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How to Aggregate Universe Returns When Calculating Factor Returns
To calculate factor returns using TOPIX as the universe, I attempted to retrieve the stock prices of the index constituents. However, the volume of data is too large and I am hitting the daily data retrieval limit. I would appreciate any suggestions on a better approach. I am currently downloading the data using the…
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Getting Constituents of MSCI, Bloomberg, ICE Bofa Indices in Datastream API
Hello, What is the syntax I have to use to get the constituents PIT (Point In Time, we have a license for this) for the following indices using Datastream API ? I am not able to find a working solution. While this works for Dax index for example it does not with MSCI Indices: ds.get_data(tickers='LMSUSAMD0121|L',…
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Is there a problem with the constituent stock data returned by the API?
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The constituent's RIC toggles between the two dual-listed tickers.
When I retrieved constituent stock data on April 9th and April 20th, the constituent code returned by STOXX was STMPA.PA, while on all other dates it is consistently STMMI.MI. Could you please explain the reason for this discrepancy?
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How to retrieve index constituents for a specific date
According to the article athttps://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…
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How do I pull the constituent stocks of an index, such as the S&P 500, via the Python API?
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How can I get the constituent stocks of the .STOXX index?
I can find it on the workspace, but it keeps returning an error when I use the API.
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How can I (bulk) download the historical daily stocks returns (with a twist!)?
How can I bulk download the historical daily stock returns for all constituents of .SPX, including both current and former members, from the beginning of 1998 to the end of 2025? So for example, if stock X was a member of .SPX from 2000 but left it in 2008 must be included in the list, showing the daily return from 2000 to…
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I want to retrieve historical STOXX constitutes and especially their Index weights. Unfortunalty, th
# --------------------------------------------------------- # Test for Index weights (only works for current date, no historical data available) # --------------------------------------------------------- target_date = "2026-01-27" df = ld.get_data('.FTSE', fields=[ "TR.IndexConstituentRIC", "TR.IndexConstituentName",…
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Constituents of an equity index?
Can anyone tell me why it returns an error? Are there indices that are compatible with 0# notation and those are not? Is there something wrong in my code? How can I see the list of all the constituents of an index? import lseg.data as ld ld.open_session() This one works.str_test = "0#.TSPM" l_field_test = ['TR.RIC']…
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Historical EWG ETF holdings, weight
I am trying to fetch historical ETF holding of EWG ric using below python code but not getting valid entries. kindly suggest required changes to be done to fetch historical holdings of EWG ETF df, err = ek.get_data( ['EWG'], fields=[ 'TR.ETPConstituentWeightPercent.constituentric', 'TR.ETPConstituentWeightPercent' ],…
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Constituents via Chain object only pulling current despite date pparameters
I recently ran into the issue of not being able to pull historical constituents using Chain objects as shown in the GitHub (ie: as of 12/31/2020). This worked for me previously, but as of today is exclusively pulling what appears to be the current consts no matter the date specific in the Chain attribute and parameters.…
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When retrieving historical index constituents of the index SP500, there is only delivery of today's
When retrieving historical index constituents of the index SP500, there is only delivery of today's SP500 constituents irrespective of the date being enter as parameter, e.g. Google become SP constituent in 2006 but it is show as SP stock in previous years. This is misleading. Getting historical constituents is required to…
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Survivorship bias free data
I would like to get the historical constituents for an ETF, S&P500 for example, using the lseg.data api in Python. Is there an easy way to do this and more importantly, will this data include stocks that are delisted so that my universe is free of survivorship bias? Moreover, in general is there a way to pull data for…
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STOXX Europe 600 Constituents of 2015-2023
Hello everyone, I need lists of the firms that are part of the STOXX Europe 600 index on the last trading day of each year from 2015 to 2023. So, I need one list will all constituents of the index on 31-12-2015 and another list with the constituents on 30-12-2016, etc. Could anyone explain how to do this? I thought that I…
