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Anyone knows how to load the the borrow rates data for US equities? I know in backtest, we probably could use CustomFeeModel to roughly estimate the cost of short selling. However, in live trading, how can we load the real borrow rate of each equity so that we could avoid shorting the stocks that have very high borrow rates or not even shortable at all. Thanks!
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Alexandre Catarino
Hi Yuan,
Unfortunately, QuantConnect doesn't have this dataset at the moment. Therefore, you will have to find this information from a third party and load it using the importing custom data feature.
On the other hand, we do have a dataset US Equities Short Availability by Atreyu Group that contains information on the number of available shares to short, so, at least, we can make trading decisions with that in information
T C
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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