Get Short Exempt Volume and Short Sale Data From FINRA API In Python
Description
Can short exempt volume indicate future buying pressure on a stock?
Can this data be used to predict short squeezes?
You'll never know unless you look into the data!
Today we're learning how to access short exempt volume and short sale volume data from the FINRA API for equities and ETFs FOR FREE in python.
Go to 2:56 to skip straight to the code!
All the code from the video can be found below
https://github.com/AdamGetbags/shortExemptVolumeFINRA/blob/main/dailyShortSaleVolumeFINRA.py
0:33 open the docs
1:01 quick review of FINRA API
2:56 import modules and assign variables for URL building
3:23 select ticker, build URL, and create headers
3:39 create custom filter for POST request
5:14 make a POST request to get FINRA data
5:38 format data into a dataframe
6:05 reformat date (a string) into a datetime object
6:21 specify aggregate functions for groupby operation
6:54 rename index and column names
7:13 get volume data from yahoo and add to FINRA data
8:20 create volume ratios and plot results
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Need some ideas for your project portfolio?
Check out how to get historical option price data in Python from the Polygon API.
https://youtu.be/87O9qxfMJ-g
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