I have plans to work on a paper to study a possible correlation between fluctuations (volatility) in the European and American markets with retail trading activity, either dollar and/or ticket volume. Struggling to find the right data if any is even available. Does anyone know of an index or a good source where I can possibly find this? I tried CFCT reports but these do not have volume and only information on long/short positions and cannot seem to find historical data on it, ideally would like to go back to early 2000s


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