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ricardo.henriquez avatar image
38 ●4 ●9 ●17

Joiners and Leavers cancelling out

I want to recreate the historical constituents for the S&P 100 (taking into consideration joiners and leavers). For that matter, I am requesting the constituents from 2017 and the list of joiners and leavers using Python.

To get the constituents starting in 2017.

#Get SP Constituents in 2017

sp100_rics, err = ek.get_data(
    instruments = ['.OEXA'],
    fields = ['TR.IndexConstituentRIC',
              'TR.IndexConstituentName'],
    parameters = {
        'SDate':'2016-12-31'
    }
)

To get the list of joiners and leavers.

sp100_lj, err=ek.get_data('.OEXA', 
            ['TR.IndexJLConstituentChangeDate',
             'TR.IndexJLConstituentRIC.change',
             'TR.IndexJLConstituentRIC'],
            {'SDate':'0D', 'EDate':'-7Y', 'IC':'B'})

However from the list of joiners and leavers, I am getting strange values of the same instrument joining and leaving the index in two consecutive days.

sp100_lj.head(15)

For example, the case for VLT0.N, GEHC.OQ, CEG.OQ.. and so on.

Are this valid data references, or some sort of cancelled inclusion in the index?

I get the same values getting the table file from Workspace.

#contentpython api
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raksina.samasiri avatar image
14.4k ●30 ●5 ●10

Hi @ricardo.henriquez,

The resolution provided in the ticket is as below.

As per our checks , We can confirm Leavers and Joiners of S&P 100 Index <.OEXA> is correct as per source on Eikon .

The constituent VERALTO CORP ORD <VLTO.N> was joined on 02 Oct 2023 to the index and left the index on 03 Oct 2023. This was as per the Source( S&P) corporate actions.
These changes are correctly available on Eikon LJ Page. In case of Corporate actions like Spinoff, Mergers and Acquisitions, there is chance of Company is adding to an Index and dropping from the index , consecutive day.
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aramyan.h avatar image
5.6k ●18 ●2 ●7

Hi @ricardo.henriquez ,


I can verify that the code you are using is correct. I have created a content request on behalf of you with a 13072826 case number. You should have received an email as well.


Best regards,

Haykaz

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