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Determine Index constituents from Joiners & Leavers

Hi there,

I am currently trying to stitch together historical index constituents from joiners and leavers data. To get the data, I am using the command:

lj, err = ek.get_data(RIC, ['TR.IndexJLConstituentChangeDate(SDate={0},EDate={1},IC=B)'.format(start_date, end_date,'TR.IndexJLConstituentChangeDate(SDate={0},EDate={1},IC=B).change'.format(start_date, end_date,'TR.IndexJLConstituentName(SDate={0},EDate={1},IC=B)'.format(start_date, end_date, 'TR.IndexJLConstituentRIC(SDate={0},EDate={1},IC=B)'.format(start_date, end_date)])

To test this, I am using the HDAX as a test case '0#.GDAXHI'.

Now from this data, the goal is to find the current index constituents at any given time. I thought I can just refer to the RICs and filter the latest joiner RICs, which are not leavers yet. However, I am struggling a bit with the data that I am getting back. For instance, the company 'Salzgitter Werke', has joined the index early on, and the left twice, but based on a different RIC. (so it seems I cannot use RICs for this exercise, cause the RIC KLKG.F^A11 never left according to this)


1638806945050.png


In general I see many joiners and leavers at the same date, with changed tickers (example here)

1638807050611.png


So my question, based on this data: how do I back out the list of index constituents at any given date using only joiners and leavers data?


Many thanks.

Best,

Chris





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Upvotes
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45.3k 103 44 60

@auth

I think the data from Eikon Data API is similar to the data from the Eikon Leavers and Joiners.

1642064803063.png

1642064897016.png

This is why you need to contact the content team regarding how to process the data.

Another API that can retrieve historical items in indices is Tick History REST API.

Tick History REST API has the HistoricalChainResolution endpoint which can resolve current and past chain constituents.

For example, the request looks like this:

{
  "Request": {
    "ChainRics": [
      "0#.GDAXHI"
    ],
    "Range": {
      "Start": "2001-01-12T00:00:00.000Z",
      "End": "2001-01-13T00:00:00.000Z"
    }
  }
}

The response is:

                },
                {
                    "Identifier": "SRZG.DE",
                    "IdentifierType": "Ric",
                    "Source": "",
                    "Key": "VjF8MHgzMDAwMDAwMDAwMDAwMDAwfDB4MzAwMDAwMDAwMDAwMDAwMHx8fHx8fHxTUlpHLkRFfA",
                    "Description": "Historical Instrument",
                    "InstrumentType": "Unknown",
                    "Status": "Valid",
                    "DomainCode": "6"
                },
                {
                    "Identifier": "SZUG_p.DE",
                    "IdentifierType": "Ric",
                    "Source": "",
                    "Key": "VjF8MHgzMDAwMDAwMDAwMDAwMDAwfDB4MzAwMDAwMDAwMDAwMDAwMHx8fHx8fHxTWlVHX3AuREV8",
                    "Description": "Historical Instrument",
                    "InstrumentType": "Unknown",
                    "Status": "Valid",
                    "DomainCode": "6"
                },
                {
                    "Identifier": "TAGG.DE",
                    "IdentifierType": "Ric",
                    "Source": "",
                    "Key": "VjF8MHgzMDAwMDAwMDAwMDAwMDAwfDB4MzAwMDAwMDAwMDAwMDAwMHx8fHx8fHxUQUdHLkRFfA",
                    "Description": "Historical Instrument",
                    "InstrumentType": "Unknown",
                    "Status": "Valid",
                    "DomainCode": "6"
                },
                {
                

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Upvotes
4.3k 6 5 8

Hi @auth ,

In case you'd like to get the list of index constituents at any given date, you may put the date parameter after the RIC, for example

df1, err = ek.get_data('0#.GDAXHI(19980324)', 
            ['TR.RIC','TR.CompanyName'])
df1

1638885197698.png

You may get the date when there're any leavers/joiners and use the code above to get the constituents list at any date.

hope this could help


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Hi @raksina.samasiri


Many thanks for your answer. I am aware that I can do this though. Reason why I am asking is because for my needs, it is much easier and less data intensive to build the list of tickers for each index from Joiners/Leavers, rather than having to pull the entire list each time there is an update.


I am sure it must be possible to reconstruct the list with your command, with the Joiners/Leavers data, I just haven't figured it out yet. Any help would be much appreciated...


Best,

Chris

Hi @auth ,

This forum is dedicated to software developers using Refinitiv APIs. The moderators on this forum do not have deep expertise in every bit of content available through Refinitiv products, which is required to answer content questions such as this one.

The best resource for the content questions is the Eikon support team, which can be reached by submitting queries through MyRefinitv. The support team will either have the required content expertise ready available or can reach out to relevant content experts to get the answer for you.

However, in this case, I open the case number 10755576 on behalf of you and the support team is going to contact you soon for the explanation and the suggestion (if any other field can be used in your use case)