Hi everyone,
Thanks to the insights from another user's thread on this forum, I was able to create a function that retrieves the historical constituents of the SP1500 at a specific point in time (specifically, at the end of each year). My ultimate goal is to get a list of firms which where constantly part of the SP1500 between 2004-12-31 and 2006-12-31.
While the function works as intended, I'm having trouble understanding the purpose of the "SDate" and "Period" parameters. I would really appreciate some help in clarifying how these parameters function.
From what I gather, "FY0" likely refers to Fiscal Year 0, but I'm unsure of its exact role within the function. Additionally, the date appears in two places—once after "SPSUP" and again as a parameter. Could someone explain the difference between these two date references?
Thanks in advance for your help!
dates = ['2004-12-31', '2005-12-31', '2006-12-31']
#Create empty dataframe
SP1500_Complete = pd.DataFrame(columns=['Instrument', ' Company Common Name', 'Organization PermID', 'Date'])
# get S&P1500 constituents at the end of each year
for date in dates:
SP1500, er = ek.get_data(f'0#.SPSUP({date})', fields=['TR.CommonName', 'TR.OrganizationID'], parameters={'SDate': f'{date}', 'Period': 'FY0'})
SP1500['Date'] = date
print(SP1500)
SP1500_Complete = SP1500_Complete.append(SP1500, ignore_index=True) #Append dataframe
