question

Upvotes
Accepted
31 7 7 17

Can I use Datastream API (DSWS) to collect historical constituent data?

Can I use Datastream API (DSWS) in Python to collect constituent data such as weights in the past?

pythondatastream-apidsws-apidatastreamconstituents
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

@danieluphromes

Hi,

Thank you for your participation in the forum.

Is the reply below satisfactory in answering your question?

If yes please click the 'Accept' text next to the reply. This will guide all community members who have a similar question.

Otherwise please post again offering further insight into your question.

Thanks,

AHS

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.

Thanks,
AHS

1 Answer

· Write an Answer
Upvotes
Accepted
14.2k 30 5 10

Hi @danieluphromes ,

Yes, to get the constituent list in the past, you can put

  • the date in format 'mmyy' after the symbol
  • then follow them with '|L' to get the list of constituents

For example, to get the list of S&P 500 constituents on Jan 2021, tickers = 'LS&PCOMP0121|L' can be used.

here's the Python code

import DatastreamDSWS as DSWS
 
# set datastream username and password
ds = DSWS.Datastream(username = '# DSWS USERNAME #', password = '# DSWS PASSWORD #')
 
# call Datastream to get a list of RICs
dat = ds.get_data(tickers='LS&PCOMP0121|L', fields=['RIC'], kind=0)
print(dat)

and here's an example, in case you would like to get the historical data of multiple months

# crate list of months and years to fetch a list of RICs on each month
mmyy_list = ['0100','0200','0300','0521']
 
# call Datastream to get RICs list
rics_list = {}
for mmyy in mmyy_list:
    dat = ds.get_data(tickers=f'LS&PCOMP{mmyy}|L', fields=['RIC'], kind=0)
    # save rics list in python dict
    rics_list[mmyy] = dat['Value'].tolist()

Hope this could help.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Write an Answer

Hint: Notify or tag a user in this post by typing @username.

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.