Any public historical dataset for stock loan fee rates?

[ScroogeMcDuck]

I want to have 10 years of history of how much it cost to borrow each listed security for shorting it. Does this dataset exist anywhere? Couldn't find it on Quandl or google.

Without that dataset, there's no way to properly test a trading algorithm that might trade hard to borrow stocks...

 

[zdreg]

I want to have 10 years of history of how much it cost to borrow each listed security for shorting it. Does this dataset exist anywhere? Couldn't find it on Quandl or google.

Without that dataset, there's no way to properly test a trading algorithm that might trade hard to borrow stocks...

it cannot exist because each firm has a different rate or didn't have shares to loan.

 

[ScroogeMcDuck]

Pick any one marketplace like AQS and use that then... If SLB is a reasonably efficient market then that will be close to the rates everywhere else.

 

[Sig]

Pick any one marketplace like AQS and use that then... If SLB is a reasonably efficient market then that will be close to the rates everywhere else.

AQS doesn't give historical data. I'd love to find a source of this data myself. If the stock has traded options you can back into the no arbitrage put call parity equation to figure it out, but that's pretty cumbersome if you're doing it for more than one or two stocks.

 

[bellman]

I'd be willing to create a derived stock loan data set from the options data, but... someone would have to provide the historical options data.

AQS doesn't give historical data. I'd love to find a source of this data myself. If the stock has traded options you can back into the no arbitrage put call parity equation to figure it out, but that's pretty cumbersome if you're doing it for more than one or two stocks.

 

[ScroogeMcDuck]

That derived dataset would tend to be really inaccurate for stocks with thinly traded options with gigantic bid ask spreads. i.e., most of the interesting stocks.

 

[ScroogeMcDuck]

I suppose you could get around it by only trading SSFs and having a historical dataset for SSF prices, but the stocks with SSFs tend to be the same few stocks that have liquid options.

 

[Sig]

I suppose you could get around it by only trading SSFs and having a historical dataset for SSF prices, but the stocks with SSFs tend to be the same few stocks that have liquid options.

And sadly SSFs have almost no liquidity.