IndexDownloadHelper: retrieval of index and constituent data

During my PhD, I researched index tracking — building stock portfolios that replicate the performance of financial indices like the S&P 500 or DAX. That meant downloading large amounts of historical index and constituent data.

At the time, connection drops and proxy-layer errors in the Eikon API made unattended extraction unreliable.

The lseg-data library, which replaced Eikon, has changed little in this respect:

• errors continue to surface at the network or proxy layer rather than within the SDK;
• sporadic connection failures impede robust automation.

IndexDownloadHelper is a Python package written to address these issues when retrieving index and constituent data. It provides:

• automatic rate-limit handling and adaptive retries;
• batching and chunking to remain within per-request data point limits;
• structured CSV output with a deterministic folder layout;
• a single entry point, run_manager.py;
• configuration via .env for reproducible setups.

One command:

python example_usage/run_manager.py

runs the full pipeline — index chains, time series, and constituent fundamentals — and stores the combined result.

A companion optimization suite for index tracking, covering ESG, UCITS, sector, and further constraints, is in preparation.

Please note: the source code cannot be distributed at this time.