Do you mean in the rendering? like particles that have a masking shader that 'erase' other particles behind them?
I guess you could do that with the C++ SDK in your own engine with a custom material and/or render pass.
In our UE4 plugin you can override any material of any effect with any of your own materials, so I'd say you should be able to do it as well.
But in our Unity plugin, unfortunately no, that's not possible, as we can't draw the particles in the actual Unity graphics pipeline, so it's much less flexible :/