FINRA (short sale volume)#

info · Feature flag required

toml

finance-query = { version = "...", features = ["finra"] }

FINRA publishes daily aggregated short-sale volume for every reported security through its Query API, free and without credentials.

Ticker::short_volume() previously needed Polygon. Routing FUNDAMENTALS to FINRA gives it a keyless provider reading from the primary source.

warning · Free for non-commercial use

FINRA's Query API is free for non-commercial use; commercial use requires an agreement with FINRA. That is a licensing question this adapter does not change — check your use case before shipping.

Setup#

rust · no_run feature=finra

use finance_query::{Capability, Provider, Providers};

#[tokio::main]
async fn main() -> Result<(), Box<dyn std::error::Error>> {
    let providers = Providers::builder()
        .route(Capability::FUNDAMENTALS, [Provider::Finra, Provider::Yahoo])
        .build()
        .await?;

    let ticker = providers.ticker("AAPL").build().await?;
    for day in ticker.short_volume().await? {
        println!(
            "{} short {:?} of {:?}",
            day.date.unwrap_or_default(),
            day.short_volume,
            day.total_volume
        );
    }
    Ok(())
}

note · FINRA serves short volume only

FINRA publishes no financial statements, so fetch_financials reports NotSupported and dispatch falls through. Under Fetch::Sequential, list a full FUNDAMENTALS provider after it — as in the example above — so financials() still resolves.

What the Numbers Mean#

FINRA reports each symbol once per reporting facility per day — the Nasdaq (Q), NYSE (N), and OTC (B) trade reporting facilities each file separately. A listed name therefore has three raw rows for a single trading day.

The adapter sums them into one figure per date, reproducing the consolidated numbers FINRA itself publishes in its daily CNMSshvol file:

`ShortVolume` field	Source
`date`	`tradeReportDate` (`YYYY-MM-DD`)
`short_volume`	Sum of `shortParQuantity` across facilities
`short_exempt_volume`	Sum of `shortExemptParQuantity`
`total_volume`	Sum of `totalParQuantity`

A field no facility reported stays None rather than becoming 0.0.

info · Short volume is not short interest

Short volume is how many shares were sold short on a given day — much of it market-maker hedging that closes intraday. Short interest is the open short position at a settlement date. For the latter, use Ticker::short_interest(), which Yahoo and Polygon serve.

History Depth and Ordering#

FINRA keeps roughly a rolling year online, and one call requests that whole window.

Results come back oldest-first. That ordering is applied locally, because FINRA rejects server-side sorting unless every partition key is pinned with an equality filter — which a date range by definition does not do.

A symbol with no reportable short volume returns an empty series, not an error: FINRA answers such a query with HTTP 204 and no body.

Rate Limits#

FINRA's anonymous tier is metered per day rather than per second. The client paces at 2 requests/second purely to avoid looking abusive; a free developer account raises the quota but is not required.

Next Steps#

Polygon.io — short interest history and short volume, keyed
Providers Overview — routing and fallback

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