If you look on the internet for stock market data, you will quickly find yourself inundated with sources providing stock quotes and financial data. An important and often overlooked factor when acquiring data is the efficiency of getting the data. All else being equal, you don't want to spend hours piecing together a dataset that you could have acquired in far less time. Taking this into consideration, we will try to obtain the largest amount of data from the least number of sources. This not only helps to keep the data as consistent as possible, but it also improves the repeatability of the analysis and the reproducibility of the results.
The first piece of data we want to obtain is a snapshot of the stocks we want to analyze. One of the best ways to do this is to download data from one of the many stock screener applications that exist. Our favorite screener to download stock data from belongs to http://finviz.com .
Let's acquire the stock market...