How do I get the list of the S&P500 constituents on any given date?

Pilboud

I can get the current list of the S&P constituents using this: ek.get_data('0#.SPX',['TR.CommonName', 'TR.InstrumentIsActive', 'TR.CompanyMarketCap', 'TR.PriceClose']).

But I would like to be able to get the list on any given date that I would pass on to the code. Is there any way to do this? Thank you.

Zhenya Kovalyov

There is, but the depth of historical data depends on the index provider. Try this for the snapshot of the constituents for January 1st, 2016:

tr.get_data(instruments=".SPX", fields=["TR.IndexConstituentRIC","TR.IndexConstituentName"], parameters={'SDate':'2016-01-01'})

Pilboud

https://community.developers.refinitiv.com/discussion/comment/16284#Comment_16284

This works for me, thank you very much.

iteam

https://community.developers.refinitiv.com/discussion/comment/16284#Comment_16284

I tired this, but It seams that it does not return data before 2014. Is this data not avaalible?

Pilboud

https://community.developers.refinitiv.com/discussion/comment/16291#Comment_16291

The available data depend on the index that provides it

Zhenya Kovalyov

https://community.developers.refinitiv.com/discussion/comment/16291#Comment_16291

I would suggest calling Thomson Reuters Support Desk with this, they would be able to provide you more asset specific information.

Alex Putkov.1

Here's another method that I find to produce much better results:
tr.get_data("0#.SPX(2012-01-01)", ["TR.CompanyName"])

Pilboud

https://community.developers.refinitiv.com/discussion/comment/16301#Comment_16301

Thanks. And yes, that's an easier method. Also if you want to get the close price (I am sure it works for other fields but i have not tried) for that specific date you can do:

tr.get_data("0#.SPX(2017-07-01)", ["TR.CompanyName","TR.PriceClose(2017-07-01)"])

Tulkkas

https://community.developers.refinitiv.com/discussion/comment/16301#Comment_16301

Why does this does not return any RIC if supplied with 'TR.IndexConstituentRIC' ?

Alex Putkov.1

https://community.developers.refinitiv.com/discussion/comment/50255#Comment_50255

Two reasons.

1. Incorrect syntax.
   To retrieve index constituents using TR.IndexConstituentRIC field you need to use index RIC not the chain RIC, i.e. ".SPX" instead of "0#.SPX", and the date needs to be passed in the parameters of get_data method rather than in the instrument.
2. Index constituent history available through TR.IndexConstituentRIC field only goes back to 2016.

See the discussion on this thread for more details and alternative ways to retrieve historical index constitutes.

cqlc94

https://community.developers.refinitiv.com/discussion/comment/50239#Comment_50239

Hi there, where could I find the depth information about apis or fields such your said "TR.IndexConstituentRIC field only goes back to 2016"? Thanks