Hi all;
I am trying to find data on how much of each days buys & sells per equity are performed by different classes of entities. I'm trying to map what is done by MarketStructureEdge (Data Definitions tab) as they calculate market sentiment.
In other words what I want is what category of entity is buying & selling equities and options each day. For example, that 23.2% of MSFT stock purchases today were by hedge funds, 48.3% were by funds, 22.1% were by retail traders, and 6.4% were by high frequency traders. (If there are a couple of other categories, that’s good.) Just need totals by company for the day so for MSFT 6 numbers: equity purchases, equity sales, puts purchases, puts sales, calls purchases, & calls sales.
And if only equities (no options) is available, that's still really valuable (I think).
Is there a dataset on QC that provides this information? And if so, which set and what column(s)? If not, does anyone know where I can buy this?
thanks - dave
Fred Painchaud
Hi David,
That data is not available in QC (to the best of my knowledge). It looks like you are looking for “level 2 data” (BOM). https://www.investopedia.com/articles/trading/06/level2quotes.asp
You can buy it from brokers who offer it. Some include it in some “pro/day-trader” plans.
Fred
David Thielen
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