使用SAS从TAQ下载数据
我正在尝试使用SAS在WRDS上下载整个TAQ数据库。以下是WRDS技术支持人员提供的SAS代码：使用SAS从TAQ下载数据,sas,wrds,Sas,Wrds,我正在尝试使用SAS在WRDS上下载整个TAQ数据库。以下是WRDS技术支持人员提供的SAS代码： %let wrds=wrds.wharton.upenn.edu 4016; options comamid=TCP remote=WRDS; signon username=_prompt_; %macro taq_daily_dataset_list(type=ctm,begyyyymmdd=20100101,endyyyymmdd=20111231) / des="Autogenerate
%let wrds=wrds.wharton.upenn.edu 4016;
options comamid=TCP remote=WRDS;
signon username=_prompt_;
%macro taq_daily_dataset_list(type=ctm,begyyyymmdd=20100101,endyyyymmdd=20111231) / des="Autogenerated list of needed Daily TAQ datasets";
%let type=%lowcase(&type);
/* Get SAS date values for date range endpoints */
%let begdate = %sysfunc(inputn(&begyyyymmdd,yymmdd8.));
%let enddate = %sysfunc(inputn(&endyyyymmdd,yymmdd8.));
%do d=&begdate %to &enddate /** For each date in the DATE range */;
%let yyyymmdd=%sysfunc(putn(&d,yymmddn8.));
/*If the corresponding dataset exists, add it to the list */
%if %sysfunc(exist(taqmsec.&type._&yyyymmdd)) %then taqmsec.&type._&yyyymmdd;
%end;
%mend;
* using this macro;
data my_output;
set %taq_daily_dataset_list(type=ctm,begyyyymmdd=20100101,endyyyymmdd=20121231) open=defer;
run;
非常感谢有人能帮我离开这里。您正在运行的代码是从您的计算机到远程服务器的SAS/CONNECT会话。连接后，我假设在服务器上定义了libname TAQMSEC。因此，我猜您需要“远程提交”代码（这将在服务器的工作库中创建SAS数据集
my_输出PROC DOWNLOAD%let wrds=wrds.wharton.upenn.edu 4016;
options comamid=TCP remote=WRDS;
signon username=_prompt_;
RSUBMIT; /* Execute following on server after logging in */
%macro taq_daily_dataset_list(type=ctm,begyyyymmdd=20100101,endyyyymmdd=20111231) / des="Autogenerated list of needed Daily TAQ datasets";
%let type=%lowcase(&type);
/* Get SAS date values for date range endpoints */
%let begdate = %sysfunc(inputn(&begyyyymmdd,yymmdd8.));
%let enddate = %sysfunc(inputn(&endyyyymmdd,yymmdd8.));
%do d=&begdate %to &enddate /** For each date in the DATE range */;
%let yyyymmdd=%sysfunc(putn(&d,yymmddn8.));
/*If the corresponding dataset exists, add it to the list */
%if %sysfunc(exist(taqmsec.&type._&yyyymmdd)) %then taqmsec.&type._&yyyymmdd;
%end;
%mend;
* using this macro;
data my_output;
set %taq_daily_dataset_list(type=ctm,begyyyymmdd=20100101,endyyyymmdd=20121231) open=defer;
run;
/* Download result to your computer */
proc download data=my_output;
run;
ENDRSUBMIT; /* Signals end of processing on remote server */
RSUBMITENDRSUBMIT请记住，在检索到所需数据后，使用
注销my_输出PROC DOWNLOAD%let wrds=wrds.wharton.upenn.edu 4016;
options comamid=TCP remote=WRDS;
signon username=_prompt_;
RSUBMIT; /* Execute following on server after logging in */
%macro taq_daily_dataset_list(type=ctm,begyyyymmdd=20100101,endyyyymmdd=20111231) / des="Autogenerated list of needed Daily TAQ datasets";
%let type=%lowcase(&type);
/* Get SAS date values for date range endpoints */
%let begdate = %sysfunc(inputn(&begyyyymmdd,yymmdd8.));
%let enddate = %sysfunc(inputn(&endyyyymmdd,yymmdd8.));
%do d=&begdate %to &enddate /** For each date in the DATE range */;
%let yyyymmdd=%sysfunc(putn(&d,yymmddn8.));
/*If the corresponding dataset exists, add it to the list */
%if %sysfunc(exist(taqmsec.&type._&yyyymmdd)) %then taqmsec.&type._&yyyymmdd;
%end;
%mend;
* using this macro;
data my_output;
set %taq_daily_dataset_list(type=ctm,begyyyymmdd=20100101,endyyyymmdd=20121231) open=defer;
run;
/* Download result to your computer */
proc download data=my_output;
run;
ENDRSUBMIT; /* Signals end of processing on remote server */
RSUBMITENDRSUBMIT请记住，在检索到所需数据后，请使用
注销import pywrds
# Download the TAQ Consolidated Trades (TAQ_CT) file for 1993-06-12.
# y = [num_files, num_rows, paramiko_ssh, paramiko_sftp, time_elapsed]
y = pywrds.get_wrds('taq.ct', 1993, 06, 12)
# Loop over all available dates to download in bulk.
# The script is moderately smart about picking up
# unfinished loops where they left off.
# y = [num_files, time_elapsed]
y = pywrds.wrds_loop('taq.ct')
# Find out what the darn names of the available TAQ files are.
# y = [file_list, paramiko_ssh, paramiko_sftp]
y = pywrds.find_wrds('taq')
pywrds.get_wrdsrm wrds\u export*# Also works with other WRDS datasets.
# The day, month, and year arguments are optional.
# Get the OptionMetrics pricing file for March 1993
y = pywrds.get_wrds('optionm.opprcd', 1993, 3)
# Get the Compustat Fundamentals Quarterly file for 1997
y = pywrds.get_wrds('comp.fundq', 1997)
# Get the CRSP Monthly Stock File for all available years
y = pywrds.get_wrds('crsp.msf')
我不会说SAS，所以我不能对你的代码发表评论，但我不认为“taqmsec”是主要文件之一。合并交易数据保存在taq.CT_yyyyymmdd格式的文件中，合并报价文件为taq.CQ_YYYYMMDD。第一个可用的日期是19930104 当我拥有一个帐户时，我编写了一些Python脚本来自动化从WRDS批量下载数据的过程： 尝试自动设置SSH密钥的脚本未经测试（如果您想帮助我测试/修复它们，请给我一个说明），但内核已经过良好测试。假设已设置帐户和基于密钥的身份验证，则可以运行：
import pywrds
# Download the TAQ Consolidated Trades (TAQ_CT) file for 1993-06-12.
# y = [num_files, num_rows, paramiko_ssh, paramiko_sftp, time_elapsed]
y = pywrds.get_wrds('taq.ct', 1993, 06, 12)
# Loop over all available dates to download in bulk.
# The script is moderately smart about picking up
# unfinished loops where they left off.
# y = [num_files, time_elapsed]
y = pywrds.wrds_loop('taq.ct')
# Find out what the darn names of the available TAQ files are.
# y = [file_list, paramiko_ssh, paramiko_sftp]
y = pywrds.find_wrds('taq')
pywrds.get_wrdsrm wrds\u export*# Also works with other WRDS datasets.
# The day, month, and year arguments are optional.
# Get the OptionMetrics pricing file for March 1993
y = pywrds.get_wrds('optionm.opprcd', 1993, 3)
# Get the Compustat Fundamentals Quarterly file for 1997
y = pywrds.get_wrds('comp.fundq', 1997)
# Get the CRSP Monthly Stock File for all available years
y = pywrds.get_wrds('crsp.msf')
该错误与您的代码不一致。唯一明显错误的是没有定义libname taqmsec，但这可能发生在tcp文件中。但是，您可能需要获取tcp连接脚本。不管怎样，这个错误都意味着你有一个类似于进程排序（或任何进程）的东西，没有数据=参数。这个错误与你的代码不一致。唯一明显错误的是没有定义libname taqmsec，但这可能发生在tcp文件中。但是，您可能需要获取tcp连接脚本。但是，无论哪种方式，该错误都意味着您有一个类似于过程排序（或任何过程）的东西，没有数据=参数。