Thanks Serge. Here are the results with the new Genesis list..noteworthy is the significant improvement in Genesis' list (GNDT) and also the addition of Merrill Lynch (ML). Also noteworthy is the addition of GNDTML which represents the combined list of Genesis and Merrill (simulating if you had an account with both firms thus having access to both short lists). The combination of lists doesnt seem to yield much improvement. The test has been modified slightly (hence the change in total # of symbols) but we are still talking about the same universe of stocks: NASDAQ, closed over 5 before trade date, volume had been over 50,000 for at least 2 days before trade date. Again the results should be taken with a grain of salt, for the reasons we mentioned before, but can be taken as a rough guideline. Also note that this does not take into account how good each firm is in locating "hard to borrow" stocks that are not on their lists. With Genesis' recent improvement, i dont think theres that big of a difference anymore between most of these firms in terms of short list. All questions, comments and constructive criticism welcome. RML Found 7957 of 10865 symbols (73%) IB Found 9307 of 10865 symbols (85%) SLK Found 9482 of 10865 symbols (87%) SWIFT Found 9864 of 10865 symbols (90%) ML Found 9790 of 10865 symbols (90%) GNDT Found 9894 of 10865 symbols (91%) GNDTML Found 9977 of 10865 symbols (91%)
Can I suggest, if you have it available, doing a scan for unusual volume stocks, and stocks with the largest percentage move, to see if those are on the list on that day, and the day after?
interesting proposal alanm, it might be a bit difficult though because for SLK, SWIFT and ML, i just have a list that was given to me recently but each list was for a different date, so im not sure how we can compare them re % gainers and unusual volume stocks which occur on a specific day. ie if we have SLK list for Jan 1st and SWIFT list for Feb 1st, we cant do a comparison between those 2 lists for %gainers on say march 1st...However, for Genesis, IB and RML, the shortlist is published on their website and so these lists could be compared on any given day in terms of availability of %gainers and unusual volume stocks for that day and the day after. Actually since RML is not "in the same ballpark" as the others, we can drop it, which leaves a comparison between IB and Genesis for unusual volume and %gainers short availability on day of event and next day. Let me know the specific criteria and how you wanna test this, im thinking: NASDAQ, volume > 50,000 , close>5, stock in top 30 %gainers and NASDAQ, volume > 50,000 , close>5, stock's volume today >10 times average volume for last 10 days I dont know if firms modify their etb list during the day, Genesis seems to create the list around 9:15am so im assuming it doesnt change during the course of the day. Its also possible that a stock might be pulled off the list by the firm without explcitly removing it from the etb list eg ABCD is on the list created at 9:15am, but makes a huge intraday move and as a result the firm's short availability for ABCD dries up, and when you go to short it, the software lets you know that its no longer available, even though its still on the ETB list for that day (stale info). One would assume that the next day, the stock would be removed from the list. In others words, im not sure it makes sense to test availability ON THE SAME DAY as the big %/volume move, but perhaps checking for it the next day might make more sense. Let me know your comments on the above, maybe we can test Genesis and IB lists for 3/15/06 using %gainers and unusual volume for 3/14/06 All comments welcome..
im also thinking it could be interesting to test % losers because thats what everyone will want to short in order to participate in further downside action
on thing i do know is assent has the worst short list on earth. i've compared assent and ib and ib destroys them. why is genesis so good yet assents so bad and i know assent does as much or moire vol than genesis
I've also noticed (today especially) that short list was surprisingly better. My universe of stocks that I trade became a little big larger as a result. And I really don't think Assent is doing more volume than Genesis. I don't know exactly how much Assent is doing now, but at best they are even. Plus who is doing more volume has nothing to do with the short list.
I gotta mention that IB's stock list shown on their website is a bit misleading, and the IB shortlist study results I posted here must be taken with a few grains of salt. A lot of times you'll see a stock on IB website shortlist, but then when you come to short in TWS, you get one of 2 messages: 1. Stock is not available for shorting OR 2. Insufficient shares of ABCD available It is therefore impossible to determine how good IB's shortlist really is, because the version on their website is not accurate at any point in time. It is beyond me why IB is unable to post an accurate shortlist, as other large brokerages are able to do. To me, it amounts to a kind of false advertising, and maybe some kind of disclaimer or warning should be posted on that IB website shortlist just so people know that if they see a stock on that list, it doesnt necessarily mean they'll be able to short it in reality.