R/get_spx_composition.R

In AxelCode-R/Master-Thesis: Does not matter.

get_spx_composition <- function(){

  # GET COMPOSITION OF STX
  wikispx <- read_html('https://en.wikipedia.org/wiki/List_of_S%26P_500_companies')
  currentconstituents <- wikispx %>%
    html_node("#constituents") %>%
    html_table(header = TRUE)

  spxchanges <- wikispx %>%
    html_node("#changes") %>%
    html_table(header = FALSE, fill = TRUE) %>%
    filter(row_number() > 2) %>% # First two rows are headers
    `colnames<-`(c('Date','AddTicker','AddName','RemovedTicker','RemovedName','Reason')) %>%
    mutate(Date = as.Date(Date, format = "%B %d, %Y"),
           year = year(Date),
           month = month(Date))


  # Start at the current constituents…
  currentmonth <- as.Date(format(Sys.Date(), '%Y-%m-01'))
  monthseq <- seq.Date(as.Date('1990-01-01'), currentmonth, by = 'month') %>% rev()

  spxstocks <- currentconstituents %>% mutate(Date = currentmonth) %>% select(Date, Ticker = Symbol, Name = Security)
  lastrunstocks <- spxstocks

  # Iterate through months, working backwards
  for (i in 2:length(monthseq)) {
    d <- monthseq[i]
    y <- year(d)
    m <- month(d)
    changes <- spxchanges %>%
      filter(year == year(d), month == month(d))

    # Remove added tickers (we’re working backwards in time, remember)
    tickerstokeep <- lastrunstocks %>%
      anti_join(changes, by = c("Ticker" = "AddTicker")) %>%
      mutate(Date = d)

    # Add back the removed tickers…
    tickerstoadd <- changes %>%
      filter(!RemovedTicker == "") %>%
      transmute(Date = d,
                Ticker = RemovedTicker,
                Name = RemovedName)

    thismonth <- tickerstokeep %>% bind_rows(tickerstoadd)
    spxstocks <- spxstocks %>% bind_rows(thismonth)

    lastrunstocks <- thismonth
  }
  spx_composition <- spxstocks # %>% filter(Date >= as.Date(min_date))

  return(spx_composition)
}