Create a DataSet for entire market?

Author: joannakim

Creation Date: 6/6/2013 6:55 AM

Wealth Lab » WealthScript (.NET) » Create a DataSet for entire market?

joannakim

6/6/2013 6:55 AM

Hi. i used to get my data set of stock symbols from finviz.com and pasted into the new data set page of Wlp. But that has become more challenging since the format of finviz has changed. If I wanted to import the entire stock market minus some filtered out stocks, where and how would you get that? Thanks.

Eugene

6/6/2013 10:41 AM

Working example of getting all stocks from NYSE, NASDAQ and AMEX.

Install Community Components (or update to the latest and greatest), restart WLP. Give the script some time to complete its first time download and cache data on your disk. All subsequent strategy executions will be instant because of the cache.

The strategy will print out all stocks by exchange to Debug log. Your job is to copy each list to clipboard and paste into the New DataSet Wizard.

CODE:
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Working example of getting all stocks from NYSE, NASDAQ and AMEX.

Install Community Components (or update to the latest and greatest), restart WLP. Give the script some time to complete its first time download and cache data on your disk. All subsequent strategy executions will be instant because of the cache.

The strategy will print out all stocks by exchange to Debug log. Your job is to copy each list to clipboard and paste into the New DataSet Wizard.

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using Community.Components; /*** Requires installation of Community.Components Extension from www.wealth-lab.com > Extensions ***/

namespace WealthLab.Strategies
{	
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			List<string> Exchanges = new List<string>(){ "AMEX", "NASDAQ", "NYSE" };
			
			ClearDebug();
			Classification c = Classification.DeSerialize();
			
			// Classification wasn't found, download and rebuild it
			if( c.StockList.Count == 0 )			
			{
				c = new Classification();
				c.Build();
				c.Serialize();
				Classification.DeSerialize();
			}

DrawLabel(PricePane, "Total stocks in Classification: " + c.StockList.Count.ToString() + Environment.NewLine);
			
			
			foreach( string ex in Exchanges )
			{
				DrawLabel(PricePane, ex + " stocks: " + c.ByExchange(ex).Count.ToString() );
				
				// Example: retrieving the list of all AMEX stocks
				List<Stock> lst = c.ByExchange(ex);
				PrintDebug( ex + " stocks:" + Environment.NewLine );
				StringBuilder sb = new StringBuilder();
				foreach( Stock s in lst )
					sb.Append( s.Symbol + "," );
				PrintDebug( sb.ToString() + Environment.NewLine );
			}
		}
	}
}[/code]

mlyon37

10/26/2014 11:51 PM

Thanks this code was very useful. However, I was getting a compile error on this piece of code

CODE:
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error CS1061 @ (30,7) 'Community.Components.Classification' does not contain a definition for 'Build' and no extension method 'Build' accepting a first argument of type of type 'Community.Components.Classification' could be found (are you missing a using directive or an assembly reference?)

I have installed the community components and the code works perfectly if you comment out that piece.

Eugene

10/27/2014 1:40 AM

In cases like this, please refer to the Wiki online guide:

Classification (U.S. stocks by Exchange)

There you'd learn that syntax of the Classification class had a breaking change (towards simplicity of use) in v2014.07, meaning that old code examples stopped working anymore. Please also find a new code example in the Wiki.

Hope that helps.

mlyon37

10/27/2014 2:17 AM

Thanks, combined it with another example to output the tickers to some .csv files

CODE:
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Eugene

11/15/2019 3:04 PM

Sadly, the Classification class is broken by recent overhaul of nasdaq.com which was the source of the data. Due to no interest I'll remove the class from Community Components in v2019.12. As a silver lining, check out this fruitful discussion:

How to create DataSet out of Yahoo Classification Groups file?

If you're looking to find the components of AMEX, NASDAQ and NYSE then at the moment it gives you two alternatives, free and paid. Both not allowing for programmatic access, I'm afraid.