SAS: Insert Blank Rows - sas

Question

I'm calculating some interval statistics (standard deviation of one minute intervals for example) of financial time series data. My code managed to get results for all intervals that contain data, but for intervals that do not contain any observations in the time series, I'd like to insert an empty row just to maintain the timestamp consistency.
For example, if there's data between 10:00 to 10:01, 10:02 to 10:03, but not 10:01 to 10:02, my output would be:
10:01 stat1 stat2 stat3
10:03 stat1 stat2 stat3
It would ideal if the result could be (I want some values to be 0, some missing '.'):
10:01 stat1 stat2 stat3
10:02 0 0 .
10:03 stat1 stat2 stat3
What I did:
data v_temp/view = v_temp;
set &taq_ds;
where TIME_M between &start_time and &end_time;
INTV = hms(00, ceil(TIME_M/'00:01:00't),00); *create one minute interval;
format INTV tod.; *format hh:mm:ss;
run;
proc means data = sorted noprint;
by SYM_ROOT DATE INTV;
var PRICE;
weight SIZE;
output
out=oneMinStats(drop=_TYPE_ _FREQ_)
n=NTRADES mean=VWAP sumwgt=SUMSHS max=HI min=LO std=SIGMAPRC
idgroup(max(TIME_M) last out(price size ex time_m)=LASTTRD LASTSIZE LASTEX LASTTIME);
run;
For some non-active stocks, there're many gaps like this. What would be an efficient way to generate those filling rows?

Answer 1

If you have SAS:ETS licensed, PROC EXPAND is a good choice for adding blank rows in a time series. Here's a very short example:
data mydata;
input timevar stat1 stat2 stat3;
format timevar TIME5.;
informat timevar HHMMSS5.;
datalines;
10:01 1 3 5
10:03 2 4 6
;;;;
run;
proc expand data=mydata out=mydata_exp from=minute to=minute observed=beginning method=none;
id timevar;
run;
The documentation has more details if you want to perform inter/extrapolation or anything like that. The important options are from=minute, observed=beginning, method=none (no extrapolation or interpolation), and id (which identifies the time variable).
If you don't have ETS, then a data step should suffice. You can either merge to a known dataset, or add your own rows; the size of your dataset determines somewhat which is easier. Here's the merge variation. The add your own rows in a datastep variation is similar to how I create the extra rows.
*Select the maximum time available.;
proc sql noprint;
select max(timevar) into :endtime from mydata;
quit;
*Create the empty dataset with just times;
data mydata_tomerge;
set mydata_tomerge(obs=1);
do timevar = timevar to &endtime by 60; *by 60 = minutes!;
output;
end;
keep timevar;
run;
*Now merge the one with all the times to the one with all the data!;
data mydata_fin;
merge mydata_tomerge(in=a) mydata;
by timevar;
if a;
run;