How to retrieve index constituents for a specific date

rice

According to the article at https://community.developers.lseg.com/home/leaving?allowTrusted=1&target=https%3A%2F%2Fdevelopers.lseg.com%2Fen%2Farticle-catalog%2Farticle%2Fbuilding-historical-index-constituents  ,the get_constituents_as_of function is supposed to retrieve index constituents for a specific date.

However, when I tried to pull constituent data for 2026-03-23, 2026-04-01, and 2026-04-02, the results were identical across all three dates.Meanwhile, get_constituent_changes does show constituent changes during this period, which seems inconsistent and unexpected.

When I completely copy the code from the webpage, the returned result is different from the example shown on the webpage.

Jirapongse

@rice

Thank you for reaching out to us.

As far as I know, this 0#.SPX(20260401) method may not work for some indices. I think 0#.SPX is one of those.

The workaround could be using 0#.SPX to get the current constituents and then use the Leaver and Joiner to rebuild the historical constituents.

For example:

from datetime import date, datetime
import pandas as pd
def get_historical_constituents(ric, start):
    current_constituents = ld.get_data(
        universe = [f'0#{ric}'],
        fields = ['TR.RIC'])
    current_constituents = current_constituents[['RIC']].copy()
    #display(current_constituents)
    today_date = date.today().isoformat()
    const_changes  = ld.get_data(universe=[ric], 
                                 fields = ["TR.IndexJLConstituentChangeDate", 
                                           "TR.IndexJLConstituentRIC",
                                           "TR.IndexJLConstituentName", 
                                           "TR.IndexJLConstituentituentChange"],
                                 parameters={"SDATE":f"{start}","EDATE":f"{today_date}", 'IC':'B'})
    const_changes = const_changes[::-1]
    for index, row in const_changes.iterrows():
        if row['Date'] > datetime.strptime(start,"%Y-%m-%d"):
            #display(row)
            if row['Change'].strip()=="Leaver":
                print(f"Add:{row['Constituent RIC']}")
                new_ric = pd.DataFrame({'RIC': [row['Constituent RIC']]})
                current_constituents = pd.concat([current_constituents, new_ric], ignore_index=True)
            elif row['Change'].strip()=="Joiner":
                print(f"Remove:{row['Constituent RIC']}")
                current_constituents = current_constituents[current_constituents['RIC']!=row['Constituent RIC']]
        else:
            break
    
    return current_constituents

get_historical_constituents('.SPX','2026-03-22')