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Yuki,
Here a page you can download the components for Nasdaq, Amex and Nyse:
http://quotes.nasdaq.com/reference/comlookup.stm
If you make a single database with these securities, you can run a 
filter and export the results to a second database, then delete the 
first one, or am I wrong? I admit it's not really "class", but...
I consider a temporary Quote Plus subscription, their database seems 
interesting...
Anyway, hope this helps!
Friendly,
Gilles
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