I am working on reconstruction of the Limit Order Book And have certain Sample Codes for SAS PROC IMPORT OUT= TEST.BAJAJAUTO DATAFILE= "C:\Users\Online_Class\Desktop\BAJAJ-AUTO.NS.csv" DBMS=CSV REPLACE; GETNAMES=YES; DATAROW=2; RUN; data test.Cash_trades_01012015; INFILE "F:\RawData\CASH_Trades_01012015.DAT" firstobs=1 lrecl =150; input Record_ind $ 1-2 segment $ 3-6 trade_no $ 7-22 trade_tm 23-36 symbol $ 37-46 series $ 47-48 trd_prc 49-56 trd_q 57-64 buy_order_no $ 65-80 buy_algo_ind 81 buy_client_flg 82 sell_order_no $ 83-98 sell_algo_ind 99 sell_client_flg 100; run; data test.Cash_orders_01012015; INFILE "F:\RawData\CASH_Orders_01012015.DAT" firstobs=1 lrecl =150; input Record_ind $ 1-2 segment $ 3-6 order_no $ 7-22 quote_tm 23-36 buysell $ 37 activity_typ $ 38 symbol $ 39-48 series $ 49-50 vol_discl 51-58 vol_orgnl 59-66 limit_prc 67-74 trig_prc 75-82 mkt_ord_flg $ 83 stp_loss_flg $ 84 ioc_flg $ 85 algo_ind 86 client_flg 87; run; data test.Cash_index_01012015; INFILE "F:\RawData\CASH_Index_01012015.DAT" firstobs=1 lrecl =150; input Record_ind $ 1-2 segment $ 3-6 date $ 7-14 trans_tm $ 15-22 value 23-30 value_junior 31-38; run; data test.ITC_Trades (drop = Record_ind segment series time1 time2 trade_tm buy_algo_ind buy_client_flg sell_algo_ind sell_client_flg); set test.Cash_trades_01012015; if symbol = "bbbbbbbITC"; time1 = trade_tm/65536; time2 = MOD(time1,86400); time = time2/3600; period = int((time-9.25)*12)+1; if (Record_ind = 'RM')AND(segment = 'CASH')AND(series = 'EQ'); run; data test.ITC_Orders (drop = Record_ind segment series time1 time2 quote_tm algo_ind client_flg); set test.Cash_orders_01012015; if symbol = "bbbbbbbITC"; time1 = quote_tm/65536; time2 = MOD(time1,86400); time = time2/3600; period = int((time-9.25)*12)+1; if (Record_ind = 'RM')AND(segment = 'CASH')AND(series = 'EQ'); run; data test.Order1; set test.ITC_Orders; if order_no = '2015010133369695'; run; proc means data=test.Order1; var limit_prc; run; data test.Cash_trades_01012015_1; set test.Cash_trades_01012015; traded_vol = trd_prc*trd_q/100; run; proc sort data = test.Cash_trades_01012015_1; by symbol trade_tm; run; proc means data=test.Cash_trades_01012015_1; var traded_vol; by symbol; output out = Traded_Vol_Summary sum(traded_vol) = test.Daily_Traded_Vol; run; proc sort data = test.Cash_orders_01012015; by algo_ind mkt_ord_flg activity_typ; run; proc freq data = test.Cash_orders_01012015; by algo_ind; tables mkt_ord_flg*activity_typ; These are generic codes to be applied to 2 data files in SAS on Demand
... View more
