Ok, this is my first attempt to download the data:
1. I went to finviz.com screener, selected "Average volume between 500k and 1m" got 686 stocks as a result, which I downloaded as "finviz.csv" file
2. This is the R script (using quantmod):
Code:require("quantmod")
allstocks = read.csv("C:/data/stocks/finviz.csv", stringsAsFactors=F)
for(i in 1:length(allstocks$Ticker)) {
t = as.character(allstocks$Ticker[i])
stock = as.data.frame(getSymbols(t, src="yahoo", auto.assign=F))
names(stock) = c("Open", "High", "Low", "Close", "Volume", "Adjusted")
fname = paste(t, ".csv", sep="")
fname = paste("C:/data/stocks/", fname, sep="")
write.csv(stock, fname)
}
It took about 10 min to download the whole lot. Now I have got plenty of csv-files. And thinking of what to do next with them. To process, to SQL import them....