Historical daily market caps for constituents of ETF

Hi @jn02 ,

You can do that in two steps. First, you would need to get ETF constituents as of a date:

import refinitiv.data as rd
rd.open_session()

df = rd.get_data('XIU.TO', fields = ['TR.ETPConstituentRIC','TR.ETPConstituentName', 'TR.ETPConstituentRIC.calcdate', 'TR.ETPConstituentWeightPercent',], parameters = {'SDate': '2024-05-01'})
df

Unfortunetly, you can't get this historically in a straightforward way. I have a presented a more streamlined way of doing that for index constituents which you may want to adapt for ETFs. Check the article here- Building historical index constituents | Devportal (lseg.com).

Next, once you have the constituents, you can request the historical market cap of those instruments:

rics = df['Constituent RIC'].to_list()
rd.get_history(universe  = rics, fields = "TR.CompanyMarketCap", start = '2020-01-01', end = '2024-05-01')

Hope this helps.

Best regards,

Haykaz