Is there any way to load code when new session of SAS EG?
You could create a template EG project with all the code you want in it and use this one to start with. If you just want SAS macros available then look into the SAS Autocall Facility (not SAS EG specific)
SAS EG clears history of previously submitted code. Is there any way to keep it like base SAS?
If you're on a newer EG version then look into View/Project Log