Commodity Index

Question

I am trying to extract the futures contracts that compose commodity indices such as BCOM using the Refinitiv/LSEG Python API.

My goal is to retrieve, for each index component:

* the current futures contract used by the index;
* the next futures contract used for the roll;
* the settlement or close price for both contracts;

I first tried expanding a Chain RIC with:

chain = Chain(name="0#.BCOM")

rics = list(chain.constituents)

but it returned around 2,307 RICs. That is much too large for the actual constituents of BCOM, so I assume I expanded a broad futures chain rather than an official index constituent chain.

What is the recommended way to retrieve the actual futures constituents through LSEG/Refinitiv?

Specifically:

* How can I find the correct Chain RICs in Workspace, RIC Search, Data Item Browser, or through the API?
* Does Chain(...).constituents return only the current constituents, or can it be used for a historical date such as yesterday?
* Once I have the correct RICs, which fields should I use for official daily futures settlement or close prices?
* Is there a field that identifies the current and next roll contracts used by the index, or should this be mapped manually from the BCOM methodology?

Thanks!

Jirapongse · Answer

@RafaelPoppe

Thank you for reaching out to us.

For content related questions, please contact the content support team directly via LSEG Support.

You can use the search API to filter RICs. For example:

df = ld.discovery.search(
    view = ld.discovery.Views.COMMODITY_QUOTES,
    filter = "PrimaryChainRIC eq '0#.BCOM' and DTSubjectName eq 'Subindex' and DTSubjectName ne 'Total Return' and DTSubjectName ne 'Forward' and DTSubjectName ne 'Spot' and DTSubjectName ne 'Hedged'",
    top = 5000)
ld.get_data(
    universe = df['RIC'].to_list(),
    fields = ['TR.InstrumentDescription','TR.CLOSEPRICE'])

wasin.w V3 · Answer

Hello @RafaelPoppe

I can answer some questions.

Question: Does Chain(...).constituents return only the current constituents, or can it be used for a historical date such as yesterday?

Answer: Please be informed that Library Chain() module object always gets and expands the chain constituent from the Real-Time platform, so you always get "the current" constituent RICs.

There is a workaround. You can use the

https://community.developers.lseg.com/home/leaving?allowTrusted=1&target=https%3A%2F%2Fdevelopers.lseg.com%2Fen%2Fapi-catalog%2Frefinitiv-tick-history%2Frefinitiv-tick-history-rth-rest-api

(aka DataScope REST API, DSS) to get the historical chain constituent. Please check the REST API Tutorial 15: Historical Chain Constituents Search page for more detail.

* Note: The Tick History/DSS is different LSEG product than Workspace. You need the DSS REST API credential and permission.
* The LSEG Tick History - REST API example Python code is available on the download page.

Regarding the rest of questions (how to find a right chain RIC, which field to use, etc.), I am not the content experts. I suggest you contact the Workspace Content Support Team to help you find the RICs and Fields that you need. You can contact the team via https://support.lseg.com/s/?formtype=ContentQuery website.

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