Regulation SHO Data Harvester

In a rare example of me spending my free time producing software, I have created a data harvester that will go to FINRA's website and grab Regulation SHO data and convert it to a csv file for easy data process.

It takes a few options:

• A range of dates
• A Market selection
• The option to just grab everything
• The option to use the updated file, if available

It works beautifully. It also has a GUI which I slapped on there using Qt (so easy!). It's open source too, and I'll post the code somewhere soon (maybe I'll use my old source forge account)

Now I need to decide my next move. Finals are coming up and I might be a bit too busy until next weekend.

Here's a screenshot of what it looks like:

Chasing down data

Made some progress the weekend hunting down some raw data to work with. FINRA has daily files back to 2011. I'm experimenting with a few different ways of harvesting it. Ideally, I would rather go back to 2008 or earlier, so that I have a good data set to start with.

The first plan is to explore the question of whether or not it is possible to distinguish aggressive short selling from the regular sort. For aggressive short-selling, I intend to use a definition that is in line with the current regulation. Related to this is the question of whether or not it is possible to distinguish naked short selling in the current market.

Once I have a raw data set to play with, I want to experiment with applying a machine learning algorithm to it. In theory, computers can do a better job looking for trends then I could, and I m very curious to see what comes of this.

Mission

This blog will be used to document my current research project. I am investigating heavily shorted stocks for interesting trends.

Two things have led me to focus on heavily shorted stocks:
1. It is widely understood that short sellers are sophisticated investors and that these stocks underperform on average. However, people often bet against short sellers and money can change hands very quickly. This is fascinating to me.
2. Short sales are unpopular and the practice is open to abuse. I have an interest in making sure that short selling remains a useful tool. The best way to do this, in my opinion, is to prove that it is absolutely possible to monitor short selling for abusive practices.