There are thousands of stocks listed in an index. But I want to find out what stocks are primarily traded in day trading/intraday. I believe less than 100 active traded stocks exist, but I don't have any proof. So I am thinking of scaling them out and find my needs. So basically, I plan to collect the EOD data every day for a month and scale them one by one. But the question is, what filters should I use to scale them? How do you know what stocks are the most actively traded? by the only volume data, I can't make it happen, so guys, please tell me what filter I should use to find them?
How about saving the trouble of data mining and screening and just do a google search or ....... I'll just save you the trouble of even doing that. Next google spoonfed: https://www.finscreener.org/screener/most-active/stocks/nq100
There's a lot more than 100 active stocks... Most of the Russell 1000 and quite a lot of the Russell 2000 are liquid. I prefer to use a $ value liquidity filter which can be approximated using Close*Volume - I use a moving average of that above a given threshold.