@rajanraju
There are multiple ways to retrieve historical index constituents as of a given date using Eikon Data APIs. The following method requires you to know the portfolio code of the index, which is different from the index RIC and which you can only look up manually in the PORT app in Eikon.

ek.get_data('Index(HSLI,20150331)',['TR.PortfolioConstituentName'])

The following method is the one I personally prefer, however it does not work at the moment due to a known bug. The fix for this bug is expected to be deployed in production at the end of June.

ek.get_data('0#.HSLI(20150331)',['TR.RIC'])

For your purposes I think the most efficient way would be to reconstruct index constituents using the list of leavers and joiners. I.e. retrieve current constituents, retrieve the list of stocks that joined and left the index over your observation period, and reconstruct the constituents for each date in your series. Here's the code sample.

import pandas as pd
import datetime as dt
import dateutil.relativedelta
import eikon as ek
ek.set_app_key('your_app_key')
ic, err = ek.get_data('.HSLI', ['TR.IndexConstituentRIC'])
lj, err = ek.get_data('.HSLI', 
                      ['TR.IndexJLConstituentChangeDate',
                       'TR.IndexJLConstituentRIC.change',
                       'TR.IndexJLConstituentRIC'],
                     {'SDate':'0D', 'EDate':'-55M', 'IC':'B'})
lj['Date']=pd.to_datetime(lj['Date']).dt.date
lj.sort_values(['Date','Change'],ascending=False,inplace=True)
dates = [dt.date(2015,1,30)]
i = 0
while (dates[0] + dateutil.relativedelta.relativedelta(months=+i+1)) < dt.date.today():
    dates.append(dates[0] + dateutil.relativedelta.relativedelta(months=+i+1))
    i = i + 1
dates.append(dt.date.today())
df = pd.DataFrame(index=dates, columns=['Index Constituents'])
ic_list = ic['Constituent RIC'].tolist()
for i in range(len(dates)):
    print(str(dates[len(dates)-i-1]))
    df.at[dates[len(dates)-i-1],'Index Constituents'] = ic_list[:]
    for j in lj.index:
        if lj['Date'].loc[j] <= dates[len(dates)-i-1]:
            if lj['Date'].loc[j] > dates[len(dates)-i-2]:
                if lj['Change'].loc[j] == 'Joiner':
                    print('Removing ' + lj['Constituent RIC'].loc[j])
                    ic_list.remove(lj['Constituent RIC'].loc[j])
                elif lj['Change'].loc[j] == 'Leaver':
                    print('Adding ' + lj['Constituent RIC'].loc[j])
                    ic_list.append(lj['Constituent RIC'].loc[j])
            else:
                break
df

Hi @rajanraju,

As far as I aware, the DataStream service provides access via the APIs: SOAP, REST or using their .NET libraries. In theory you can use Python to access using their REST service but the Eikon Data APIs for Python do not access the data stream services.

@nick.zincone.1is there a way to get the constituents without going to Datastream?

Hi @rajanraju,

You do provide what appears to be the correct formula to retrieve the constituents in your question, i.e.

df=ek.get_data('.HSLI', ['TR.IndexConstituentRIC'])

Can you elaborate if this is not what you are asking?

In general, you can use the Data Item Browser to research the assets properties. For example:

If you are not using this tool already, it will provide you with elements and parameters you can directly use within the Eikon Data API.

@Alex Putkov. Many thanks for the masterclass. Just awesome!!

awesome indeed. Can anyone tell me what "IC" parameter do?

'IC':'B'