Norgate index constituency list
Constituency: $SPX, $DJI // etc.
Norgate supports historical index constituency series for many different indexes.
The following links to their website will provide the latest details:
•US Historical Index Constituents
•AU Historical Index Constituents
•CA Historical Index Constituents
These details can also be found in the constituency.csv file that comes with RealTest and is automatically loaded each time the program starts.
Here is a subset of that file:
Column A contains the index number used by RealTest internally to identify each constituency time series.
Column B contains the symbol to use in your Constituency statement if you want to include that constituency time series in your imported data.
Column C is the InXXX variable to reference to use in your script formulas to find out whether the current stock was a member of that index on the current date.
Column D is the name of the standard Norgate watchlist containing current members of that index.
When your Import definition includes a Current & Past version of any of these standard watchlists, RealTest automatically adds the Constituency series for each such index to your imported data IF your script does NOT include a Constituency statement.
Therefore you may rarely need to specify Constituency in an Import definition -- do so only when importing your own custom watchlists but still need to use InXXX in some of your formulas. An Constituency specification, if provided, must include all the indices for which InXXX is needed.
The first row above is a special case. It refers to Norgate's US Major Exchange Listed time series. Add Constituency: $MEL to your import and refer to InMEL in your formulas to ensure that a stock was listed on a major exchange (not over-the-counter traded) on that date. (In practice this makes very little difference if you already use a reasonable liquidity filter.)
Similarly (but not shown above) add Constituency: $SPAC to your import and refer to InSPAC in your formulas to determine whether and when a stock was trading as a "Special Purpose Acquisition Company".
See The Event List File for details about how Constituency data is stored in an RTD file and how to provide your own such data when importing from CSV or other sources.