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Category
Import Specification
Description
Norgate index constituency list
Syntax
Constituency: $SPX, $DJI // etc.
Notes
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 constits.csv file that comes with RealTest and is automatically loaded each time the program starts.
Here is a subset of that file:
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The first value of each row is the symbol to use in your Constituency statement to include that constituency time series in your imported data.
The second value of each row is the InXXX variable to reference in your script formulas to find out whether the current stock was a member of that index on the current date.
The third column contains 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.
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.
The first row above is a special case. It refers to Norgate's US Major Exchange Listed time series. Add Constitucney: $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.)
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