I was wondering if there is a way to acquire data about the individual buyers and sellers that make up a stock's volume. Ideally I would like a breakdown of volume that gives a list of the individual buyers and sellers and how much each one bought or sold.
I believe you are wanting to know how to read the tape. Not my strong point, but there is a plethora of info out there if u just google reading the tape, stock market. if i am wrong, somebody by all means, straighten me out.
I will opine that following the ticker is a slippery slope of value. Ticker feeds are available, even for free, but to get the full ticker for any given exchange you are going to need a contract feed and a decent amount of bandwidth. From there, you are going to require a ton of compute and an epic storage system, if you plan to do much real time analysis of the data. It would be manageable with a consumer desktop, if you just wish to analyze a handful of companies. Even at that, you are going to arrive at your conclusions long after the front runners who pay hundreds of millions of dollars to collocate their supercomputers in the exchange, right next to the matching engine. You will essentially be running a 100m dash against Olympic athletes who have a 75 meter head start. I switched from a ticker feed to morning line numbers about 15 years ago and haven't looked back. Keep in mind, I'm a long term investor with an aversion to trading so my comments probably have no relevance to your situation. Hardware was worlds less powerful back then but I started the ticker journey with a Core 2 Duo, hard disk, and MySQL. The journey ended with a Core 2 Quad, SSD (were expensive and short lifespan, back in the day), and Diamondbase (B+ tree DBMS). This later platform was fast enough to do a decent job analyzing a few dozen stocks in real time but it was all C++, as Python wouldn't have been efficient enough. As B Russ points out, you should be able to Google down a feed in a few seconds.
