how to use "dloop" to extract WRDS TAQ data

Anqi6 — Sun, 13 Aug 2017 09:54:18 GMT

Hi, it's the first time that I post a question on SAS community, hope somebody could help me~

I am now trying to use a marco to read WRDS TAQ daily files and calculate the value weighted average price for the first half an hour each day by remote call. The macro is shown as below:

%let wrds = wrds.wharton.upenn.edu 4016;

options comamid=TCP;

signon wrds username=_prompt_;

RSUBMIT;

options sasautos =('/wrds/wrdsmacros/' , SASAUTOS) MAUTOSOURCE ;

libname mine '/home/ / ';

/* ********************************************************************************* */

/* ******************** W R D S R E S E A R C H M A C R O S ******************** */

/* ********************************************************************************* */

/* WRDS Macro: VW_AVGPRICE */

/* Summary : */

/* */

/* Date : */

/* Version: 1.0 */

/* Author : Mark Keintz, WRDS */

/* Variables : - */

/* - */

/* ***********************************************************************************/

%macro vw_avgprice(indsn=,outdsn=

,begdate=,enddate=,beghms=09:30:00,endhms=16:00:00,inthms=00:00:60

,symlist=_ALL_,symdsn=

,p_var=price,v_var=size,d_var=date,t_var=time,s_var=symbol,nt_var=

,help=no)

/ des="Generate Volume-weighted average price over user-specified time intervals";

%local vrs;

%let vrs=1.2;

%if %lowcase(&help)=yes %then %do;

%put *********************************************************************************;

%put ** VW_AVGPRICE: Volume Weighted Average Trade Price. **;

%put ** **;

%put ** Version &vrs **;

%put ** **;

%put ** Generates a dataset of volume-weighted average trade prices **;

%put ** for user-specified time intervals (e.g. minute-by-minute, **;

%put ** 30 seconds, 5 minutes, etc.). **;

%put ** **;

%put ** The output dataset will have the following variables: **;

%put ** SYMBOL (Or user-designated trading ticker var) **;

%put ** DATE (Or the user-designated date var). Note **;

%put ** that if the D_VAR argument (see below) is **;

%put ** set to null, then no date variable will be **;

%put ** written to the output dataset. **;

%put ** INTRVL_BEGTIME (SAS time stamp for beginning of each time **;

%put ** interval) **;

%put ** VW_AVG_PRICE (Vol-weighted avg price for the interval) **;

%put ** TOTAL_VOL (Total trade-vol for this time interval) **;

%put ** N_TRADES (Number of trades for this time interval) **;

%put ** **;

%put ** The output will be sorted by SYMBOL DATE INTRVL_BEGTIME. **;

%put ** **;

%put ** Parameter list: (Note all parameters are in the "name=value" **;

%put ** form, and may be used in any order). **;

%put ** **;

%put ** INDSN= (Required) Name of input dataset. Must have variablles **;

%put ** SYMBOL DATE TIME PRICE and SIZE (the "volume" variable). **;

%put ** (Other varnames can be substitued - see parameters below). **;

%put ** Must be sorted by SYMBOL DATE TIME. **;

%put ** **;

%put ** OUTDSN= (Required) Name of output dataset to generate. It **;

%put ** will be sorted by SYMBOL DATE INTRVL_BEGTIME (time at **;

%put ** beginning of interval) and will also have vars TOTAL_VOL **;

%put ** VW_AVG_PRICE and N_TRADES. **;

%put ** **;

%put ** BEGDATE= (Optional, default=blank). Beginning date, in date9 **;

%put ** form, without the quotes (e.g. 02DEC2008). Accept no INDSN **;

%put ** record PRECEDING begdate. If blank, then no BEGDATE **;

%put ** filtering needed. Also if D_VAR is blank, no BEGDATE filtering **;

%put ** will be done, regardless of BEGDATE value. **;

%put ** **;

%put ** ENDDATE= (Optional, default=blank). Ending date in date9 form, **;

%put ** without the quotes (e.g. 02DEC2008). Accept no INDSN **;

%put ** records after enddate. If blank then no ENDDATE filtering **;

%put ** needed. Also if D_VAR is blank, no ENDDATE filtering will be **;

%put ** done, regardless of ENDDATE value. **;

%put ** **;

%put ** BEGHMS= (Optional, default=09:30:00). Beginning time, in **;

%put ** hh:mm:ss form. Accept only records with **;

%put ** TIME >= BEGHMS. Note BEGHMS is treated differently **;

%put ** than ENDHMS. Records with time=BEGHMS are included, **;

%put ** while records with time=ENDHMS are excluded. **;

%put ** **;

%put ** ENDHMS= (Optional, default=16:00:00). Ending time, in **;

%put ** hh:mm:ss form. Accept only records with **;

%put ** TIME <= ENDHMS. Note ENDHMS is treated differently **;

%put ** than BEGHMS. Records with time=BEGHMS are included, **;

%put ** while records with time=ENDHMS are excluded. **;

%put ** **;

%put ** INTHMS= (Optional, default=00:00:60) Interval size in **;

%put ** hh:mm:ss form. Length of intervals over which volume- **;

%put ** weighted means will be calculated. **;

%put ** **;

%put ** SYMLIST= (Optional, default=_ALL_). Space-separated list of **;

%put ** stock SYMBOLS (without quote marks) to accept from INDSN. **;

%put ** If symlist=_ALL_, then take all symbols from INDSN. **;

%put ** **;

%put ** SYMDSN= (Optional, default=blank). For use when the SYMLISST **;

%put ** parameter becomes too large. SYMDSN names a dataset with the **;

%put ** set of symbols to use in filtering INDSN. Note this dataset **;

%put ** must use the same variable name for trading symbol as in INDSN. **;

%put ** NOTE: If SYMLIST has any value other than _ALL_, then SYMDSN **;

%put ** is ignored. **;

%put ** **;

%put ** HELP= (optional, default=no). If help=yes (any case), generate **;

%put ** these notes. **;

%put ** **;

%put ** The parameters below specify the actual variable names used in **;

%put ** this macro. Note that they default to the varnames used in **;

%put ** the TAQ trades datasets (i.e. the "ct" datasets). **;

%put ** **;

%put ** P_VAR= (Optional, default=price). Name of the trading price **;

%put ** price variable in the INDSN dataset. **;

%put ** **;

%put ** V_VAR= (Optional, default=size). Name of the trading volume **;

%put ** variable in the INDSN dataset. **;

%put ** **;

%put ** D_VAR= (Optional, default=date). Name of the date variable **;

%put ** in the INDSN dataset. Must be stored as a SAS data value. **;

%put ** Note that if you set D_VAR to a null value, then no date **;

%put ** variable is read from INDSN nor output to OUTDSN, and no **;

%put ** date filtering will be done. **;

%put ** **;

%put ** T_VAR= (Optional, default=time). Name of the time variable in **;

%put ** the INDSN dataset. Must be stored as a SAS time value. **;

%put ** **;

%put ** S_VAR. (Optional, default=symbol). Name of the trading ticker **;

%put ** variable in the INDSN dataset. Must be a character variable. **;

%put ** **;

%put ** NT_VAR. (Optional, default=blank). Name of var (if any) that **;

%put ** contains the number of trades represented by the current **;

%put ** INDSN record. If blank then assume each incoming record **;

%put ** represents one trade. **;

%put ** **;

%put ** Usage Examples: **;

%put %nrstr( %VW_AVGPRICE(indsn=taq.ct_20081202,outdsn=mydata,beghms=12:00:00,inthms=05:00)) ;

%put ** generates dataset MYDATA, with volume-weighted average **;

%put ** prices for 5-minutes intervals, for all trades between noon **;

%put ** noon and 4PM from taq.ct_20081202 **;

%put ** **;

%put ** Note that all parameters are entered in the form **;

%put ** param_name1=param_value1,param_name2=param_value2,... **;

%put ** **;

%put ** There are no positional parameters, and the "name=" **;

%put ** parameters may be entered in any order. **;

%put ** **;

%put ** DEPENDENCIES: **;

%put ** DBLQUOTELIST (a WRDS macro) **;

%put ** **;

%put ** VERSION 1.0: Initial version. **;

%put ** **;

%put ** VERSION 1.1: Allow specification of different price, volume, **;

%put ** date, and time variables. Also add provision for the NT_VAR **;

%put ** parameter. **;

%put ** **;

%put ** VERSION 1.2: Permit specification of user-specified dataset of **;

%put ** requested symbols, instead of a user-specified list. **;

%put ** **;

%put ** ******************************************************************************;

%goto done;

%end;

%local /****************************************************************/

/* Other local macrovars: */

/* */

sym_method /* =1 if symbol filtering to be done via a WHERE clause. */

/* =2 if symbol filtering to be done via a JOIN/MERGE. */

/* =3 if no symbol filtering to be done. */

/* */

qsymlen /* Estimated length of comma-separated list of quoted symbols. */

/* */

qsymlist /* symlist with symbols quoted, comma-separated. */

/* */

wh_filter /* Where filter to apply to current record. */

/* */

wh_text /* Utility, starts as a blank, becomes "and", for building */

/* compound where expressions. */

/* */

int_secs /* Interval size, in seconds. */

/* */

int_text /* Interval size as text (e.g. minute, 5-minute, 30 seconds), */

/* to be used in dataset and variable labels. */

/* */

nt_yn /* If nt_var is blank, then NT_YN=no, else NT_YN=yes. */

/* **************************************************************/

;

/* First determine SYM_METHOD */

%if %upcase(&symlist) ^= _ALL_ %then %let sym_method=1;

%else %if &symdsn = %then %let sym_method=3;

%else %do;

proc sql noprint;

select sum(length(trim(&s_var))+3) into : qsymlen from (select distinct &s_var from &symdsn);

%if &qsymlen > 32700 %then %do;

%let sym_method=2;

%put +----------------------------------------------------------+ ;

%put | Too many &s_var values (total length=&qsymlen.). | ;

%put | Will use SYM_METHOD 2 (Merge of &indsn with &symdsn). ;

%put +----------------------------------------------------------+ ;

%end;

%else %do;

%let sym_method=1;

%put +----------------------------------------------------------+ ;

%put | Length of all &s_var values is &qsymlen.. | ;

%put | Will convert to SYM_METHOD 1 (i.e. WHERE clause). | ;

%put +----------------------------------------------------------+ ;

select distinct &s_var into : symlist separated by ' ' from &symdsn;

%end;

quit;

%end;

%let int_secs = %sysfunc(inputn(&inthms,time8.));/* Interval Size, in seconds */

/* Construct interval size in text form (e.g. "2 Minutes", "30 Seconds", "03:30") */

%if &int_secs < 60 %then %let int_text = &int_secs Seconds ;

%else %if &int_secs = 60 %then %let int_text = Minute ;

%else %if %sysfunc(mod(&int_secs,60))=0 %then %let int_text = %eval(&int_secs/60) Minutes;

%else %let int_text = %sysfunc(putn(time8.)) ;

%let wh_text = ; /* change to "and" after setting first filter component */

%let wh_filter= ; /* Initialize where filter for trade data */

/* Begin building the compound where conditions */

/* Add "&S_VAR in ("AAA" "BBB" ... ) " filter, if requested */

%if &sym_method=3 %then; /* &S_VAR filter NOT needed */

%else %if &sym_method=2 %then; /* &S_VAR filter wlll be done via MERGE */

%else %if &sym_method=1 %then %do; /* &S_VAR filter using WHERE is needed */

%let qsymlist = %dblquotelist(&symlist) ;

%let wh_filter = &wh_filter &wh_text ( &s_var in ( &qsymlist ) );

%let wh_text = %str(and);

%end;

/* Add a DATE RANGE filter, if requested */

%if &d_var = %then ; /* DATE filter not possible */

%else %if &begdate= and &enddate= %then ; /** DATE filter not needed */

%else %do; /* DATE filter IS needed */

%if &begdate = &enddate %then %let wh_filter = &wh_filter &wh_text ( &d_var = "&begdate"d );

%else %if &begdate = %then %let wh_filter = &wh_filter &wh_text ( &d_var <= "&enddate"d );

%else %if &enddate = %then %let wh_filter = &wh_filter &wh_text ( &d_var >= "&begdate"d );

%else %let wh_filter = &wh_filter &wh_text ( &d_var between "&begdate"d and "&enddate"d );

%let wh_text = %str(and);

%end;

/* Add a TIME RANGE filter, if requested */

%if &beghms=00:00:00 and &endhms=24:00:00 %then;/* TIME filter NOT needed */

%else %do; /* TIME filer IS needed */

%if &beghms = 00:00:00 %then %let wh_filter = &wh_filter &wh_text ( &t_var <= ("&endhmst"t -1) );

%else %if &endhms = 24:00:00 %then %let wh_filter = &wh_filter &wh_text ( &t_var >= "&beghms"t );

%else %let wh_filter = &wh_filter &wh_text ( &t_var between "&beghms"t and ("&endhms"t - 1) );

%let wh_text = %str(and);

%end;

/* With completed WHERE clause, convert it to dataset name parameter format */

%if wh_text ^= %then %let wh_filter= %str( where= ( &wh_filter ) );

%else %let wh_filter= %str( where=(1));

/* Set up nt_yn, to be used a few times below */

%if &nt_var= %then %let nt_yn=no;

%else %let nt_yn=yes;

/* If sym_method requires join or merge, prepare dataset of requested symbols */

%if &sym_method=2 %then %do;

proc sort data=&symdsn (keep=&s_var) out=_symlist_ nodupkeys;

by &s_var;

run;

%end;

/* Make a data view, in which each specific time is mapped to its time-interval */

data vtemp (keep=&s_var &d_var intrvl_begtime &p_var &v_var &nt_var ) / view=vtemp ;

%if &sym_method=2 %then %str(

merge &indsn ( in=indata &wh_filter ) _symlist_ (in=inkeep);

by &s_var;

if inkeep=indata;

);

%else %str(

set &indsn ( &wh_filter );

);

/* If NT_VAR exists, divide by Volume, so weighted PROC MEANS yields right N_TRADES */

%if &nt_yn=yes %then %str(&nt_var = &nt_var / &v_var;);

/* Establish beginning of each time interval */

INTRVL_BEGTIME= &t_var - mod(&t_var,&int_secs);

attrib INTRVL_BEGTIME label = "Current &int_text Start Time" format=time8.0 length=4;

run;

proc means data=vtemp noprint;

by &s_var &d_var intrvl_begtime;

var &p_var &nt_var ;

weight &v_var ;

output out=&outdsn (

label="%upcase(&v_var)-Weighted Average %upcase(&p_var), &int_text BY &int_text"

drop=_TYPE_ _FREQ_

sortedby = &s_var &d_var intrvl_begtime

)

mean(&p_var)=VW_AVG_PRICE sumwgt(&p_var)=TOTAL_VOL

%if &nt_yn=yes %then sum(&nt_var) = N_TRADES ;

%else n = N_TRADES ;

;

run;

/* Assign Attributes of new variables */

/* NB: macrovar SYSDSN is the library and name of the last dataset created */

proc datasets nolist library=%scan(&sysdsn,1,%str( ));

modify %scan(&sysdsn,2,%str( )) ;

label TOTAL_VOL = "Total Shares Traded This &int_text" ;

label VW_AVG_PRICE = "Volume Weighted Average &p_var this &int_text" ;

label N_TRADES = "Number of Trades This &int_text" ;

run;

quit;

%done: ;

%mend vw_avgprice;

/* ********************************************************************************* */

/* ************* Material Copyright Wharton Research Data Services *************** */

/* ********************************************************************************* */

%VW_AVGPRICE(indsn=taq.ct_20081202,outdsn=vwap

,begdate= 02DEC2008,enddate= 02DEC2008,beghms=09:30:00,endhms=10:00:00,inthms=00:30:00

,symlist=_ALL_,symdsn=

,p_var=price,v_var=size,d_var=date,t_var=time,s_var=symbol,nt_var=

,help=no);

proc download data=vwap out=vwap;

run;

endrsubmit;

I could type the name of the taq daily file, like taq.ct_20081202, and get the vwap in this file for all the stocks each time. But I would like to search daily files from taq.ct_19930101 to taq.ct_20131231, you know, I could not type these daily file names into the macro one by one for 365*20 times...

From the WRDS help, I know I could use "dloop" to read each file. But I am a new SAS user, DLOOP seems too hard for me to cope with.

So could anyone help me with this problem: use dloop to read daily files from taq.ct_19930101 to taq.ct_20131231, call the vwap macro to calculate the vwap and save all the vwap into a dataset, and download them together?

Thank you very much in advance!

topic how to use "dloop" to extract WRDS TAQ data in SAS Programming

how to use "dloop" to extract WRDS TAQ data

Re: how to use "dloop" to extract WRDS TAQ data