I have shared my excel template in analysing Bursa Malaysia Trade Statistics. You can modify it for your own purpose. To get the data, you can get it from major daily newspaper and http://bursadailytradestatistics.blogspot.com/.
Participation of retail investors (and traders) in our beloved KLSE is relatively smaller if compare to other market. Besides, our local funds has limited funds to push up or maintain the market consistently. Therefore, it is very important for us to monitor the in-flow funds. These funds will be the main driver to our market. When the funds flow out, most likely the market will go bearish or sideway; otherwise, the market will go bullish. This analysis is quite a good leading indicator of potential market direction.