Hello SAS Community,
I ran into a problem when I was trying to set the 2 consecutive observations before and after a certain observation equal to one. the dataset looks like this:
Date TradingDate TradingDummy What I want
1/1/23 . . .
1/2/23 . . 1
1/3/23 . . 1
1/4/23 1/4/23 1 1
1/5/23 . . 1
1/6/23 . . 1
1/7/23 . . .
1/8/23 . . .
1/9/23 . . 1
1/10/23 . . 1
1/11/23 1/11/23 1 1
1/12/23 . . 1
1/13/23 . . 1
1/14/23 . . .
... ... ... ...
Basically what I want is for each trading date, I want to create a dummy that equals 1 for 2 days before and after (including the trading date). For this example, I want the trading dummy to equal 1 from 1/2 to 1/6, and from 1/9 to 1/13.
Any help would be greatly appreciated!
Best,
skyland
Here's one way:
data trades;
format Date TradingDate mmddyy8.;
infile datalines missover;
input Date:mmddyy8. TradingDate:mmddyy8. TradeDummy What_I_Want;
datalines;
01/01/23
01/02/23
01/03/23
01/04/23 01/04/23 1
01/05/23
01/06/23
01/07/23
01/08/23
01/09/23
01/10/23
01/11/23 01/11/23 1
01/12/23
01/13/23
01/14/23
;
run;
proc sql noprint;
select count(date) into :num_dates from trades;
quit;
data trades;
* Pre-load all TradeDummy values into an array;
array trade[&num_dates] _TEMPORARY_;
if _N_ = 1 then do p = 1 to nobs;
set trades nobs=nobs point=p;
trade[p] = TradeDummy;
end;
* For each row with a trade update array values +/-2 consecutive elements away;
set trades end=lastobs;
if TradeDummy then do;
if _N_ > 2 then trade[_N_-2] = 1;
if _N_ > 1 then trade[_N_-1] = 1;
trade[_N_+1] = 1;
trade[_N_+2] = 1;
end;
* Write out the dataset with values from the array;
if lastobs then do p = 1 to nobs;
set trades nobs=nobs point=p;
What_I_Want = trade[p];
output;
end;
drop p;
run;
With a single SQL step:
proc sql;
create table want as
select
*,
case when exists (
select *
from trades
where intck("day", a.date, tradingDate) between -2 and 2
) then 1
else . end as what_I_want
from trades as a
;
quit;
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