SP500 Historical Constituents

News & discussions
1

Hey,
I was wondering if anyone knows the best way to get an API that can get me the historical constituents of the sp500? Ideally, i want to create a grid of 1’s and 0’s that show if a stock was in the sp500 on a given day.
It would also be great to do for the most liquid_500 too, but that’s of less important.

Any tips would be greatly appreciated, thanks!

2

Hello,

Thanks for reaching out.
Historical constituents are available through the Fundamental API. Additionally, we offer a new product in our Marketplace that might interest you. Indices Historical Constituents Data API.

Feel free to reach out if you have any further questions.

3

I’ve already tested your new product, and I’m really happy with it :slightly_smiling_face: :+1:

4

Thank you so much! The I have the following problems:
1- Multi entries, I don’t believe any of the API’s you mentioned account for multi entries/exits.
2- What about if a ticker name changes? As I understand it, all OHLCV data is standardised so that when you see (for example) ‘C’, it will refer to Citigroup for all time, regardless of the fact that it previously stood for Chrysler. Whereas with in_out data, I’m concerned that changes in ticker names could cause issues, i.e. a column of 1’s and 0’s with the column name ‘C’ might sometimes refer to citigroup and at other times refer to chrysler.

Thanks again for your help so far!

5

You are very welcome!

  1. The API should support all entries and exits of a company within the index.
  2. If a company reuses a ticker that previously belonged to another company, the old ticker is assigned the suffix “_old” (e.g., C_old). This way, you can easily identify which company the ticker belongs to based on the suffix.