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    Extracting Intraday Price Quotes From TAQ Database in WRDS Using SAS

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    vsuarezf2732
    This document provides a SAS code sample for extracting intraday stock price quotes from the TAQ database in WRDS at 30-minute intervals. The code walks through logging into WRDS from SAS, specifying the data sets and date range, extracting symbol, date, time and price fields, screening the data to include only timestamps at the specified interval, checking and saving the output data as a SAS data set and CSV file.

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    Extracting Intraday Price Quotes From TAQ Database in WRDS Using SAS

    Uploaded by

    vsuarezf2732
    108 views7 pages
    This document provides a SAS code sample for extracting intraday stock price quotes from the TAQ database in WRDS at 30-minute intervals. The code walks through logging into WRDS from SAS, specifying the data sets and date range, extracting symbol, date, time and price fields, screening the data to include only timestamps at the specified interval, checking and saving the output data as a SAS data set and CSV file.

    Original Description:

    WRDSTAQ

    Original Title

    WRDSTAQ

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    This document provides a SAS code sample for extracting intraday stock price quotes from the TAQ database in WRDS at 30-minute intervals. The code walks through logging into WRDS from SAS, specifying the data sets and date range, extracting symbol, date, time and price fields, screening the data to include only timestamps at the specified interval, checking and saving the output data as a SAS data set and CSV file.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    108 views7 pages

    Extracting Intraday Price Quotes From TAQ Database in WRDS Using SAS

    Uploaded by

    vsuarezf2732
    This document provides a SAS code sample for extracting intraday stock price quotes from the TAQ database in WRDS at 30-minute intervals. The code walks through logging into WRDS from SAS, specifying the data sets and date range, extracting symbol, date, time and price fields, screening the data to include only timestamps at the specified interval, checking and saving the output data as a SAS data set and CSV file.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 7

    ExtractingIntradayPriceQuotesfrom

    TAQdatabaseinWRDSusingSAS
    (30minutesinterval)

    OscarTorresReyna/ToddHines
    [email protected]/[email protected]

    http://dss.princeton.edu/training/

    Note
    Thecodepresentedhereisbasedonasample
    SAScodeavailableatWRDS
    (http://wrds.wharton.upenn.edu/)
    YoucancopyandpastethecodeinSASand
    modifyittoyourneeds.
    Makesureyoucopyitintheorderitis
    presentedhere.

    OTR/TH

    1)LoginintoWRDSfromSAS
    %letwrds =wrds.wharton.upenn.edu4016;
    optionscomamid=TCPremote=WRDS;
    signon username=_prompt_;
    libname local'H:\';*Thisiswherethedatawillbesaved;
    rsubmit;
    libname taq'/wrds/taq/sasdata';*Thisiswherethedatasets
    arelocated;
    OTR/TH

    2)Inputarea
    *%lettaq_ds=taq.cq_20090102;*datasetyouareinterested(ifonly
    onedataset);
    %letstart_time ='9:00:00't;*startingtime;
    *%letdate1='02JAN2009'd;*dayyouareinterested(ifonlyone);
    *%letinterval_seconds =15*60;*intervalis15*60seconds,15min;
    %letinterval_seconds =30*60;*intervalis15*60seconds,30min;

    OTR/TH

    3)Extractselecteddata/date/time
    *ExtractdataforJanuaryJulyof2009and2stocksbetween9:00amto4:30pm,retrieveSYMBOLDATETIMEandPRICE;
    dataall2009;
    settaq.cq_20090102taq.cq_20090105taq.cq_20090106taq.cq_20090107taq.cq_20090108taq.cq_20090109taq.cq_20090112taq.cq_20090113
    taq.cq_20090114taq.cq_20090115taq.cq_20090116taq.cq_20090120taq.cq_20090121taq.cq_20090122taq.cq_20090123taq.cq_20090126
    taq.cq_20090127taq.cq_20090128taq.cq_20090129taq.cq_20090130taq.cq_20090202taq.cq_20090203taq.cq_20090204taq.cq_20090205
    taq.cq_20090206taq.cq_20090209taq.cq_20090210taq.cq_20090211taq.cq_20090212taq.cq_20090213taq.cq_20090217taq.cq_20090218
    taq.cq_20090219taq.cq_20090220taq.cq_20090223taq.cq_20090224taq.cq_20090225taq.cq_20090226taq.cq_20090227taq.cq_20090302
    taq.cq_20090303taq.cq_20090304taq.cq_20090305taq.cq_20090306taq.cq_20090309taq.cq_20090310taq.cq_20090311taq.cq_20090312
    taq.cq_20090313taq.cq_20090316taq.cq_20090317taq.cq_20090318taq.cq_20090319taq.cq_20090320taq.cq_20090323taq.cq_20090324
    taq.cq_20090325taq.cq_20090326taq.cq_20090327taq.cq_20090330taq.cq_20090331taq.cq_20090401taq.cq_20090402taq.cq_20090403
    taq.cq_20090406taq.cq_20090407taq.cq_20090408taq.cq_20090409taq.cq_20090413taq.cq_20090414taq.cq_20090415taq.cq_20090416
    taq.cq_20090417taq.cq_20090420taq.cq_20090421taq.cq_20090422taq.cq_20090423taq.cq_20090424taq.cq_20090427taq.cq_20090428
    taq.cq_20090429taq.cq_20090430taq.cq_20090501taq.cq_20090504taq.cq_20090505taq.cq_20090506taq.cq_20090507taq.cq_20090508
    taq.cq_20090511taq.cq_20090512taq.cq_20090513taq.cq_20090514taq.cq_20090515taq.cq_20090518taq.cq_20090519taq.cq_20090520
    taq.cq_20090521taq.cq_20090522taq.cq_20090526taq.cq_20090527taq.cq_20090528taq.cq_20090529taq.cq_20090601taq.cq_20090602
    taq.cq_20090603taq.cq_20090604taq.cq_20090605taq.cq_20090608taq.cq_20090609taq.cq_20090610taq.cq_20090611taq.cq_20090612
    taq.cq_20090615taq.cq_20090616taq.cq_20090617taq.cq_20090618taq.cq_20090619taq.cq_20090622taq.cq_20090623taq.cq_20090624
    taq.cq_20090625taq.cq_20090626taq.cq_20090629taq.cq_20090630taq.cq_20090701taq.cq_20090702taq.cq_20090706taq.cq_20090707
    taq.cq_20090708taq.cq_20090709taq.cq_20090710taq.cq_20090713taq.cq_20090714taq.cq_20090715taq.cq_20090716taq.cq_20090717
    taq.cq_20090720taq.cq_20090721taq.cq_20090722taq.cq_20090723taq.cq_20090724taq.cq_20090727taq.cq_20090728taq.cq_20090729
    taq.cq_20090730taq.cq_20090731;
    wheresymbolin('GE','C')andtimebetween'9:00:00'tand'16:30:00't;
    run;
    proc sort;bysymboldatetime;run;
    Title'Printseverallinesoftheoriginaldataforchecking';

    OTR/TH

    4)Screendatatofindthetradebeforeasettimeinterval
    dataxtemp2;
    setall2009;
    bysymboldatetime;
    formatitime rtime time12.;
    iffirst.symbol=1orfirst.date=1thendo;
    *Initializetimeandpricewhennewsymbolordatestarts;
    rtime=time;
    iprice=bid;
    oprice=ofr;
    itime=&start_time;
    end;
    iftime>=itime thendo;*Intervalreached;
    output;*rtime andiprice holdthelastobservationvalues;
    itime =itime +&interval_seconds;
    dowhile(time>=itime);*needtofillinalltimeintervals;
    output;
    itime =itime +&interval_seconds;
    end;
    end;
    rtime=time;
    iprice=bid;
    oprice=ofr;
    retainitime rtime iprice oprice;*Carrytimeandpricevaluesforward;
    *keepsymboldateitime iprice rtime;
    run;
    OTR/TH

    5)Checkthedata,saveasSASdataandexportto*.csv
    Title"Finaloutput XXmininterval";*ReplacetheXXbyinterval;
    proc printdata=xtemp2(obs=100);
    var symboldateitime iprice oprice rtime;
    run;
    proc downloaddata=xtemp2OUT=local.all30;*Thisdownloadthedatasetin
    SASformat.CHANGETHENAMEIFYOUCHANGETHEINTERVAL;
    run;
    proc exportDATA=local.all30
    OUTFILE="h:\all30.csv"
    DBMS=csv REPLACE;*ThisexportstheSASdatasetto*.csv toreadin
    Excel.REMEMBERTOCHANGETHENAMEIFYOUCHANGETHEINTERVAL;
    run;
    OTR/TH

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