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.
We got ours equity data from the PB, they were pretty nice about it. An alternative is to strip them from the options market, if these are optionable stocks.