Tag Archives: WRDS

GitHub code repository

For anyone reading this blog, I also have a repository on GitHub dedicated to code for compiling data from standard sources (e.g., WRDS). I’m still in the process of documenting this, but the documentation for some parts (e.g., Perl scripts … Continue reading

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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

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WRDS SAS versus PostgreSQL

For one reason or another, last night I was partially replicating a paper by Beaver, McNichols, and Nelson (2007). I pulled together some code in R that draws on my PostgreSQL database, produces some summary statistics like those in the … Continue reading

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Perl script to load in CSV file from SAS file to PostgreSQL

To run this, you would put (say) “dsi.csv.gz” and “dsi_schema.csv” in the working directory and then call “csv_to_pg.pl dsi” to run the following:

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Getting WRDS data into MySQL or PostgreSQL

In an earlier post, I talked about getting WRDS data into SQLite. One “advantage” of SQLite is that one doesn’t need to specify data types. But doing so is necessary with MySQL or PostgreSQL. Retaining the basic approach of my … Continue reading

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