使用SAS读取行情软件准实时文件
2006-08-13, 13:27
读取钱龙数据的SAS程序（且能自动更新FinData数据库数据 (https://www.wendangku.net/doc/bf5570411.html,/bbs/dispbbs.asp?boardid=2&ID=10)）的SAS程序 ：
见下面的代码，也可点击这里下载 (https://www.wendangku.net/doc/bf5570411.html,/findata/sas/ql2findata.rar)。
options nosource nonumber nodate nonotes nomprint error=10;
/* ============================BeginningOfHeader===============================
/ 名称: QL2FinData
/ 功能: 将钱龙行情日数据(*.DAY)/权息数据/股本变动(*.wgt)导入FinData逻辑库中的cnhq/cncq/cngb等数据集。
/ 版本: 2.0
/ 下载: https://www.wendangku.net/doc/bf5570411.html,
/ 作者: https://www.wendangku.net/doc/bf5570411.html,
/ 日期: 2006-8-8
/ 备注:
/ 所需模块: Base SAS
/ 测试环境: SAS 9.1.3
/ 用法:
/ 仅适用于钱龙旗舰/金典.
/ 修改:
/
/-------------------------------------------------------------------------------
/ 声明:本代码按现状("AS IS")提供，没有任何明确或隐含的担保，用户自己须承担使用本代码的
/ 风险。授予用户使用或复制本代码的权限，可以将其用于任何用途，只要在所有副本中包
/ 含以上说明及本声明。
/===============================EndingOFHeader=================================*/
%macro QL2FinData(DataType,DataDir,FinDataLib);
%let DataType=%lowcase(&DataType);
%if %sysfunc(substr(&DataDir,%length(&DataDir),1)) ^= \ %then %let DataDir =&DataDir.\;
%let DataDir=%upcase(&DataDir);
%if %index(&DataDir,\SHASE)>0 %then %do;
%let market=SH;%let FinDataDataSet=&https://www.wendangku.net/doc/bf5570411.html,&DataType;
%end;
%else %if %index(&DataDir,\SZNSE)>0 %then %do;
%let market=SZ;%let FinDataDataSet=&https://www.wendangku.net/doc/bf5570411.html,&DataType;
%end;
%else %if %index(&DataDir,\HKSE)>0 %then %do;
%let market=HK;%let FinDataDataSet=&FinDataLib..hk&DataType;
%end;
%if &DataType = hq %then %do;
%if %sysfunc(exist(&FinDataDataSet))=0 %then %do; /*目标数据集不存在*/
proc sql;
create table &FinDataDataSet (dm char(8) format=$8. label='代码',
rq num format=YYMMDD10. informat=YYMMDD10. label='日期',kp num label='开盘',zg num label='最高',
zd num label='最低',sp num label='收盘',sl num label='成交数量',
je num label='成交金额');
quit;
%end;
%end;
%else %if &DataType = cq %then %do;
%if %sysfunc(exist(&FinDataDataSet))=0 %then %do; /*目标数据集不存在*/
proc sql;
create table &FinDataDataSet (dm char(8) format=$8. label='代码',
rq num format=YYMMDD10. informat=YYMMDD10. label='日期',fh num label='分红',sgbl num label='送股比例',pgbl num label='配股比例',
pgjg num label='配股价格');
quit;
%end;
%end;
%else %if &DataType = gb %then %do;
%if %sysfunc(exist(&FinDataDataSet))=0 %then %do; /*目标数据集不存在*/
proc sql;
create table &FinDataDataSet (dm char(8) format=$8. label='代码',
rq num format=YYMMDD10. informat=YYMMDD10. label='日期',zgb num label='总股本',
ltg num label='流通A股',hg num label='H股',bg num label='B股');
quit;
%end;
%end;
/*将Dat
aDir目录下的文件名导入数据集filelist*/
filename files pipe "dir ""&DataDir"" /b ";
data filelist;
format file_name $30. dm $8. targetdataset $30. tds $40. maxrq yymmdd10.;
infile files;
input @1 file_name;
file_name=upcase(trim(file_name));
if length(file_name)<8 then delete;
dm="&market"||substr(file_name,1,index(file_name,'.')-1);
targetdataset="&FinDataDataSet";
tds="&FinDataDataSet";
maxrq=.;
run;
/*获取证券代码的最新数据日期,追加数据时利用该日期只追加更新的数据*/
proc sql noprint;
create table tmpTargetDS as
select distinct ('select dm,max(rq) format=yymmdd10. as maxrq from '|| tds || ' group by dm') as sql,tds
from filelist;
quit;
data tmpTargetDS;
set tmpTargetDS;
if exist(tds)=1;
run;
proc sql noprint;
select sql into :sqlexe separated by ' union ' from tmpTargetDS;
%if &SQLOBS >0 %then %do;
create table tmpMaxDate as &sqlexe ;
update filelist as f set maxrq = (select maxrq from tmpMaxDate as t where f.dm=t.dm);
drop table tmpMaxDate;
%end;
drop table tmpTargetDS;
quit;
/*将数据集filelist中每个文件名对应文件的数据导入临时数据集WindDayTmp,并追加到指定数据集中*/
%let dsid=%sysfunc(open(filelist));
%if (&dsid=0) %then %do;
%put MSG=%sysfunc(sysmsg());
%abort abend;
%end;
%let i=0;
%do %while (%sysfunc(fetch(&dsid))=0);
%let i=%eval(&i+1);
%let DataFile =%sysfunc(trim( %sysfunc(getvarC(&dsid,%sysfunc(varnum(&dsid,file_name)))) ));
%let dm =%sysfunc(trim( %sysfunc(getvarC(&dsid,%sysfunc(varnum(&dsid,dm)))) ));
%let targetdataset =%sysfunc(trim( %sysfunc(getvarC(&dsid,%sysfunc(varnum(&dsid,targetdataset)))) ));
%let maxrq =%sysfunc(trim( %sysfunc(getvarN(&dsid,%sysfunc(varnum(&dsid,maxrq)))) ));
/*读行情数据*/
%if &dataType=hq %then %do;
data qlTmp(drop=roundoffunit);
infile "&DataDir.&DataFile" recfm=f lrecl=40 STOPOVER;
format dm $8.;
dm="&dm";
input rq ib4. kp ib4. zg ib4. zd ib4. sp ib4. je ib4. sl ib4.;
if (rq eq . or 19000000>rq or rq>20500000) then delete;
if dm in:('SH50','SH51','SZ184','SZ15','SZ16','SH58','SZ03') and rq>mdy(3,3,2003) then roundoffunit=0.001;
else roundoffunit=0.01;
kp=round(kp/1000,roundoffunit);
zg=round(zg/1000,roundoffunit);
zd=round(zd/1000,roundoffunit);
sp=round(sp/1000,roundoffunit);
sl=round(sl*100,1);/*成交量单位为股*/
je=round(je*1000,0.01);/*成交额单位为元*/
rq=mdy(int(mod(rq,10000)/100),mod(rq,100),int((rq/10000)));/* yyyymmdd to sas date*/
attrib rq format=yymmdd10. informat=yymmdd10. ;
if rq <= &maxrq then delete; /*只追加新数据*/
run;
%end;
/*读权息数据*/
%else %if &DataType=cq %then %do;
data qlTmp;
format dm $8. rq yymmdd10. fh sgbl pgbl pgjg;
infile "&DataDir.&DataFile" recfm=f lrecl=36 STOPOVER;
input rq0 ib4. sgbl ib4. pgbl ib4. pgjg ib4. fh ib4.;/* zzs ib4. zgb ib4. ltg ib4. bz $4.;*/
if (rq0 = .) then delete;
dm="&dm";
dt=put(rq0,binary32.0);
y=input(dt,binary12.);
m=input(substr(dt,13,4),binary4.);
d=input(subst
r(dt,17,5),binary5.);
rq=mdy(m,d,y);
sgbl=sgbl/100000;
pgbl=pgbl/100000;
pgjg=pgjg/1000;
fh=fh/10000;
if rq<=&maxrq then delete;
keep dm rq sgbl pgbl pgjg fh;
run;
data qlTmp; /*本条件与rq<=&maxrq分开是因为遇到个别记录会出错*/
set qlTmp;
if (sgbl eq 0 and pgbl eq 0 and pgjg eq 0 and fh eq 0) then delete;
run;
%end;
/*读股本变动数据*/
%else %if &DataType=gb %then %do;
data qlTmp;
format dm $8. rq yymmdd10.;
infile "&DataDir.&DataFile" recfm=f lrecl=36 STOPOVER;
input rq0 ib4. sgbl ib4. pgbl ib4. pgjg ib4. fh ib4. zzs ib4. zgb ib4. ltg ib4. bz $4.;
if (rq0 = .) then delete;
dm="&dm";
dt=put(rq0,binary32.0);
y=input(dt,binary12.);
m=input(substr(dt,13,4),binary4.);
d=input(substr(dt,17,5),binary5.);
rq=mdy(m,d,y);
zgb=zgb*10000;
ltg=ltg*10000;
hg=0;bg=0;
if dm in:('SH900','SZ200') then do;
bg=ltg;ltg=0;/* 如果是既有A股又有B股,B股代码只保留B股流通股数量*/
end;
if (zgb eq 0 and ltg eq 0) or rq<=&maxrq then delete;
keep dm rq zgb ltg hg bg;
run;
%end;
proc append base=&FinDataDataSet data=qlTmp;
run;
%put &i. . %sysfunc(putn(%sysfunc(time()),time.)), &DataFile. => &FinDataDataSet &dm , %sysfunc(putn(&maxrq,yymmdd10.));
%end;
%let rc=%sysfunc(close(&dsid));
proc sql noprint;
drop table filelist;drop table qlTmp;
quit;
%mend;
*调用例子;
%QL2FinData(hq,D:\qlqj\QLDATA\history\shase\day,FinData); /* 沪市行情,*.day */
%QL2FinData(hq,D:\qlqj\QLDATA\history\sznse\day,FinData); /* 深市行情,*.day */
%QL2FinData(cq,D:\qlqj\QLDATA\history\shase\weight,FinData); /* 沪市权息,*.wgt */
%QL2FinData(cq,D:\qlqj\QLDATA\history\sznse\weight,FinData); /* 深市权息,*.wgt */
%QL2FinData(gb,D:\qlqj\QLDATA\history\shase\weight,FinData); /* 沪市股本变动,*.wgt */
%QL2FinData(gb,D:\qlqj\QLDATA\history\sznse\weight,FinData); /* 深市股本变动,*.wgt */