What is included in FinancialData["NYSE", "Members"] appear to be stocks, indices, and exchange traded funds (ETFs). One can see this by finding the intersection of the group with the various "Classes" of FinancialData:
nyse = FinancialData["NYSE", "Members"];
{#, Length@ Intersection[FinancialData@#, nyse]} & /@ FinancialData@"Classes"
{{"Currencies", 0}, {"Exchanges", 0}, {"ExchangeTradedFunds", 2},
{"Futures", 0}, {"Indices", 544}, {"MutualFunds", 0}, {"Sectors", 0}, {"Stocks", 4885}}
We can select out the stocks:
nysestocks = Intersection[nyse, FinancialData@"Stocks"];
but, of course, there are still too many (4885), at least according to the naïve counting of the NYSE listings. Most of the excess, it turns out, are ETFs, which is not surprising as FinancialData only identifies 2 as on the NYSE, and there are many. A quick check can confirm this:
Select[
FinancialData["NYSE", "Members"],
StringContainsQ[FinancialData[#, "Name"], "etf", IgnoreCase -> True] &] // Length
268
This is still to small to account for everything (one can't expect "ETF" to be in the name of every ETF), but an indication that the ETFs are in there.
Filtering the ETFs and indices out of nysestocks is probably not possible with only the tools of FinancialData. In its current state, it doesn't appear to provide enough information to allow ETFs to be reliably distinguished from stocks (yes, one can make some progress by filtering based on "Name", or perhaps "Volume", but there isn't any surefire way to determine security type...probably they are mixed in with the stocks only by mistake, so it is not surprising that the tools to extract them are lacking), although perhaps someone else may have some suggestions.
The following is a partial answer to the second part of your question. There are, without a doubt, other and better ways to do this.
Mathematica can still help us here, provided we look elsewhere for our data. Yahoo! Finance and Google Finance both provide access to a wealth of financial information. A little research shows that both also can be queried programmatically (this and this were helpful):
YahooFinanceLookup[symbol_String] := Quiet@With[
{sym = Last@StringSplit[symbol, ":"]},
"type" /. Flatten@Cases[
Import["http://finance.yahoo.com/webservice/v1/symbols/" <> sym <> "/quote?format=json", "JSON"],
{___, "symbol" -> _, ___}, Infinity]
] /. "type" -> $Failed
GoogleFinanceLookup[symbol_String] := Quiet@With[
{rule = ("\"" <> ("e" | "type") <> "\" : \"" ~~ s : (Except["\"", _] ..) ~~ "\"") :> s},
Import[
"http://www.google.com/finance/info?infotype=infoquoteall&q=" <> symbol, "String"
] /. str_String :> StringCases[str, rule]
]
YahooFinanceLookup returns what Yahoo! Finance considers the "type" of security symbol, which is either "equity" or "etf".
GoogleFinanceLookup returns the name of the exchange on which the security symbol is listed and what Google Finance considers the "type", which is usually "Company" if it is known, and which unfortunately is applied to both stocks and ETFs.
We can apply these to filter out some of the ETFs:
yahoostocks = GroupBy[{#, YahooFinanceLookup@#} & /@ nysestocks, Last];
Length /@ yahoostocks
<|"equity" -> 2467, "etf" -> 1086, $Failed -> 1332|>
The "equity" elements I believe are stocks (I don't know exactly how it is defined in this context, though). The $Failed elements are the securities that Yahoo! didn't know. We can also try with Google:
googlestocks = GroupBy[{#, GoogleFinanceLookup@#} & /@ nysestocks, Last];
Length /@ googlestocks
<|{"NYSE", "Company"} -> 2414, {"NYSEARCA", "Company"} -> 1162,
$Failed -> 1072, {"OTCMKTS", "Company"} -> 81,
{"NASDAQ", "Company"} -> 105, {"NYSEMKT", "Company"} -> 33,
{"BATS", "Company"} -> 4, {"Company"} -> 11,
{"INDEXDJX", "Company"} -> 2, {"OTCBB", "Company"} -> 1|>
Well, there appear to be some securities from the NASDAQ, Dow Jones, and other exchanges listed as on the NYSE. It seems that the curated FinancialData might be significantly out of date in some areas.
If we gather together all of the entries that we think are stocks and that we know are on the NYSE, we get
NYSEstocks = Intersection[
(yahoostocks["equity"])[[All, 1]],
(googlestocks[{"NYSE", "Company"}])[[All, 1]]
];
Length@ NYSEstocks
2140
This is less than it should be, but the entries should all be NYSE stocks. Some of the elements that came up as $Failed according to either YahooFinanceLookup or GoogleFinanceLookup are stocks that should be included in this list, but at the moment I have exhausted my research energies, so I will leave which ones those are as an open question.
As an additional resource, I can point you to a list of NYSE companies maintained by NASDAQ, which can be downloaded in CSV format. That list has 3245 entries, but does not distinguish type of security. The security symbol naming convention is also slightly different, which inhibits facility of comparison.
