https://support.sas.com/rnd/app/papers/statrep/statrepmanual.pdf   You might check this out too. ... View more

Thank you for your response. I would like to assign every date (each at the time, I have a do loop in the macro function) to the macro and perform something like this: proc sql; create table temp as select a.*, b.cusip, b.secd from taqms.&type._&day a, loca2 b where a.sym_root=b.symbol and (b.sect-&window) <= a.time_m <= (b.sect+&window) order by b.symbol; quit; where loca2 is link table for smybol and cusip.  ... View more

- Yes crsp.dsf is currently ordered by permno and I will order it by cusip if I am using cusip. -For accuracy, I would prefer 90 records for each event (and the event dates are pretty disperse so making 15 days groups might be unnecessary) -they are the latest cusip form the master table. I thought of using gvkey which is unique but it shouldn't be big issue if there's change or split as I cut off the events that are not consistent of the first filling date and last filling date. - ... View more

I changed the numeric variable to time format and line "if '9:35:00't <= sect <= '15:55:00't;" worked here ... View more