I'm still trying to figure out exactly what the short sale data means on a daily basis. If you look at the first link below you can get short SALE data for each day. However, if you look at the twice monthly "short INTEREST" report (second link) you see a much lower number. It was explained to me that the "short sale" report on a daily basis includes mainly the market maker shorting as part of their routine daily process. However if you want to know the true short sale interest you have to wait for the next semimonthly report. Having said that, I'm still trying to find a way to get the true short interest on a daily basis. I have noticed that the daily short sales usually track total volume at some relatively large percentage so it is something built into how the MMs work.
Market Data 
Markets 
AI
