Hi,
Does anyone have historical data on IB short lending fee and share availability?
I’d like to analyze historical data to see what kind of lending fees my short sim would have experienced if I had actually traded it. I also want to analyze what happens if I skip trades for stocks that have very large fees.
I know you can download the current fees from IB’s FTP site (ftp3.interactivebrokers.com, username shortstock). However, there is no historical data on the FTP. IBorrowDesk.com has data going back one year, but it’s not point in time and data quality is questionable (I found several issues with it).
I’ve started to mirror IB’s FTP site every 15 minutes so I can build the historical dataset from now on. But I was wondering if any of you has been doing that already and is willing to share the data with me. I’m primarily interested in the ‘usa.txt’ file.
Thanks,
Peter