Sales data lags the End of Day data by one day.The End of Day data date has been reset to the interval to which it corresponds whereas the Time & Sales date shows when the summary was received.Naturally, that is after the interval ends. Information on individual short sales is also available, sometimes.The “stat”, “ss” and “s” RICs identify end-of-interval summary data but information for individual short sales can be found too, when it is reported.This last qualification is important because it seems many short sales are not reported on some exchanges.Nevertheless, when they are, they can be found by requesting data as normal, for example, BHP.AX, rather than BHPstat.AX, and by making use of the Qualifiers field under Trade Transactions.In the case of ASX listed equity, Qualifier fields containing SH[GV4_TEXT] indicate short sale trades.Qualifier codes for short sales could differ at other exchanges (see Where to get help for TRTH? for a link to more help on qualifier codes). SIRCA members have one final source for end of day net short sales summary data. That source is SIRCA’s Data Consult team.SIRCA members can submit a Data Consult request (see Sirca DataConsults for more details) to obtain the same End of Day summary data as described above for .AX, but over a longer interval.The oldest such data you source from TRTH begins with 11 June 2008.The Data Consult Team can source the same ASX data as far back as late 2001. SpeedGuide (see Speedguide Explained for help of using Speedguide) is another useful source for short sales information, either to discover instruments eligible for short selling, or to identify those that are restricted from short selling.The Speedguide page WORLD/NOSHORT01 gives RIC Chains (see What is a RIC Chain? for more on these) for various countries identifying short selling restrictions.WORLD/NOSHORT02 continues that listing and also provides RIC Chains for equity and bond securities inPoland that can be short sold.The Speedguide page ASIA-SHORTSELL gives RIC chains forIndia andThailand covering both stocks that are restricted and not restricted from short selling.Other Speedguide pages, like JK/FAQ, show stocks that are eligible for short selling.In the case of JK/FAQ, eligible stocks in Jakata are shown.