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).

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.

UPDATE: More information about these files and their fields can be found here.
