I'll need the total outstanding shares for each constituent correct at the start of each trading day, and the index divisor which I believe is updated quarterly, along with the bid/ask data. Does anyone have a good API source for these figures?
To calculate the S&P 500 index locally, you'll need access to three key data components: Constituent data: This includes the list of all companies (constituents) in the S&P 500, along with their total outstanding shares at the start of each trading day. These numbers change frequently due to share buybacks, issuances, and corporate actions. Price data (bid/ask): For accurate index calculations, you will need the real-time bid/ask prices of each constituent stock. Index divisor: The divisor is a key number that normalizes the index. It is updated periodically (usually quarterly or when there are significant corporate actions like mergers, stock splits, or rebalances). Recommended API Sources Here are some APIs that can provide most or all of this data: 1. IEX Cloud Outstanding Shares: IEX Cloud provides fundamental data, including the number of shares outstanding. Price Data: Real-time bid/ask prices can be accessed via their stock prices endpoint. Divisor: IEX Cloud doesn’t directly provide the index divisor, but you can find constituent data and track corporate actions that may affect the divisor. Pricing: IEX Cloud offers free and paid plans depending on your volume and data needs. API Documentation: IEX Cloud 2. Alpha Vantage Outstanding Shares: Alpha Vantage provides company fundamentals, including outstanding shares. Price Data: Real-time price data is available for each constituent. Divisor: Alpha Vantage doesn’t provide the divisor, but you can manually calculate the impact of corporate actions. Pricing: Alpha Vantage has free and paid tiers. API Documentation: Alpha Vantage 3. Quandl (now part of Nasdaq Data Link) Outstanding Shares: Quandl offers premium datasets, such as the Sharadar dataset, which provides historical and current fundamentals like outstanding shares. Price Data: Real-time and historical price data are available via various providers. Divisor: You may need to compute the divisor based on corporate actions, or find a premium dataset that includes it. Pricing: Free datasets are available, but the relevant ones for S&P 500 calculations are typically premium. API Documentation: Nasdaq Data Link 4. Refinitiv (formerly Thomson Reuters) Outstanding Shares: Refinitiv provides extensive fundamental data for all major indices, including outstanding shares. Price Data: Real-time bid/ask data. Divisor: Refinitiv offers more specialized data for financial professionals, including information about the S&P 500 divisor updates. Pricing: Refinitiv is a premium service with extensive offerings for institutional traders. API Documentation: Refinitiv 5. S&P Global (Official Data Source) Outstanding Shares: Directly from S&P Global, you can access data for S&P 500 constituents, including fundamental data. Price Data: S&P doesn’t provide real-time prices but focuses on official closing prices. Divisor: S&P provides the official divisor and corporate action adjustments directly. Pricing: This is a premium service, mainly for institutional clients. API Documentation: S&P Global Free or Low-Cost Alternatives If you need only a simplified or less accurate local S&P 500 calculation: Yahoo Finance API (via third-party libraries): For real-time bid/ask data and historical data. Polygon.io: For affordable stock price data, though it may not include the divisor or corporate actions. Calculating the Index Locally Once you have this data: Calculate the market cap of each constituent: Sum the market caps of all 500 companies. Apply the divisor:
This website provides a good enough S&P500 data and all sort of stock niceties. https://www.slickcharts.com/sp500 I like to slice and dice data. Why not the price? At the 400-450 price range seems to consistently underperformance. Strange! PS: If you need the data, you can scrape it. But do it sparingly.
I believe TradeStation can meet your needs. But do you really think it's worth spending so much time?