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Public Sources for Historical U.S. Margin Trading Data

Article Quant Q&A · Author: Jacob Amos
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Summary

The document asks where to find aggregate information on investor margin borrowing, including historical data, and whether margin activity could inform or be backtested as a trading signal. It is prompted by a claim that peaks in margin trading preceded past bear markets, but the document does not evaluate that claim or establish predictive value.

The response points to margin data reported by NYSE organizations through a downloadable file and to FINRA margin statistics presented on a web page. It suggests comparing the two sources, while noting that a direct downloadable data file was not found for the FINRA page. No strategy, backtest, data history, or performance evidence is provided, so the material is mainly a pointer to potential public research inputs.

Key ideas

  • NYSE organization reports are identified as a source of downloadable margin data.
  • FINRA is identified as a source of margin statistics presented on a web page.
  • The two reported sources could be compared for consistency.
  • The document does not provide a backtest or evidence that margin levels predict market declines.

Tags

EquitiesUS marketsStatistics
Full text
# Data on margin volumes?


# Data on margin volumes?












I came across a Financial Times article today that said "Peaks in margin trading have been a precursor to bear runs in the past, notably in March 2000 and July 2007."

I'm curious if anyone here would know if there is a common data source to get an aggregate sense of how much margin investors are taking on? Or is this just something that we might infer from interest rates in the economy? Historical data would be especially awesome of course.

It would also be interesting to hear if anyone has ever backtested a strategy using something like this, and if so how it worked out.

## Answer by jaamor (score 3, accepted)

https://quant.stackexchange.com/a/15100

This is an interesting topic. I assumed that you are looking for a public data source.

Here is the margin data as reported by NYSE organizations (nyxdata) that offers a downloadable file.

Here is the page of FINRA for Margin Statistics. This is an HTML page, I did not find a link to download a data file. You can validate the two sources against each other.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.