Has anyone been able to find data or incorporate short interest into their strategies? I'm looking to do this but couldn't find any data sources on quantopian that provide this sort of information.
Has anyone been able to find data or incorporate short interest into their strategies? I'm looking to do this but couldn't find any data sources on quantopian that provide this sort of information.
There are a few years of data in quandl:
https://www.quandl.com/data/FINRA-Financial-Industry-Regulatory-Authority
https://www.quandl.com/data/FINRA-Financial-Industry-Regulatory-Authority?keyword=aapl
There's also more in the Quandl BATS datasets. I'm also curious if anybody is getting anything useful out of it.
I just posted an open-source project just for this: https://www.quantopian.com/posts/short-interest-data-pipeline-for-quandl-dataset