topic Re: dates of trading days in SAS Programming

dates of trading days

Saba1 — Sat, 18 Jul 2020 14:47:29 GMT

I have 740 firms and I want to attach dates of trading days from June 8th 2020 till July 17th 2020 with these firms. Hence, each firm needs to have a time series of daily dates (Panel data). I want to create a list of dates for these trading days in mmddyy10. format. Is there any SAS code which can help me in this regard? Thanks

Re: dates of trading days

smantha — Sat, 18 Jul 2020 15:27:35 GMT

You can use three approaches
1. Use a do loop in a data step and output each record
Do start to end;
If trading day out put
End do;

2. If you have a separate data set with dates then a sql join will help. Do not specify a key to join
Proc sql;
Create table want
As select a. Id, b.Date
From a, b;
Quit;
3. You can use a combination of proc expand and proc calendar.

Re: dates of trading days

Astounding — Sat, 18 Jul 2020 16:33:44 GMT

I think you might be asking about an earlier part of the process ... how to create the list of dates. If that's the case, you need to know the holidays in that time period. Assuming that the only holiday is the fourth of July, you could use:

data trading_days;
do date = '08jun2020'd to '17jul2020'd;
   if 1 < weekday(date) < 7 and date ne '04jul2020'd then output;
end;
format date mmddyy10.;
run;

You will need to check whether there were any other dates in that timeframe, and whether the fourth of July was actually celebrated on July 4th rather than a nearby date.

The earlier post gives you ways to combine this list of dates with your set of 740 firms.

Re: dates of trading days

Saba1 — Sat, 18 Jul 2020 21:21:15 GMT

Many Thanks.