I have a very basic data question: how to get a list of all common stocks traded on NYSE, NASDAQ and AMEX? I would need to be able to get the approximate list of common stocks as is available in Telechart... I can not get this data at eoddata, for example...

I would like to calculate market breadth indicators and would like to find out how many of common stocks traded were up or down 4% (breakouts/breakdowns) (Cl-Lag(Cl) > 0.04 (4% breakout), Cl-Lag(Cl) < -0.04 (4% breakdown)), how many of common stocks traded are down/up 25% in quarter etc.

My first problem is how to get a list of symbols with only common stocks (no ETFs).

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Hi Samo, welcome to quant.SE and thanks for your question. Please consider registering in order to edit and respond to answers and to gain further privileges. –  Tal Fishman Aug 10 '11 at 1:36

NASDAQ makes this information available via FTP and they update it every night. Log into ftp.nasdaqtrader.com anonymously. Look in the directory SymbolDirectory. You'll notice two files: nasdaqlisted.txt and otherlisted.txt. These two files will give you the entire list of tradeable symbols, where they are listed, their name/description, and an indicator as to whether they are an ETF.

Given this list, which you can pull each night, you can then query Yahoo to obtain the necessary data to calculate your statistics.

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Very nice! I'll have to add a function to TTR to access these files. –  Joshua Ulrich Sep 8 '11 at 18:30
Does Yahoo allow you to run a script to do thousands of HTML fetches against their servers? I know some web sites will ban your IP if you try that. –  pacoverflow Jun 15 at 7:42

Bloomberg Open Symbology has this list. Look in the Common Stock precanned file. This will have a bit more data than you probably need as it has a separate entry and unique id for each place an equity is traded. However it is probably the highest quality list available for free anywhere.

As for filtering ETFs are broken out in a separate file (Equity_ETP) so you simply need to filter by exchange.

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The stockSymbols function in the R package TTR pulls the data from nasdaq.com that @bellamyj mentioned. It also attempts to convert the symbols to a format acceptable to Yahoo Finance.

That said, I'm not certain how to filter this list for only common stocks. There are 1275 securities with "n/a" Sector or Industry, leaving ~5000. Perhaps the remaining categories in Sectors and Industries can help you further refine the list.

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I have a problem using this function, in fact I only get gibberish. I posted on [R-Sig-Finance] on the matter. –  Owe Jessen Aug 12 '11 at 13:12
@Owe: I answered on R-SIG-Finance. Basically, the file changed and I haven't pushed the update to CRAN yet. The R-Forge version of TTR works. Sorry for the confusion. –  Joshua Ulrich Aug 12 '11 at 13:18
No problem, thanks for the fast reply and for writing this function. –  Owe Jessen Aug 12 '11 at 13:27

You can download all stocks on the three exchanges listed in your question from the NASDAQ website: http://www.nasdaq.com/screening/company-list.aspx.

It looks like removing those entries with an industry of "N/A" will eliminate ETFs and other funds from the list.

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echo "[\"$(echo -n "$(echo -n "$(curl -s --compressed 'ftp://ftp.nasdaqtrader.com/SymbolDirectory/nasdaqlisted.txt' | tail -n+2 | head -n-1)$(curl -s --compressed 'ftp://ftp.nasdaqtrader.com/SymbolDirectory/otherlisted.txt' | tail -n+2 | head -n-1)" | tr '|' '\t' | cut -f1 | sort)" | perl -pe 's/\n/","/g')\"]"