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.
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.
I have a little experience with this. First, NASDAQ has shared a dataset with researchers that flags whether an HFT participated in each trade or not but not the actual MPID - probably less granular than what you want. You generally need a professor to "cosign" your request, write a brief project proposal, and sign an NDA to get it. They also have shared data with participant ids but this is more closely guarded, and I have heard that in one case the researcher had to be onsite to use it. Second, the CFTC has shared futures market data containing trader ids with researchers in the past, but this program is frozen and many projects that were in progress are now caught in limbo (you can find a few press articles on this). Finally, if ancient data from before HFTs existed would do you any good, you can get the NYSE TORQ database with no hassles. See http://people.stern.nyu.edu/jhasbrou/Research/WorkingPaperIndex.htm
Also, you mentioned that you were able to get similar data from an exchange, can you share any details?
https://mechanicalmarkets.wordpress.com/2015/02/16/protecting-client-interests-anonymity-in-us-equities/ does analysis similar to the question here. It examines the post-trade performance of orders grouped by their MPID (only UBSS and anonymous orders had enough data points to report). It also looks at market impact upon the addition of a new order. (Disclosure: I'm the author)