Data on who (entity TYPE) is buying/selling

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 index 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).

I assume this is level 2 data and I have asked my sales rep at NASDAQ, Bloomberg, & Refinitiv about this and they haven't been able to find it. But the data must exist, although it might require some post-processing on my part.

Does anyone know where I can get this? And not just from who, but what specific dataset I need to ask for?

thanks – dave


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