I’m trying to gather some data for analysis. I want to get data for all the market transactions and categorize them to the buy side and the sell side.
I could get L2 data, review all the trades, and compare them to the bids and asks to get an idea of where they were filled and make categorizations based on this. However, this could be very expensive and potentially take up terabytes of data.
Would it be possible to approximate the buys and sells by looking at all the trade data sequentially, and if the transaction price went up consider it on the buy side and if it went down consider it on the sell side?
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