Monthly Archives: September 2012

Perl script to pull SAS data from WRDS and put it into a local database

Usage: ./get_SAS_data.pl library datafile (for example, ./get_SAS_data.pl comp funda. This code doesn’t work with some files (e.g., CRSP daily stock file) due to the way that SAS PROC EXPORT handles special missing values (essentially converts “.A” to “A”, which PostgreSQL … Continue reading

Posted in Perl, PostgreSQL | Tagged | 3 Comments

Remote WRDS SAS from R

Here’s an illustration of how once can get something like PC Connect SAS from R. The following code takes a ticker and a date and then pulls TAQ consolidated trade and quote data from WRDS. Note that this is probably … Continue reading

Posted in R, SAS | Tagged , | 19 Comments