Is there anyway to tell definitively whether a trade as a buy (accumulation) or a short covering?
I've never been able to find one. Daily short sale summaries publish only trad volume (only for exchanges that had shorts - if an exchange had no shorts their volume is not report in the trade volume) and exempt and non-exempt short quantity.
Some of the exchanges make daily transaction tapes available which I've not had time to look at yet. Maybe something there.
I've been working towards automated collection of some data that I've been manually collecting for around four years. Might get off the ground in thirty days or so and then I'll be looking at those transaction tapes.
That's if all goes well and ETrade can feed me the data I actually need.
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