Summarize selected variables from TAQ at the daily level
Example
/* *** */
/* **** W R D S R E S E A R C H A P P L I C A T I O N S * */
/* *** */
/* Program : taq_daily_variables.sas */
/* Date : Modified Aug, 2011 */
/* Author : Mark Keintz */
/* /
Data v_temp/view=v_temp;
set taq.ct_1995: ; /* all ct daily files for year 1995 */
by symbol date;
where symbol in ('IBM','MSFT','DELL') and time between '09:30:00't and '16:00:00't;
trade_value=price*size;
run;
proc means data=v_temp noprint;
by symbol date;
var price size trade_value;
output out=myresults n=n_trades min=min_price max=max_price sum(size)=volume_daily;
run;
proc print data=myresults (obs=100);
var symbol date n_trades min_price max_price volume_daily;
run;
/* * */
/* *** Material Copyright 91ÅÝܽ */
/* All Rights Reserved */
/* * */