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rkdubey84
‎06-28-2017
  • 36 Posts
  • 33 Likes Given
  • 2 Solutions
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Re: Computing Volatility Using Same Data for Different Time Periods (I...

by Obsidian | Level 7 in SAS Programming
‎03-04-2017 04:02 AM
‎03-04-2017 04:02 AM
HI @mkeintz, Good Afternoon!!   The authors of the research article that I am following have used the following equation for computing return volatility: RVOL5min = SQRT[Sigma i = 1 to 300 (Ret i - Avg(Ret))^2/N-1]       {300 denotes Seconds for 5 minutes}   But I believe what you suggested sounds more apt to me i.e.; 1. Within minute (and within 5 minute) volatility of trade-by-trade returns.   Thanks Ritesh   ... View more

Computing Volatility Using Same Data for Different Time Periods (Intra...

by Obsidian | Level 7 in SAS Programming
‎03-04-2017 02:34 AM
‎03-04-2017 02:34 AM
I have intraday data for a given stock spanning over 3 months sorted by date and time.   My Data Looks Like:     DTM1                               Tradeprice 03JUN2013:09:15:00       164.6 03JUN2013:09:15:00       167 03JUN2013:09:15:00       166 03JUN2013:09:15:01       164.15 03JUN2013:09:15:01       176.1 03JUN2013:09:15:01       169.3 03JUN2013:09:15:01       165 ................................................ 03JUN2013:15:29:00       180.7 03JUN2013:15:29:00       170 ................................................ 03JUN2013:15:29:59       180.3 04JUN2013:09:15:00       176 04JUN2013:09:15:00       175.5 ................................................ 04JUN2013:09:27:00       165.1 ............................................... 04JUN2013:09:28:00       164.3 .............................................. 05JUN2013:09:29:00       170 ...............................................   Please Note:  1. For every Second there are multiple Tradeprices 2. Data Moves Second by Second to next minute 3. Data Changes next Date as reprented by Variable DTM1   I want to Compute 1. Price Volatility (Standard Deviation) for Every Minute                               2. Price Volatility for Every 5 Minutes                               3. Return [(Last Price - First Price)/First Price *100 ]Volatility for Every Minute                               2. Return Volatility for Every 5 Minutes                               3. HI (Max Price / Return) & Low (Min Price / Return) for Every Minute and 5 minute  and Day interval.    Attaching the Dataset for your reference.   Please Help.  Thanks in Advance Ritesh   ... View more

Re: Getting Lead Values based on time (Next 1 Minute, Next 5 Minute)

by Obsidian | Level 7 in SAS Programming
‎03-03-2017 05:43 AM
‎03-03-2017 05:43 AM
Hi @Ksharp, Good Evening!!   Thanks a ton for replying. Really appreciate it. I ran the code and yes it did take the timegap into account.   This is awesome.    Thanks Once Again.  Have a nice day ahead!!   Ritesh ... View more

Re: Getting Lead Values based on time (Next 1 Minute, Next 5 Minute)

by Obsidian | Level 7 in SAS Programming
‎03-03-2017 03:46 AM
‎03-03-2017 03:46 AM
Hi @Reeza!! Good Afternoon. I did try PROC EXPAND earlier but that didn't help much. I followed a similar code to this one: proc expand data=your_dataset method=none; by id; convert salary = next_row_salary / transformout=(lead 1); run; Thanks. ... View more

Re: Getting Lead Values based on time (Next 1 Minute, Next 5 Minute)

by Obsidian | Level 7 in SAS Programming
‎03-03-2017 03:38 AM
‎03-03-2017 03:38 AM
Hi @mkeintz,    I modified the code accordingly as you suggested and it works perfectly fine. But As mentioned earlier and as you also pointed out... When there are breaks in Time there its taking the next value instead of generating the missing value.   Plz. have a look.   Data AmbujaMQTest; Set AmbujaMQTest; DT = Datepart(DTM1); Format DT Date9.; run; data want (drop=_:); merge AmbujaMQTest AmbujaMQTest (firstobs=2 keep=DT bbp rename=(DT=_DT1 bbp=bbp1)) AmbujaMQTest (firstobs=6 keep=DT bbp rename=(DT=_DT5 bbp=bbp5)); if _DT5^=DT then do; bbp5=.; if _DT1^=DT then bbp1=.; end; run; Data want; Set Want; Dif = DTM1 - Lag(DTM1); run; ... View more

Re: Getting Lead Values based on time (Next 1 Minute, Next 5 Minute)

by Obsidian | Level 7 in SAS Programming
‎03-03-2017 03:16 AM
‎03-03-2017 03:16 AM
Hi @mkeintz!!  Firstly I'd like to thank you and I really appreciate the proactive thinking of yours.   Yes BBP was Best Bid Price for a stock for the minute ineterval 9:15:00 to 9:15:59.    I have seggregated the data stock wise as I need to run my analysis for each stock separately.   The dataset runs from 03Jun2013:09:15:00 to 31AUG2013:15:29:59. Now this brings me to a similar problem as you suggested pertaining to different stocks.    Now for everyday I have dataset from 9:15:00 am to 15:29:59 pm. And hence as the day ends The BBP1 and BBP5 need to be adjusted.   Also as you pointed out about the holes. There are a few (very rare occasional minutes) where trades have not happened at all and hence for that minute there is no BBP and that minute has been skipped from the dataset.   It will be great if you can suggest me somthing in order to tackle this problem.   Thanks a ton. Ritesh ... View more

Getting Lead Values based on time (Next 1 Minute, Next 5 Minute)

by Obsidian | Level 7 in SAS Programming
‎03-03-2017 02:15 AM
‎03-03-2017 02:15 AM
 Dear All, Good Afternoon!!   I want to get the lead values based on DTM1 (Time), which is a Unique Key in my data. I want the BBP of next 5th minute and Next 1st minute.    I have a Dataset in the following format:   DTM1                               BBP 03JUN2013:09:15:00       164.6 03JUN2013:09:16:00       167 03JUN2013:09:17:00       166 03JUN2013:09:18:00       164.15 03JUN2013:09:19:00       176.1 03JUN2013:09:20:00       169.3 03JUN2013:09:21:00       165 03JUN2013:09:22:00       180.7 03JUN2013:09:23:00       170 03JUN2013:09:24:00       180.3 03JUN2013:09:25:00       176 03JUN2013:09:26:00       175.5 03JUN2013:09:27:00       165.1 03JUN2013:09:28:00       164.3 03JUN2013:09:29:00       170     I want the dataset after processing to be like:   DTM1                               BBP        BBP1      BBP5 03JUN2013:09:15:00       164.6      167        169.3 03JUN2013:09:16:00       167         166        165 03JUN2013:09:17:00       166         164.15   180.7 03JUN2013:09:18:00       164.15    176.1     170 03JUN2013:09:19:00       176.1      169.3     180.3 03JUN2013:09:20:00       169.3      165        176 03JUN2013:09:21:00       165         180.7     175.5 03JUN2013:09:22:00       180.7      170        165.1 03JUN2013:09:23:00       170         180.3     164.3 03JUN2013:09:24:00       180.3      176        170 03JUN2013:09:25:00       176         175.5        . 03JUN2013:09:26:00       175.5      165.1        . 03JUN2013:09:27:00       165.1      164.3        . 03JUN2013:09:28:00       164.3      170           . 03JUN2013:09:29:00       170            .             .   Please Help. Thanks in Advance.   Ritesh ... View more

Getting Lead Values based on time (Next 1 Minute, Next 5 Minute)

by Obsidian | Level 7 in SAS Programming
‎03-03-2017 12:51 AM
‎03-03-2017 12:51 AM
Dear Friends Good Morning.   I have a dataset in the following format:   DTM1                                               BBP 03JUN2013:09:15:00                       164.6 03JUN2013:09:16:00                       167 03JUN2013:09:17:00                       166 03JUN2013:09:18:00                       164.15 03JUN2013:09:19:00                       176.1 03JUN2013:09:20:00                       169.3 03JUN2013:09:21:00                       165 03JUN2013:09:22:00                       180.7 03JUN2013:09:23:00                       170 03JUN2013:09:24:00                       180.3 03JUN2013:09:25:00                       176     I want to have lead values of BBP for 1 minute and 5 minutes. Like the one shown below:   DTM1                                               BBP              BBP1          BBP5 03JUN2013:09:15:00                       164.6            167             169.3 03JUN2013:09:16:00                       167               166             165 03JUN2013:09:17:00                       166               164.15        180.7 03JUN2013:09:18:00                       164.15          176.1          170 03JUN2013:09:19:00                       176.1            169.3          180.3 03JUN2013:09:20:00                       169.3            165             176 03JUN2013:09:21:00                       165               180.7             . 03JUN2013:09:22:00                       180.7            170                . 03JUN2013:09:23:00                       170               180.3             . 03JUN2013:09:24:00                       180.3            176                . 03JUN2013:09:25:00                       176                 .                   .     How to go about it. Plz. Help!!   Thanks in Advance.   Ritesh       ... View more

Re: Macro Wrong Date Display

by Obsidian | Level 7 in SAS Programming
‎03-02-2017 11:15 AM
‎03-02-2017 11:15 AM
@ballardw: Hahahaha... That's quite a proactive thinking for the near future. 🙂 ... View more

Re: Macro Wrong Date Display

by Obsidian | Level 7 in SAS Programming
‎03-02-2017 02:39 AM
‎03-02-2017 02:39 AM
OrdDate = input(put(&d, 8.), ddmmyy8.); Worked the wonders for me. Thanks a Ton Reeza 🙂 ... View more

Macro Wrong Date Display

by Obsidian | Level 7 in SAS Programming
‎03-02-2017 01:35 AM
‎03-02-2017 01:35 AM
I am writing the following code to Obtain DTM1 = 03JUN2013:09:15:00. But Instead it gives me the value of DTM1 =  07JUL****:09:15:00.   I am not sure how is it converting 03062013 into 07JULY**** .   Plz. Help.    %Macro DTX(d); Data FA.ACC_NBNSFinal; Set FA.ACC_NBNSFinal_&d; OrdDate = &d; /*'&d'd Gives Error*/ Format OrdDate Date9.; DTM1=dhms(OrdDate,0,0,T); format DTM1 datetime22.; Drop OrdDate; run; %Mend; %DTX(03062013);   Thanks in Advance.   Ritesh ... View more

Re: Matching variables in 2 datasets

by Obsidian | Level 7 in SAS Programming
‎01-11-2017 04:17 PM
‎01-11-2017 04:17 PM
Really Appreciate your efforts.... Both Join & Inner Join Result in: WARNING: Variable T1 already exists on file WORK.COMBINEDATASET. NOTE: Table WORK.COMBINEDATASET created, with 0 rows and 17 columns. My experience with SQL is limited as well 😞 Thanks @Shmuel . ... View more

Re: Matching variables in 2 datasets

by Obsidian | Level 7 in SAS Programming
‎01-11-2017 03:33 PM
‎01-11-2017 03:33 PM
This Creates Missing values And results in something like this: Qty Trade_Price T1 BestBuy BestSell 50 100 9:15 . . 51 101 9:15 . . 75 102 9:15 . . 65 102 9:15 . . . . 9:15 100 101 59 105 9:16 . . 50 100 9:16 . . 56 102 9:16 . . . . 9:16 101 105 45 100 9:17 . . 51 101 9:17 . . . . 9:17 105 107 ... View more

Matching variables in 2 datasets

by Obsidian | Level 7 in SAS Programming
‎01-11-2017 02:38 PM
‎01-11-2017 02:38 PM
Dear Friends,   I have 2 Datasets: 1. TradesDataset Containing Qty Trade_Price   T1  50   100               9:15  51   101              9:15 75   102              9:15 65   102              9:15 59   105             9:16 50   100             9:16 56    102            9:16 45    100             9:17 51    101            9:17   2. SpreadDataset Containing T1    BestBuy  BestSell 9:15   100          101 9:16   101          105 9:17    105          107   I want to Combine the two datasets to Arrive at the following CombineDataset:   Qty Trade_Price   T1   BestBuy  BestSell 50   100               9:15    100          101 51   101              9:15     100          101 75   102              9:15     100          101 65   102              9:15      100          101 59   105             9:16      101         105 50   100             9:16      101         105 56    102            9:16      101         105 45    100             9:17     105          107 51    101            9:17       105          107     How to go about it? I tried Merge And Set Options but not getting the desired results.   Thanks for helping and sparing your valuable time.   Warm Regards Ritesh ... View more

Re: How to reduce the time taken in running the following code.

by Obsidian | Level 7 in SAS Programming
‎12-08-2016 11:28 PM
‎12-08-2016 11:28 PM
Thank You @RW9 @ballardw@Astounding@Oligolas for your valuable inputs. I'll go ahead and try the suggestions that you have advised and will update you all of the progress.   Thank you once again for being so patient and helpful. ... View more
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