How do I subset based on the cumulative change of a variable from its previously selected value?

[AntCli]

Hi all,

I am new to SAS and I find myself needing your help for the first time, so apologies in advance for any mistakes.

I have a dataset containing the variables 'Price' and 'Time' for every transaction executed in a given period for a stock.

I need to subset this dataset by only selecting the observations for which the cumulative price change is greater than a constant amount 'c'.

So that:

>the first observation of the new dataset is the same as the original

>then, we select only observations for which the absolute difference between Price(i) and the previously selected Price(i)* is greater than or equal to a constant c, say 0.25.

I am using SAS University Edition.

[Shmuel · Accepted solution]

Try next code:

%let c = 0.25;
data want;
  set have;
        retain prev_selected_price;

        if _N_=1 then do; 
           output;
           prev_selected_price = price;
        end;
        else if abs(price - prev_selected_price) ge  &c 
         then do;
               output;
               prev_selected_price = price;  /* ??? */
        end;
run;