Sum in between every second

[RW9 · Accepted solution]

Couple of ways of doing it, you could assign a group (rather than 1-sec mark, increase it to 1 se, 2 sec etc.) then means by the group variable.  Or you could have a retained value in a datastep, e.g. (not tested, post test data in the form of a datastep in future):

data want (drop=tot_trade);
  set have;
  by group;
  retain tot_trade;
  if first.group then tot_trade=0;
  if type="Trade" then tot_trade=sum(tot_trade,volume);
  if type="1-sec mark" and not first.group then do;
    volume=tot_trade;
    tot_trade=0;
  end;
run;