For my master thesis, I need high-frequency data with the market participant ID or which identifies the trading parties, respectively. I don't need the entire orderbook but just the matched orders with a trade direction. I've found LOBSTER so far, which has no MPID though, and tradingphysics, whose Times&Sales dataset would be perfect, if the MPID wouldn't be missing for most of the trades. In existig papers researches either use a special dataset which identifies HFT traders directly or use proxies to identify them. If you could give me a hint where to get such kind of data, that would be great.
Answer
Market participant ID data is extremely unlikely to be available without the collaboration of regulators and the exchange itself, as it is a closely guarded information. Even "anonymized" data with no reference to a specific firm could reveal private information to informed market participants. If obtained at all, it is likely to come with draconian restrictions on access, granularity and publication of results. For example, I know of an official sector researcher who had to keep his entire research project secret for over a year before the legal and regulatory hurdles were cleared even though he already had the data in his possession. Good datasets for any period of time greater than a day are also likely to be costly.
My advice to you is to contact someone who did research with similar data and find out if there would be a way to find access it in one way or another. Talk to professors in your institution, they may very well be in contact with someone who fits the profile.
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