topic Re: graphs for trading hours on several days in Graphics Programming

graphs for trading hours on several days

somebody — Wed, 06 Jun 2018 19:55:17 GMT

I would like to draw a graph that shows intraday price changes in several days. Each day trading hour is from 9am to 4pm. I have a date variable and a time variable. If I use these variables then there would be gaps between the days as there is no data between 4pm and 9 am the next day. One quick way I could overcome this is to use the order number _N_ but then I need to format the time axis to show the date and hour correctly. Is there a different and proper way to do this? thanks

Re: graphs for trading hours on several days

Jay54 — Wed, 06 Jun 2018 20:03:01 GMT

I addressed the "gap" issue in this blog article for holidays. You can likely use the idea for your case. I do not know of any format you can user to do this automatically.

https://blogs.sas.com/content/graphicallyspeaking/2017/09/27/stock-chart/

If a single axis is not a requirement, another way would be to use SGPANEL with PANELBY=day, and put the cells in a row. Then, all the gaps between 4pm and 9am should go away.

Re: graphs for trading hours on several days

ballardw — Wed, 06 Jun 2018 20:19:12 GMT

I'm not sure if it would be worth the work depending on how many days you display at a time but the RANGES option could be used to create breaks. Use the date and time to create a datetime variable, use the desired format such as datetime10. and specify the ranges for each day which could be built from your data.

The break indicators might not be wanted but would at least indicate nothing is supposed to be in those intervals.

Re: graphs for trading hours on several days

Reeza — Wed, 06 Jun 2018 20:32:54 GMT

I'd probably use the _n_ method and build a user defined format to show the dates the way you want. You can use CNTLIN to create the table that maps the _n_ to the date.

Re: graphs for trading hours on several days

somebody — Thu, 07 Jun 2018 15:56:36 GMT

So I tried your suggested method but it gives an empty graph. my code is:

proc sgplot data=trade_summary2 noborder;

title "Intraday Effective Spread";
series x=datetime y=ES;

xaxis label= "Date" type=discrete discreteorder=data;
run;

I also changed type option to Time (type=TIME) but the gaps remain. 
datetime is a datetime variable

Re: graphs for trading hours on several days

somebody — Thu, 07 Jun 2018 16:25:18 GMT

So I tried your suggestion and almost get there. my code is:

data datetimefmt; 
set trade_summary2; 
keep fmtname n datetime;
rename n=start datetime=label;
fmtname="datetimefmt";
run;

However, the display value is a long number, not in a datetime format that i need (i.e. 10Apr2018 09:30:15). What am I missing?

Re: graphs for trading hours on several days

ballardw — Thu, 07 Jun 2018 19:07:15 GMT

@somebody wrote:

So I tried your suggestion and almost get there. my code is:
data datetimefmt; 
set trade_summary2; 
keep fmtname n datetime;
rename n=start datetime=label;
fmtname="datetimefmt";
run;
However, the display value is a long number, not in a datetime format that i need (i.e. 10Apr2018 09:30:15). What am I missing?

Most likely you want to use something like Label = put(datetime, datetime12.); to show values to hours.