Short Availability

Key Concepts

Introduction

To short a security, you need to borrow shares from another investor or organization that owns the shares. A shortable provider is a model that tracks the number of shares that are available for you to borrow. A shortable provider can make your backtest results more realistic because it doesn't let you place a short trade if there are no shares available for you to borrow.

Set Providers

The brokerage model of your algorithm automatically sets the settlement model for each security, but you can override it. To manually set the shortable provider of a security, call the SetShortableProviderset_shortable_provider method on the Security object.

public override void Initialize()
{
    var security = AddEquity("SPY");
    // Get shortable stocks and quantity from local disk
    security.SetShortableProvider(new LocalDiskShortableProvider("axos"));
}
def initialize(self) -> None:
    security = self.add_equity("SPY")
    # Get shortable stocks and quantity from local disk
    security.set_shortable_provider(LocalDiskShortableProvider("axos"))

You can also set the shortable provider in a security initializer. If your algorithm has a universe, use the security initializer technique. In order to initialize single security subscriptions with the security initializer, call SetSecurityInitializerset_security_initializer before you create the subscriptions.

public override void Initialize()
{
    // Set the security initializer before requesting data to apply to all requested securities afterwards
    SetSecurityInitializer(CustomSecurityInitializer);
    AddEquity("SPY");
}

private void CustomSecurityInitializer(Security security)
{
    security.SetShortableProvider(new LocalDiskShortableProvider("axos"));
}

def initialize(self) -> None:
    # Set the security initializer before requesting data to apply to all requested securities afterwards
    self.set_security_initializer(self.custom_security_initializer)
    self.add_equity("SPY")

def custom_security_initializer(self, security: Security) -> None:
    security.set_shortable_provider(LocalDiskShortableProvider("axos"))

If you call the SetSecurityInitializerset_security_initializer method, it overwrites the default security initializer. The default security initializer uses the security-level reality models of the brokerage model to set the following reality models of each security:

To extend upon the default security initializer instead of overwriting it, create a custom BrokerageModelSecurityInitializer.

public class BrokerageModelExampleAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        // In the Initialize method, set the security initializer to seed initial the prices and models of assets.
        SetSecurityInitializer(new MySecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrices)));
    }
}

public class MySecurityInitializer : BrokerageModelSecurityInitializer
{
    public MySecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder)
        : base(brokerageModel, securitySeeder) {}    
    public override void Initialize(Security security)
    {
        // First, call the superclass definition.
        // This method sets the reality models of each security using the default reality models of the brokerage model.
        base.Initialize(security);

        // Next, overwrite some of the reality models
        security.SetShortableProvider(new LocalDiskShortableProvider("axos"));    }
}
class BrokerageModelExampleAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        # In the Initialize method, set the security initializer to seed initial the prices and models of assets.
        self.set_security_initializer(MySecurityInitializer(self.brokerage_model, FuncSecuritySeeder(self.get_last_known_prices)))

# Outside of the algorithm class
class MySecurityInitializer(BrokerageModelSecurityInitializer):

    def __init__(self, brokerage_model: IBrokerageModel, security_seeder: ISecuritySeeder) -> None:
        super().__init__(brokerage_model, security_seeder)    
    def initialize(self, security: Security) -> None:
        # First, call the superclass definition.
        # This method sets the reality models of each security using the default reality models of the brokerage model.
        super().initialize(security)

        # Next, overwrite some of the reality models
        security.set_shortable_provider(LocalDiskShortableProvider("axos"))

To view all the pre-built shortable providers, see Supported Providers.

Default Behavior

The brokerage model of your algorithm automatically sets the shortable provider for each security. The default brokerage model is the DefaultBrokerageModel, which uses the NullShortableProvider.

Provider Structure

Shortable providers must implement the IShortableProvider interface. Shortable providers that implement the IShortableProvider interface must implement the FeeRatefee_rate, RebateRaterebate_rate, and ShortableQuantityshortable_quantity methods. These methods receives a Symbol and the local time of the algorithm. The FeeRatefee_rate method returns the borrow fee rate. The RebateRaterebate_rate method returns the borrow rebate rate. The ShortableQuantityshortable_quantity returns the shortable quantity. 

public class CustomShortableProviderExampleAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        var security = AddEquity("SPY");
        // Provide the selected security with your broker's shortable information
        security.SetShortableProvider(new MyShortableProvider());
    }
}

// Define the custom shortable provider  
class MyShortableProvider : IShortableProvider
{
    public decimal FeeRate(Symbol symbol, DateTime localTime)
    {
        return 0.0025m;
    }

    public decimal RebateRate(Symbol symbol, DateTime localTime)
    {
        return 0.0507m;
    }

    public long? ShortableQuantity(Symbol symbol, DateTime localTime)
    {
        return 10000;
    }
}
class CustomShortableProviderExampleAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        security = self.add_equity("SPY")
        # Provide the selected security with your broker's shortable information
        security.set_shortable_provider(MyShortableProvider())

# Define the custom shortable provider 
class MyShortableProvider(NullShortableProvider):

    def fee_rate(self, symbol: Symbol, local_time: datetime) -> float:
        return 0.0025

    def rebate_rate(self, symbol: Symbol, local_time: datetime) -> float:
        return 0.0507
    
    def shortable_quantity(self, symbol: Symbol, local_time: datetime) -> float:
        return 10000

For a full example algorithm, see this backtestthis backtest.

Order Failures

If you place an order to short more shares than are available to borrow, LEAN rejects the order and applies the following tag: "Order exceeds maximum shortable quantity for Symbol ticker (requested short: quantity)".

Borrowing Costs

In live trading, your brokerage charges an interest fee when you borrow shares to short a security. In backtesting, we don't currently simulate short interest fees. You can evaluate the borrowing cost with the FeeRatefee_rate and RebateRaterebate_rate methods.

To get valid borrowing rates, use the InteractiveBrokersShortableProvider.

Examples

Demonstration Algorithms
InteractiveBrokersShortableProviderAlgorithm.py Python CustomShortableProviderRegressionAlgorithm.py Python AllShortableSymbolsCoarseSelectionRegressionAlgorithm.py Python InteractiveBrokersShortableProviderAlgorithm.cs C# CustomShortableProviderRegressionAlgorithm.cs C# AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs C#

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