PracticeHere.sas

/*START AGAIN FROM /AMBIGUITY_CODES/SPXDATA_TRIM_2ND (2017.10.26)*/

/* Currently working on <indadjbm to portfolios>. */
/* # of result firms from <B2M ratio - DT> are too small compared to <B2M ratio - FF>. */

/* WARNING: in PROC SORT, NODUPKEY and NODUPLICATES are DIFFERENT. */
/* NODUPLICATES (=NODUP): delete duplicated observations (records identical to each other). */
/* NODUPKEY: delete observations with duplicate BY values (the sort BY variables). */


/* After that, re-check FF factors replication.sas, and find a way to form portfolio returns */
/* using indadjbm (industry-adjusted B2M). (2017.08.28) */

/*COMPUSTAT: NO MORE /d_na, but /naa (use /nam instead)*/

/*a_ccm.ccmxpf_linktable: almost equivalent to a_ccm.ccmxpf_lnkhist */

/* The identification of a fiscal year is the calendar year in which it ends.*/
/* FY: from t-1, July to t, June prior to 1976.*/
/*ex) FY17: Oct, 2016 ~ Sep, 2017. */
/*ex) datadate=20080531, fyear=2007, fyr=5 --> Jun, 2006 ~ May, 2007 written at 20080531. */
/*ex) datadate=20090930, fyear=2009, fyr=9 --> Aug, 2008 ~ Sep, 2009 written at 20090930. */

/*%include myMacro('SetDate.sas'); WILL NOT work unless */
/*-SASINITIALFOLDER "D:\Dropbox\GitHub\CRSP_local" added to sasv9.cfg in ...\nls\en and \ko*/

/* To automatically point to the macros in this library within your SAS program */
options sasautos=('E:\Dropbox\GitHub\CRSP_local\myMacro\', SASAUTOS) MAUTOSOURCE;
%liblist_lab;
options mstored sasmstore=myMacro;

options sasautos=('E:\Dropbox\GitHub\CRSP_local\myMacro\', SASAUTOS) MAUTOSOURCE;
%liblist_dorm;
options mstored sasmstore=myMacro;

%let begdate = '01MAY1961'd;
%let enddate = '31DEC1965'd;

data dsf_subset;
set bem.dsf_dlret_ff3f;
where date between '01JUL1961'd and '31DEC1966'd;
run;

proc sort data=dsf_subset;
by permno date;
run;








/**/
%let wrds=wrds.wharton.upenn.edu 4016;
options comamid=TCP remote=WRDS;
signon username=ex1k password='Dhssnfl2@';

rsubmit;
data mytaq;
set taq.ct_201301:(where=(SYMBOL='MSFT' and time between '09:30:00't and '16:00:00't)) open=defer;
run;

endrsubmit;