What is the exact purpose of segregating and filtering of top gainers and losers? Are you looking at arbitrage based on momentum? Based on the daily top gainers and losers, how long would a tracking window of the movement for the respective stocks do you plan on having? Is your project focused on a multi day tracking window (before and then after) or the respective day window news (information) / trade data?
Along with that as someone had mentioned, what would your filter strategy be? Based on market cap, volume or combination of both or other such factors?
Now while creating a list of factors for affecting the movement, have you segregated the information based on company fillings, Regulator policy changes from regulators (RBI, SEBI, NABARD, IRDAI, FSSAI and many more…), fillings / press releases/ consultation papers. Along with that Rating Agency (CRISIL, CARE, ICRA) reviews, updates, rating revisions/reaffirmations.
All data can be characterized/segregated/sorted on the basis of macro and micro or maybe directly related, indirectly related or non-related but impactful. Eg. Impact on company due to internal performance such as better earnings, defaults on credit, capex initiation, capex completions, accidents / natural hazards. Impact on company due to industry wide regulations or failure of industry participant (any industry wide stresses/benifits ). Non direct exposure due to falling rupee and high FII holding which might be getting liquidated, Rising yields in US, Repo rate increase, Oil shocks, Wars etc.
When working with news related information based tracking, there are problems with information accessibility timings, validations issues, requires multiple scrappers / API access and information translation mechanism at rapid pace (You might need somewhat type of a Bloomberg terminal or you might end up building one if you are crazy enough to work on it.) It is quite difficult to have good information scraping mechanism when you go beyond NSE and BSE feeds for respective stocks/scrips.
People tend to rather trade with numbers and statistics based on (algorithms) strategy which have been properly back tested and have a consistent win ratio of >50% on say 10000 or maybe a million trades.
For the filtered or unfiltered list of scripts/stocks, do you have a plan on collecting other than news feed information such as OHLCV data? Do you plan on tracking momentum / regime indicators, RSI, MACD or various such basic indicators for each day?
Note: I have very limited or close to no exposure to trading or investing. The above information is from when i had tried working with or faced problems while exploring a few arbitrage strategies. It sounds quite interesting to look at top gainers and losers for the day and identifying the information which might have had potentially moved the volumes and gains/losses the most and see how things play out in the following days for the respective stock.