Many thanks for the swift response. At many occasions, I have price changes consecutively and randomly. I cannot do the analysis by regular intervals [1,2], [3,4], but by overlapping windows [1,3], [2,4]. In your example, my start price would be 9.5 - the first price submitted at that time (this is usual way of doing things in the field); the endprice will be the last one submitted at that time. There is no significant changes in prices, as shown in the data. Sometimes, StartPrice is equal to the EndPrice, as prices reverse quickly. Please let me know if this is clearer. Thanks.  ... View more

Many thanks for the clarification and the explanation. I appreciate this. Please note that this data is in millisecond, and the changes in price are not cumulative. We migt have frequently observations at quite similar time. Everytime prices change, I consider this as an event. I then need to determine the StartPrice in the one-second before the price change and the EndPrice in the one-second following the price change. Since the time is in millisecond, I rarely have exactly 1 second before and after observations. So I need to consider the last price within one-second interval period around the price change. For example, the price change at 8:47:01:200 occurs when the price "pt" was 129.53125. For this price change, the StartPrice is determined within the 1-second interval before, i.e. 129.546875 around 8:47:00:200 (8:47:00.184) and the EndPrice is determined one-second after, i.e. 129.456875 around 8:47:02:200 (8:47:02.046).      For every price change I need to determine this in an overlapping window. I then compute three differences: D1=abs(StartPrice-Pt); D2=abs(EndPrice-Pt); D3=abs(StratPrice-EndPrice). Many thanks.  ... View more

Thank you for the clarification. I am new to this. Please find attached the txt file of sample data, as I don't have the SAS EU. Please let me know if this works. Thanks.  ... View more

Thank you very much for your reply. I have attached a sample of my data. I have included a small sample of a given date between 8:47:00 and 10:00:00. "Changes" variable is when the price changes. Whenever price changes, I will take the price at the time of changes, let's say Pt. I need to take two prices at different times of the same interval of 2 seconds: one second before price changes (StartPrice) and one second after price changes (EndPrice). I then compute three differences: |StartPrice-Pt| and |EndPrice-Pt| and |StartPrice-EndPrice|. These three values are used then to compute a certain ratio. This computation needs to be done in an overalpping window of 2 seconds, across several days. Please let me know if it is clear.  ... View more