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A security goes on a Reg SHO threshold list when fails to deliver in it stay large (at least 10,000 shares and 0.5% of shares outstanding) for five consecutive settlement days. US venues publish their lists every trading evening. A long stay on the list signals persistent settlement stress, and after 13 consecutive settlement days Reg SHO requires brokers to close out the fails.
The ticker in the path names the listing that held it on from_date (or to_date when from_date is omitted), so a reused or renamed ticker returns the instrument that traded under it in your window.
One row is returned for each date a threshold list was published. On those dates a listing that is not on any venue's list is reported as off the list. Dates with no list, such as weekends and market holidays, are not returned.
Lists are published the evening of the date they are for, so each row's published date is its list date.
Consecutive days counts the list dates in a row, up to and including this one, that the listing was on the list, including days before your window. It is zero when the listing is off the list.
US listings only: the lists cover US-listed securities, so a request for any other listing or region is rejected with a message saying so.
Available Data Points:
- Date: The list date. (
YYYY-MM-DDformat). - Published Date: The date the list was published: the evening of the list date.
- On Threshold List: Whether the listing was on a Reg SHO threshold list that day.
- Consecutive Days On List: Consecutive list dates on the list, up to and including this one; 0 when off.
Try it out! You can test the API with the trial key TEST. Simply include it in your request headers; either here, or add the header "Ortex-Api-Key": "TEST" to your http request.
Trial key restrictions: Trial keys may be limited to a specific date range and set of regions. Requests outside the allowed regions or entirely outside the allowed date range are rejected; a date window that partially overlaps the allowed range is trimmed to it, reported in meta.restriction.
Get full access! Get a key at app.ortex.com/apis