dcgemp.py

import requests

years_months = months = [
    (2021, 5),
    (2021, 6),
    (2021, 7),
    (2021, 8),
    (2021, 9),
    (2021, 10),
    (2021, 11),
    (2021, 12),
    (2022, 1),
    (2022, 2),
    (2022, 3),
    (2022, 4),
    (2022, 5),
    (2022, 6),
    (2022, 7),
    (2022, 8),
    (2022, 9),
    (2022, 10),
    (2022, 11),
    (2022, 12),
    (2023, 1),
]

# 0-35, idk how many days in a month
days = range(35)

for year, month in years_months:
    for day in days:
        date = f"{year}{month:02}{day:02}"
        url = f"https://cdn.finra.org/equity/regsho/daily/CNMSshvol{date}.txt"
        head = requests.head(url)

        if head.status_code == 200:
            file = f"{date}.txt"
            with open(file, "wb|") as f:
                print(f"{date}: found text file, saving to {file}")
                f.write(requests.get(url).content)
        else:
            print(f"{date}: no txt file found")