It doesn't clear up anything for me
I just spent two hours trying to figure this thing out because of what you posted. Thanks a lot. JK
Here is some of what I read.
For each trading date, FINRA will post on its web site the daily short sale volume file within a reasonable amount of time after the end of regular trading hours on that trading day. As a general rule, aggregate short sale volume for equity securities executed and reported to any of the FINRA Facilities during regular trading hours will be included in the file. The daily short sale volume file will provide information on the aggregate volume of short sales reported to a consolidated tape out of the total volume of executed trades during regular trading hours on each trading day.
Certain OTC transactions (e.g., riskless principal and agency transactions where one member is acting on behalf of another member) are reported to FINRA in related tape and non-tape reports. Tape reports are submitted to FINRA for public dissemination by the appropriate exclusive Securities Information Processor (“SIP”), while non-tape reports are submitted to FINRA, but are not submitted to the SIP for public dissemination.
FINRA will not be including non-tape reports in either the daily short sale volume file or the monthly short sale transaction file. Accordingly, in those instances where the short sale indicator is only included in the related non-tape report, the short sale data published in the daily and monthly files may be under-inclusive. Similarly, the published figures will not include odd lots since these transactions are not disseminated to the consolidated tape.
Certain over-the-counter (OTC) equity transactions (including OTC transactions in NMS stocks and OTC equity securities, such as OTC Bulletin Board and Pink Sheets securities) are reported to FINRA in related tape and non-tape reports.
For example, a riskless principal transaction can be submitted as a single tape report to a FINRA Facility in the same manner as an agency transaction, marked with a "riskless principal" capacity indicator, excluding the mark-up or mark-down, commission-equivalent or other fee.
Alternatively, members can report an OTC riskless principal transaction by submitting two (or more, as necessary) reports:
(1) a tape report to reflect the initial leg of the transaction with a capacity of principal; and
(2) a non-tape (regulatory or clearing-only) report to reflect the offsetting "riskless" leg of the transaction with a capacity of riskless principal.
Agency transactions in which a firm acts as agent on behalf of another member firm also are reported in related tape and non-tape reports.
For purposes of OTC trade reporting requirements applicable to equity securities, a “riskless principal” transaction is a transaction in which a firm, after having received an order to buy (sell) a security, purchases (sells) the security as principal (the initial leg) and satisfies the original order by selling (buying) as principal at the same price (the offsetting, “riskless” leg).
If Firm A’s capacity is properly marked as riskless principal on the tape report, Firm A would not be required under current rules to submit a non-tape report to FINRA.
There's a lot more if anyone wants to be thoroughly confused, including a lot of examples of trades with many legs.
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