Equity volume executed away from the public lit exchanges, reported through FINRA TRFs. Institutions often route large blocks here to limit visible price impact before positions show up on exchange tape.
Daily: we pull FINRA Reg SHO CNMS short-sale volume files. For each ticker we store TRF short-sale volume, total reported volume, and TRF share (TRF ÷ total).
Market Intelligence: we z-score each ticker's latest TRF short-sale volume against its prior ~20 sessions and surface names with robust z ≥ 3.
Weekly ATS Transparency data supplements MI signals when available; a joint flag fires when both ATS off-exchange share and TRF volume are elevated on the same name.
Heavy off-exchange volume without a matching headline often precedes directional moves as institutions finish building or unwinding positions.
Counted days drive rankings and MTD balance: accumulation requires return ≥ +0.5%, volume ≥ 1.5× the 20-day average, and a close in the upper half of the session range. Distribution requires return ≤ −1.0%, the same volume threshold, and a close in the lower half.
Context patterns on ticker detail (absorption, weak rally, exhaustion) explain nuance but do not change screener ranks. Absorption is down on heavy volume with a strong close; weak rally is up on below-average volume; exhaustion is down on below-average volume.