Short sales, long sales, and the Lee-Ready trade classification algorithm revisited

► Lee-Ready correctly finds most short (long) sales are buyer‐ (seller‐) initiated. ► At the daily level, misclassification rates are near zero. ► At the trade level, misclassification rates are >30% using contemporaneous quotes. ► Lagging quotes by one second reduces trade-level misclassification to 20%. ► Short sellers' and long sellers' conditional aggressiveness patterns are similar.