Using a trading date calendar file (either daily or monthly), create a dataset of trading date "windows". dataset will contain one record per window, with three variables: BEG_DATE, END_DATE,and WINDOW_SIZE). All windows will be entirely within the range of the calendar file.
Example
/* ********************************************************************************* */
/* ******************** W R D S R E S E A R C H M A C R O S ******************** */
/* ********************************************************************************* */
/* WRDS Macro: TRADE_DATE_WINDOWS */
/* Summary : Using a trading date calendar file (either daily or monthly), create */
/* a dataset of trading date "windows". dataset will contain one record */
/* per window, with three variables: BEG_DATE, END_DATE,and WINDOW_SIZE).*/
/* All windows will be entirely within the range of the calendar file. */
/* Date : September 22, 2009 */
/* Version: 1.0 */
/* Author : Mark Keintz, WRDS */
/* Variables : - */
/* - */
/* ***********************************************************************************/
%macro trade_date_windows(freq=m,size=60,minsize=,outdsn=temp,help=no)
/des="Create a dataset of DATE windows";
%if %lowcase(&help)=yes %then %do;
/**************************************************************************************/
/* */
/* Parameters: */
/* FREQ: Calendar File Frequency: either m for monthly, or d */
/* for daily. Default is m. */
/* */
/* SIZE: Length (in months or days) of desired window. Default */
/* is 60. If no windows of user-requested SIZE can be */
/* generated from the calendar file (in the event it is */
/* too "short") then SIZE is adjusted to the maximum size */
/* supportable by the calendar file, as long as the */
/* adjusted size is at least as large as MINSIZE (see */
/* below). If windows of size MINSIZE are not possible */
/* then the adjusted SIZE is set to 0, which will be a */
/* signal to prevent craation of the windows dataset. */
/* */
/* MINSIZE: Minimum acceptable window size. This is relevant when */
/* a candidate window start date (variable BEG_DATE) is */
/* so near to the end of the calendar file that the */
/* longest possible window is shorter than SIZE. MINSIZE */
/* allows the user to specify the shortest acceptable */
/* window. MINSIZE defaults to the value of SIZE. */
/* */
/* OUTDSN: Name of the resulting trading-date-window dataset. */
/* */
/* Other local macrovars: */
/* FRQTEXT Calendar File Frequency, in text form (e.g. "Month" */
/* instead of "M"). */
/* */
/* Dependencies: */
/* No other WRDS macros are used by this macro. */
/* */
/* Usage: */
/* */
/* %nrstr(%%)trade_date_windows(freq=d,size=180,minsize=120,outdsn=mylib.cal)%str(;) */
/* */
/* The macro call above reads the CRSP dsi dataset, and creates */
/* a dataset (mylib.cal) of date ranges, each range covering 181 */
/* trading dates, except those near the end of the calendar, */
/* which will cover as few as 121 trading dates. */
/* */
/* Other Notes: */
/* Future developments: Establish a calendar file with trading */
/* dates for a variety of exchanges. This will allow use of an */
/* additional parameter (say "exchange") providing the user with */
/* trading date windows specific to a giving trading exchange. */
/* */
/**************************************************************************************/
%goto endmac;
%end;
%let freq=%lowcase(&freq);
%if &freq=m %then %let frqtext=Months;
%else %if &freq=d %then %let frqtext=Days;
%** Initialize MINSIZE, if neccessary **;
%if %length(&minsize)=0 %then %let minsize=&size;
%** First make sure the calendar file is long enough to accomodate at least
one window >= MINSIZE. This step may reset SIZE to a smallr number, or
to 0 (no acceptable windows are possible) **;
data _null_;
set crsp.&freq.si nobs=ndates; ** NDATES gets number of dates in this calendar **;
max_possible_size=ndates - 1; ** Max possible windows size this calendar **;
if max_possible_size >= &size then ; ** No adjustment to SIZE needed **;
else do;
if max_possible_size < &minsize then do; ** No acceptable window possible **;
put '** ****************************************************** **' /
"** Largest trading-date window size in crsp.&freq.si is " max_possible_size @59 '**' /
"** which is smaller than the user-requested MINSIZE (&minsize.)." @59 '**' /
'** THEREFORE NO TRADING-DATE WINDOWS WILL BE GENERATED. **' /
'** ****************************************************** **' /;
call symput ('size','0'); ** Reset SIZE to zero to skip window-building **;
end;
else do; ** &minsize <= max_possible_size < &size **;
put '** ****************************************************** **' /
"** Largest trading-date window size in crsp.&freq.si is " max_possible_size @59 '**' /
"** which is smaller than the user-requested SIZE (&size.)." @59 '**' /
"** ONLY TRADING-DATE WINDOWS BETWEEN SIZE &MINSIZE (MINSIZE)" @59 '**'/
'** AND ' max_possible_size 'WILL BE GENERATED. '@59 '**' /
'** ****************************************************** **' /;
call symput ('size',left(put(max_possible_size,5.)));
end;
end;
stop;
run;
%if &size ^= 0 %then %do; %* If any acceptable windows possible, generate the dataset **;
data &outdsn (drop=_end_date label="Trading Windows in &frqtext. - size &minsize to &size");
retain beg_date end_date ;
retain window_size &size _end_date;
%** In this merge statement, the second dataset allows looking ahead to end-of-window **;
merge crsp.&freq.si (keep=date rename=(date=beg_date))
crsp.&freq.si (keep=date firstobs=%eval(1+&size) rename=(date=end_date))
;
if end_date ^= . then window_size=&size;
else window_size=window_size-1;
end_date=max(end_date,_end_date);
_end_date=end_date;
if window_size >= &minsize;
label beg_date = "Beginning Date of this trading window"
end_date = "Ending Date of this trading window"
window_size = "Size of this window in Trading &frqtext"
;
run;
%end; %*of %if &size ^= 0 %then %do;
%endmac: %mend trade_date_windows ;
/* ********************************************************************************* */
/* ************* Material Copyright Wharton Research Data Services *************** */
/* ****************************** All Rights Reserved ****************************** */
/* ********************************************************************************* */