The Census claims to provide city to MSA here: https://www.census.gov/geo/maps-data/data/ua_rel_download.html
However, there is only CBSA!
This might do it: https://www2.census.gov/geo/pdfs/maps-data/data/rel/explanation_ua_cbsa_rel_10.pdf
We can maybe track city to principal city to MSA
==COMPUSTAT Data==