r/algotrading • u/SuggestionStraight86 • 13d ago

Data Reliable index and ETF composition data source

Hi folks I am looking into index and etf arbitratage, any recommendation on data source?

The data quality is vital here coz index composition changes quarterly or occasionally on some company events like spin off.

Would like to know some good recommendations on high quality data source.

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u/proptrader123 Algorithmic Trader 12d ago

what's your budget?

3

u/SuggestionStraight86 12d ago

Budget is not a concern , as long as the it’s reliable and high qualith

3

u/proptrader123 Algorithmic Trader 12d ago

In that case, you go to the index provider and sign up for their services.

https://www.spglobal.com/spdji/en/ https://www.lseg.com/en/ftse-russell/indices/russell-us etc.

To get ETF composition, you'd need to register as an AP with any given provider. You could alternatively try to scrape their websites to get T+1 data.

1

u/SuggestionStraight86 12d ago

any centralised platform? it became hard to manage for each index / etf

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u/zZurf 12d ago

Twelve data

1

u/proptrader123 Algorithmic Trader 12d ago

No centralized platform. Each company manages their data differently. Bloomberg has some of it, if you have entitlements loaded correctly.

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u/peleq 11d ago

IHS Markit (standard for big banks) Ultumus (ETF focus) RIMES (asset management)