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

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Question by Pilboud · Jul 20, 2017 at 07:05 AM · date

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

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.

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Answer 1 · 2017-07-20T08:42:21Z

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Answer by Zhenya Kovalyov · Jul 20, 2017 at 08:42 AM

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'})

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Pilboud · Jul 20, 2017 at 08:49 AM 1

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This works for me, thank you very much.

iteam · Jul 20, 2017 at 10:36 AM 0

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

Pilboud iteam · Jul 20, 2017 at 11:51 AM 0

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The available data depend on the index that provides it

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Zhenya Kovalyov ♦♦ iteam · Jul 20, 2017 at 11:51 AM 0

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

Answer 2 · 2017-07-20T14:59:28Z

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Answer by Alex Putkov. · Jul 20, 2017 at 02:59 PM

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

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Pilboud · Jul 21, 2017 at 04:13 AM 1

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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 · Oct 11, 2019 at 11:05 AM 0

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

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Alex Putkov. ♦♦ Tulkkas · Oct 11, 2019 at 01:15 PM 0

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Two reasons.

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.
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 Alex Putkov. ♦♦ · Jul 09 at 10:10 AM 0

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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

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

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