I don’t know if this makes sense, but someone is willing to pay for it https://www.nasdaq.com/articles/a-new-way-to-look-at-retail-trading-trends
Have you tried calculating turnover? I calculated the turnover to distinguish whether the activity was done by an institutions or retails. If a stock goes up with high-volume turnover among peers in universe, retail buy, and vice versa. But if a stock goes down with high-volume turnover among peers in universe, institution sell, and vice versa.
Because Vanda’s data filters out the insane number of bots and bad faith actors? Yesterday, that felt like Institutional buying. How many Retailers have the buying power to use 20,000 share reserve book orders till 100-200k(Kept happening) volume fills like yesterday?