NASDAQ short sale files
What you need to know:
•On Monday, August 3, 2009, NASDAQ OMX introduced new Daily Short Sale Volume and Monthly Short Sale Transaction files for The NASDAQ Stock Market and NASDAQ OMX BX.
•The new Short Sale files will enable investors and traders to see the level of short sale activity in the NASDAQ and NASDAQ OMX BX markets for NASDAQ-, NYSE- and regional exchange-listed securities.
•NASDAQ OMX believes that the new files will foster better market transparency and help to bolster investor confidence in the U.S. securities markets.
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What data is included in the NASDAQ OMX Short Sale Volume and Transaction files?
NASDAQ OMXSM will release two types of short sale files based on the trading activity on The NASDAQ Stock Market® and NASDAQ OMX BXSM (BXSM):
•The Daily Short Sale Volume Files will reflect the aggregated number of shares executed on NASDAQ® and BX during regular trading hours. At the security level, NASDAQ OMX will show the volume for executed short sale trades as well as the total trading volume for both NASDAQ and BX. Because NASDAQ and BX market participants may trade all U.S. exchange-listed securities, the file will include short sale data for NASDAQ-, NYSE- and regional exchange-listed issues.
•The Monthly Short Sale Transaction File will provide a trade-by-trade record of all short sales executed on the NASDAQ and BX execution systems and reported to a consolidated tape in NASDAQ-, NYSE- and Amex-listed issues. Within this file, NASDAQ OMX will provide trade details including the transaction time, price and number of share for every short sale transaction.
For each file type, NASDAQ OMX will post a separate file for the NASDAQ and BX markets.
For details on file formats, please refer to the technical specifications on the NASDAQ OMX Trader® website.
Why is NASDAQ OMX posting these files?
NASDAQ OMX is responding to a request from the Securities and Exchange Commission (SEC) to increase the transparency of short sale activity in the U.S. marketplace. NASDAQ OMX agrees that the short sale files will promote increased transparency and bolster investor confidence in the markets.
Is there a charge for the files?
Until there is an SEC approved fee, NASDAQ OMX will be posting the data files on the public NASDAQ OMX Trader website FTP server.
When will the files be available?
NASDAQ OMX will begin to generate the Daily Short Sale Volume Files on Monday, August 3, 2009, for both NASDAQ and BX. The Daily Short Sale Files will be posted to the NASDAQ OMX Trader website FTP server at approximately 5:00 p.m., Eastern Time (ET). Firms are advised to set up FTP processing to pull the data files at one-half hour intervals from 5:00 p.m. ET to 6:30 p.m. ET.
NASDAQ OMX will generate the Monthly Short Sale Transaction Files for the NASDAQ and BX markets on the last trading day of each month beginning in August. The Monthly Short Sale File will reflect the trading volume for the previous trading month. For example, the first file, which will be posted August 31, 2009, will include the trade details for July of 2009.
Where will the short sale files be posted?
Upon initial release, the NASDAQ OMX Short Sale Files will be posted to the public NASDAQ OMX Trader website FTP site. For details on the Short Sale File formats, please refer to the technical specifications on the NASDAQ OMX Trader website.
How do the Short Sale Files differ from the existing NASDAQ Short Interest Report?
The Short Interest Report is produced on a semimonthly basis and includes a summary of the consolidated market short interest positions in all NASDAQ-listed securities. This information is reported by market participants and is therefore an accurate reflection of the total short interest positions held on a per-security basis. Please see the Short Interest Report product page on the NASDAQ OMX Trader website as well as the enclosed Short Sale and Short Interest Comparison document further highlighting differences between the data reports.
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