Really? This is what FINRA thinks:
Daily Short Sale Volume File
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.
While members generally are required to report trades in equity securities to FINRA within 90 seconds, a firm could improperly delay reporting of short sales until well after the close, which would result in the under-reporting of over-thecounter short sale volume.
Delaying the reporting of trades for such a purpose would be considered a violation of the applicable trade reporting rules and Rule 2010 (Standards of Commercial Honor and Principles of Trade).
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. - FINRA
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