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Extracting Intraday Price Quotes From TAQ Database in WRDS Using SAS

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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165 views7 pages

Extracting Intraday Price Quotes From TAQ Database in WRDS Using SAS

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.

Uploaded by

vsuarezf2732
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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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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