When retrieving historical index constituents of the index SP500, there is only delivery of today's

Amjath

When retrieving historical index constituents of the index SP500, there is only delivery of today's SP500 constituents irrespective of the date being enter as parameter, e.g. Google become SP constituent in 2006 but it is show as SP stock in previous years. This is misleading. Getting historical constituents is required to avoid survival bias in analysis.

Phyton API

Jirapongse

@Amjath

Thank you for reaching out to us.

You can check this Building historical index constituents article regarding the historical index constituents.

Typically, the data retrieved through the API comes from the same source as the data in LSEG Workspace Excel.

If you can provide the formula used in LSEG Workspace Excel to obtain the required data, I can help convert it into Python code.