Let's break down your question in to several topics, and I will use Eikon for Excel in my examples.

The list of Swedish companies

There are two quick ways to get the list of all listed Swedish companies: using search or the Screener app;

Search formula (or use the Search button on the Thomson Reuters tab in Excel)

=RSearch("EQUITY",{"RCSIssuerCountryGenealogy","'M:DH/G:A/G:3/G:M/G:2/G:6V'";"IsPrimaryRIC","Yes"},"NBROWS:2000",,)

Screener (or use the Screener button on the Thomson Reuters tab in Excel)

=TR("SCREEN(U(IN(Equity(active,public,primary))/*UNV:Public*/), IN(TR.RegCountryCode,""SE""), CURN=SEK)","TR.CommonName","curn=SEK RH=In CH=Fd")

Both functions will return the list of RICs (or Reuters Instrumental Code) that correspond to a quote of the equity on the exchange. RSearch will also return the pre-IPO company codes, so the output result will be a little different.

Getting fundamentals

Let's take Trelleborg (RIC:TRELb.ST) as a sample.

EV/EBIT can be found in the Formula Builder (Build formula button on the Thomson Reuters tab in Excel). Make sure you check out the parameters of the return value, but the formula will look somewhat like this.

=TR("TRELb.ST","TR.EVEBIT.date, TR.EVEBIT.value","Frq=FY Period=FY0 SDate=0 EDate=-20 CH=Fd RH=IN")

Other fields you are looking for can be found in the Formula Builder as well, or you can always contact your Thomson Reuters support desk for data help and training.

Getting time series data

Let's take Trelleborg (RIC:TRELb.ST) as a sample again.

You can either make a call through the fundamentals request like this:

=TR("TRELb.ST","TR.TradePriceClose(TSINTERVAL=MNTHLY).date, TR.TradePriceClose(TSINTERVAL=MNTHLY).value","Frq=CM SDate=0 EDate=-250 CH=Fd RH=IN")

Or you can access the dedicated time series data base:

=RHistory("TRELb.ST","TRDPRC_1.Timestamp;TRDPRC_1.Open;TRDPRC_1.High;TRDPRC_1.Low;TRDPRC_1.Close;TRDPRC_1.Volume;","START:01-Nov-1995 END:04-Nov-2016 INTERVAL:1MO",,"TSREPEAT:NO CH:Fd",)

The index time series can be requested the same way, the RIC is .OMXSPI.

All of these pieces of functionality can be achieved in our Eikon APIs, both COM and .NET. Which one would you prefer?