Does anyone know if there is a way to get the historical short rebates/fees for certain securities? Any data services out there? IB said they don't have it. Hard to backtest a system when you don't know what kind of fees you will be paying to short the securities in question.
why? 1. how do you know if they were borrowable at all? 2. except for very difficult to borrow the short sellers until recent low interest rates should have received a rebate increasing his performance. 3. if you are day trading there is no fee to short or rebate for shorting easy to borrow stocks.
No services that I know of. I keep historical easy-to-borrow lists, but not the borrow fees. Two possibilities: You can infer the borrow rate from the options. For a crude approximation take the difference between the stock price and the ATM synthetic (long call, short put, same ATM strike) and then subtract out the risk-free rate and the anticipated dividend stream. The implied borrow cost is what is left. Or there was a guy on Nuclear Phynance who was scraping it every day from his broker's web page. I think he has about a year and a half by now. You might search on that site and send him an email -- most users there have their email in their profile.