Date: Thu, 14 Sep 2006 22:50:45 -0400
Reply-To: "Howard Schreier <hs AT dc-sug DOT org>" <nospam@HOWLES.COM>
Sender: "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From: "Howard Schreier <hs AT dc-sug DOT org>" <nospam@HOWLES.COM>
Subject: Re: Smarter dynamic code than this hard corded one
You may not need "dynamic code". You do need to exploit arrays and looping.
Associative arrays (hashes) seem particularly appropriate.
A reflexive join in SQL is also a possibility.
How large is the data set? How many observations in the series? How many
different securities?
On Thu, 14 Sep 2006 10:02:29 -0400, wing wah <wing.tham03@PHD.WBS.AC.UK> wrote:
>Hi folks,
>
>As i am rather incompetent with logic. I am trying to reconstruct the real
>time orderbook in financial market. If the quotes below are bid price that
>is posted by traders, i am interested to rank the posted quote as the
>bestbid secondbid thirdbid fourthbid and so on. The quantity of each rank
>(bestbid, secondbid,....) is sum of accumulated quantity of those rank
>before it. i.e. quantity of bestbid=quantity of bestbid, accumulated
>quantity of secondbid=quantity of secondbid+quantity of bestbid, and so
>on... I hope the output of the code will provide a clearer explanation of
>the logic behind what i am trying to construct.
>However, the dataset that i have is huge and the queue or rank sometime
>goes up to 1000 (for our case here, the rank is only 5). For a rank of 5,
>the code is pretty long as seen by my inefficient coding. I am hoping for
>some advices on how i can more smartly do this that can accomodate for
>longer queue (number of rank - bestbid, secondbid, ....thousandthbid) as
>the data set increases. Thanks in advance.
>
>Wing
>
>
>
>data given;
> input quantity quote @@;
> cards;
> 2 11.1 2 11.1 2 12.2
> 3 13.3 -3 11.1 3 10.1
> 4 14.4 4 11.1 4 12.2
> -5 11.1 5 16.6 -3 10.1
> 6 13.3
>;
>
>
>
>
>
>
>
>data ootest;
>retain bestbid b_vol1 bid2 b_vol2 bid3 b_vol3 bid4 b_vol4 bid5
>b_vol5 bid6 b_vol6 ;
>retain obestbid ob_vol1 obid2 ob_vol2 obid3 ob_vol3 obid4 ob_vol4
>obid5 ob_vol5 obid6 ob_vol6 ;
>set given;
>if (_n_ eq 1) then do;
>
> bestbid=quote;
> b_vol1=quantity;
> end;
> else do;
> select;
> when (obestbid eq .) do;
> bestbid=quote;
> b_vol1=quantity;
> end;
>
> when (quote eq obestbid &
>quantity=-ob_vol1) do;
> bestbid=bid2;
> b_vol1=ob_vol2+quantity;
> bid2=obid3;
> b_vol2=ob_vol3+quantity;
> bid3=obid4;
> b_vol3=ob_vol4+quantity;
> bid4=obid5;
> b_vol4=ob_vol5+quantity;
> bid5=obid6;
> b_vol5=ob_vol6+quantity;
> end;
>
> when (quote eq obestbid) do;
> b_vol1=ob_vol1+quantity;
> b_vol2=ob_vol2+quantity;
> b_vol3=ob_vol3+quantity;
> b_vol4=ob_vol4+quantity;
> b_vol5=ob_vol5+quantity;
> b_vol6=ob_vol6+quantity;
> end;
>
> when (quote gt obestbid) do;
> bestbid=quote;
> b_vol1=quantity;
> bid2=obestbid;
> b_vol2=ob_vol1+quantity;
> bid3=obid2;
> b_vol3=ob_vol2+quantity;
> bid4=obid3;
> b_vol4=ob_vol3+quantity;
> bid5=obid4;
> b_vol5=ob_vol4+quantity;
> bid6=obid5;
> b_vol6=ob_vol5+quantity;
> end;
>
>
> when (quote eq obid2 &
>ob_vol1=ob_vol2+quantity) do;
> bid2=obid3;
> b_vol2=ob_vol3+quantity;
> bid3=obid4;
> b_vol3=ob_vol4+quantity;
> bid4=obid5;
> b_vol4=ob_vol5+quantity;
> bid5=obid6;
> b_vol5=ob_vol6+quantity;
> end;
>
> when (quote eq obid2) do;
> b_vol2=ob_vol2+quantity;
> b_vol3=ob_vol3+quantity;
> b_vol4=ob_vol4+quantity;
> b_vol5=ob_vol5+quantity;
> b_vol6=ob_vol6+quantity;
> end;
>
>
> when (quote gt obid2) do;
> bid2=quote;
> b_vol2=ob_vol1+quantity;
> bid3=obid2;
> b_vol3=ob_vol2+quantity;
> bid4=obid3;
> b_vol4=ob_vol3+quantity;
> bid5=obid4;
> b_vol5=ob_vol4+quantity;
> bid6=obid5;
> b_vol6=ob_vol5+quantity;
> end;
>
> otherwise do;
> select;
>
> when (obid2 eq .) do;
> bid2=quote;
> b_vol2=ob_vol1+quantity;
> end;
>
> when (quote eq obid3 &
>ob_vol2=ob_vol3+quantity) do;
> bid3=obid4;
> b_vol3=ob_vol4+quantity;
> bid4=obid5;
> b_vol4=ob_vol5+quantity;
> bid5=obid6;
> b_vol5=ob_vol6+quantity;
> end;
>
> when (quote eq obid3) do;
> b_vol3=ob_vol3+quantity;
> b_vol4=ob_vol4+quantity;
> b_vol5=ob_vol5+quantity;
> b_vol6=ob_vol6+quantity;
> end;
>
> when (quote gt obid3) do;
> bid3=quote;
> b_vol3=ob_vol2+quantity;
> bid4=obid3;
> b_vol4=ob_vol3+quantity;
> bid5=obid4;
> b_vol5=ob_vol4+quantity;
> bid6=obid5;
> b_vol6=ob_vol5+quantity;
> end;
>
>
> otherwise do;
> select;
> when (obid3 eq .) do;
> bid3=quote;
> b_3vol=ob_2vol+quantity;
> end;
>
> when (quote eq obid4 &
>ob_vol3=ob_vol4+quantity) do;
> bid4=obid5;
> b_vol4=ob_vol5+quantity;
> bid5=obid6;
> b_vol5=ob_vol6+quantity;
> end;
>
> when (quote eq obid4) do;
> b_vol4=ob_vol4+quantity;
> b_vol5=ob_vol5+quantity;
> b_vol6=ob_vol6+quantity;
> end;
>
> when (quote gt obid4) do;
> bid4=quote;
> b_vol4=ob_vol3+quantity;
> bid5=obid4;
> b_vol5=ob_vol4+quantity;
> bid6=obid5;
> b_vol6=ob_vol5+quantity;
> end;
>
> otherwise do;
> select;
> when (obid4 eq .) do;
> bid4=quote;
> b_vol4=ob_vol3+quantity;
> end;
>
>
>
> when (quote eq obid5 &
>ob_vol4=ob_vol5+quantity) do;
> bid5=obid6;
> b_vol5=ob_vol6+quantity;
> end;
>
> when (quote eq obid5) do;
> b_vol5=ob_vol5+quantity;
> b_vol6=ob_vol6+quantity;
> end;
>
> when (quote gt obid5) do;
> bid5=quote;
> b_vol5=ob_vol4+quantity;
> bid6=obid5;
> b_vol6=ob_vol5+quantity;
> end;
>
> when (obid5 eq .) do;
> bid5=quote;
> b_vol5=ob_vol4+quantity;
> end;
>
> when (quote eq obid6) do;
> b_vol6=ob_vol6+quantity;
> end;
>
> when (obid6 eq .) do;
> bid6=quote;
> b_vol6=ob_vol5+quantity;
> end;
> otherwise;
> end;
> end;
> end;end;end;end;end;end;
>
>output ootest;
>array current bestbid b_: bid:;
>array previous obestbid ob_: obid:;
>do over previous;
>previous=current;
>end;
>run;
>
>
>output:
>
>bestbid b_vol1 bid2 b_vol2 bid3 b_vol3 bid4 b_vol4 bid5 b_vol5
>11.1 2
>
>11.1 4
>
>12.2 2 11.1 6
>
>13.3 3 12.2 5 11.1 9
>
>13.3 3 12.2 5 11.1 6
>
>13.3 3 12.2 5 11.1 6 10.1 9
>
>14.4 4 13.3 7 12.2 9 11.1 10 10.1 13
>
>14.4 4 13.3 7 12.2 9 11.1 14 10.1 17
>
>14.4 4 13.3 7 12.2 13 11.1 18 10.1 21
>
>14.4 4 13.3 7 12.2 13 10.1 16
>
>16.6 5 14.4 9 13.3 12 12.2 18 10.1 21
>
>16.6 5 14.4 9 13.3 12 12.2 18
>
>16.6 5 14.4 9 13.3 18 12.2 24
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