I like to download all Chinese ( more than 4000 stocks) stocks daily price data from 1990 to 2020 from Eikon Thomson Reuters datastream. However, I failed to select and download all stocks together. For example, if I download data for a particular sector ( maybe 200-300 stocks), then that it is working. But can not select all 4000 stocks together. Is there any way by which I can do that?
What works for me is choosing each sector for a specific country manually, through the Excel add-in of Eikon (Datasteam -> Series requests -> Time series request). A window pops-up, that asks for the Series/list and what datatype you want. You click the orange box find series. Then you have to find through the search bar each sector in China. For each entry, there is a blank box that you can tick. Once you have selected all sectors, you load them by clicking the use button. The excel returns to the time-series navigator (the first window that appeared) and ask what datatype you need. You enter the word MNEM, which refers to the mnemonic code (unique for each stock). By clicking submit, you get the unique identity code for each stock.
The excel downloads essentially the mnemonic code for every chinese stock. You can copy the mnemonic codes in a different spreadsheet. From this spreadsheet, you can create a custom list from cell range (Datasteam -> Utilities -> Create list (From range)). The custom list can be used anytime to retrieve the stock price (P) or other measures of interest, without repeating the whole process.
I did the same thing for S&P500. Downloaded the list of stocks into an excel with RIC codes. in excel use function =concat(transpose(RIC column range)&",") to merge rows and separate by comma so that you can copy a single row into Excel-->Datastream and simply tick the RIC box on Time Series Request. My range B24 to B110 corresponds to the RIC column for the SP500 Tech sector.