No, I have never seen nor heard of "blank bolts" for the do-it-yourselfer, but, on the other hand, yes, for special applications, i.e. shoulder bolts from an old pice of equipment, etc., which I could not find elsewhere, I have started with a piece of steel, and made bolts in my shop, but it requires a lathe and proper tooling. As Joe said though, it might to help to know what are you doing, because unless it is something really unique, there is most likely something available already, so that you wouldn't have to invest several thousand dollars in machines and tools to make one or two bolts.
Lamp stock is its own special thread. You can probably find a supplier that offers just what you need online. You may even be able to buy tap & die that cuts it. Ace hardware carries a nice selection of pieces usually.
Bolt blanks can be bought for some fastener manufacturer's, but the minimal quantity may be more than you would want. If you are looking for a bolt that has the threads cut all the way to the head, try looking for a "tap bolt". Now--the threaded rod used in chandelier's, lamps, electrical work is a somewhat "special application" thread, although common in the lighting industry. You can purchase these "electrical threaded rods" in lengths to seventy-two inches (72") from many sources. "High Gear" is correct in that most bolts are made from "cold forming" and have rolled threads, not cut-which would remove metal which would be wasting money that the fastener manufacturing business.
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