Help Needed: Historical OMXSPI Constituents Using Eikon Excel Add-Ons

Lund_Student_2
Lund_Student_2 Newcomer
edited December 2024 in Eikon COM

Hi everyone!

I’m a bachelor’s student from Sweden, currently writing my thesis on excess comovement by index events. This is my first time using Eikon, and I have access to the Eikon Excel add-ons.

I’m trying to retrieve historical data on the constituents of the OMX Stockholm All-Share Index (.OMXSPI) for my research. Specifically, I need:

  • Constituents/Members of OMXSPI at bi-annual intervals (June 1 and December 1) from 2009 to 2021.
  • Ideally, I’d also like to extract market capitalization and cumulative returns for the past year for the constituents at each date.

If anyone can guide me on how to set this up in Eikon or Excel, I’d be incredibly grateful!

TIA!!!

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Answers

  • raksina.samasiri
    raksina.samasiri admin

    Hi @Lund_Student_2 ,

    To retrieve historical constituents of index, the code below can be used with the data library. Here's the example of data as of date 2019-12-01 (the date can be changed in the universe parameter as format (YYYYMMDD)

    import lseg.data as ld
    
ld.open_session()

ld.get_data(
    
    universe=['0#.OMXSPI(20191201)'],
    
    fields=['TR.IndexConstituentName']
    
)
    image.png

    To retrieve historical market cap, you can try this

    import numpy as np


df = ld.get_data(
    
    universe=['0#.OMXSPI(20191201)'],
    
    fields=['TR.IndexConstituentRIC']
    
)

    
df['Constituent RIC'].replace('', np.nan, inplace=True)

    
rics = df['Constituent RIC'].dropna().to_list()
    
ld.get_history(universe  = rics, fields = "TR.CompanyMarketCap", start = '2020-01-01', end = '2020-05-01')
    image.png

    Plus, Data Item Browser tool in Eikon/Workspace application can be used to find the field you're looking for.

    Hope this help and please let me know in case you have any further questions.

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