Download Data From TAQ Using SAS - sas

Question

I am trying to download the entire TAQ database on WRDS using SAS. Folloing is the SAS code given by a person from technical support of WRDS:
%let wrds=wrds.wharton.upenn.edu 4016;
options comamid=TCP remote=WRDS;
signon username=_prompt_;
%macro taq_daily_dataset_list(type=ctm,begyyyymmdd=20100101,endyyyymmdd=20111231) / des="Autogenerated list of needed Daily TAQ datasets";
%let type=%lowcase(&type);
/* Get SAS date values for date range endpoints */
%let begdate = %sysfunc(inputn(&begyyyymmdd,yymmdd8.));
%let enddate = %sysfunc(inputn(&endyyyymmdd,yymmdd8.));
%do d=&begdate %to &enddate /** For each date in the DATE range */;
%let yyyymmdd=%sysfunc(putn(&d,yymmddn8.));
/*If the corresponding dataset exists, add it to the list */
%if %sysfunc(exist(taqmsec.&type._&yyyymmdd)) %then taqmsec.&type._&yyyymmdd;
%end;
%mend;
* using this macro;
data my_output;
set %taq_daily_dataset_list(type=ctm,begyyyymmdd=20100101,endyyyymmdd=20121231) open=defer;
run;
I tried to run this in SAS, but it gave me an erorr "THERE IS NOT A DEFAULT INPUT DATA SET (_LAST_IS_NULL)". I don't know how to use SAS, not even a little. All I want is downloading the database.
Really appreciated if someone could help me out of here.

Answer 1

The code you are running is a SAS/CONNECT session from your computer to a remote server. Once you connect, I'm assuming the libname TAQMSEC is defined on the server. So, my guess is you need to "remote submit" the code (which will create the SAS dataset my_output in the server's WORK library). Then you can use PROC DOWNLOAD to copy it to your local machine:
%let wrds=wrds.wharton.upenn.edu 4016;
options comamid=TCP remote=WRDS;
signon username=_prompt_;
RSUBMIT; /* Execute following on server after logging in */
%macro taq_daily_dataset_list(type=ctm,begyyyymmdd=20100101,endyyyymmdd=20111231) / des="Autogenerated list of needed Daily TAQ datasets";
%let type=%lowcase(&type);
/* Get SAS date values for date range endpoints */
%let begdate = %sysfunc(inputn(&begyyyymmdd,yymmdd8.));
%let enddate = %sysfunc(inputn(&endyyyymmdd,yymmdd8.));
%do d=&begdate %to &enddate /** For each date in the DATE range */;
%let yyyymmdd=%sysfunc(putn(&d,yymmddn8.));
/*If the corresponding dataset exists, add it to the list */
%if %sysfunc(exist(taqmsec.&type._&yyyymmdd)) %then taqmsec.&type._&yyyymmdd;
%end;
%mend;
* using this macro;
data my_output;
set %taq_daily_dataset_list(type=ctm,begyyyymmdd=20100101,endyyyymmdd=20121231) open=defer;
run;
/* Download result to your computer */
proc download data=my_output;
run;
ENDRSUBMIT; /* Signals end of processing on remote server */
Any programming statements that appear between the RSUBMIT and ENDRSUBMIT commands are executed on the remote server. Notice that the macro is created and executed by the remote SAS session.
Remember to use the signoff command to disconnect from the server after you retrieve the data you need.

Answer 2

I don't speak SAS so I can't comment on your code, but I don't recognize "taqmsec" as one of the main files. The Consolidated Trades data is held in files of the form taq.CT_YYYYMMDD and the Consolidated Quotes files are taq.CQ_YYYYMMDD. The first available date for these is 19930104.
Back when I had an account, I wrote some Python scripts to automate the process of downloading data in bulk from WRDS: https://github.com/jbrockmendel/pywrds
The scripts that try to auto-setup SSH keys are untested (please send me a note if you want to help me test/fix them), but the core is well-tested. Assuming you have an account and key-based authentication set up, you can run:
import pywrds
# Download the TAQ Consolidated Trades (TAQ_CT) file for 1993-06-12.
# y = [num_files, num_rows, paramiko_ssh, paramiko_sftp, time_elapsed]
y = pywrds.get_wrds('taq.ct', 1993, 06, 12)
# Loop over all available dates to download in bulk.
# The script is moderately smart about picking up
# unfinished loops where they left off.
# y = [num_files, time_elapsed]
y = pywrds.wrds_loop('taq.ct')
# Find out what the darn names of the available TAQ files are.
# y = [file_list, paramiko_ssh, paramiko_sftp]
y = pywrds.find_wrds('taq')
The files start at a few tens of MB apiece in 1993 and grow to ~1 GB apiece for taq.ct and >5GB for taq.cq. Standard WRDS accounts limit your storage space to 1 GB, so trying to query all of, say, taq.cq_20050401 will put a truncated file in your directory. pywrds.get_wrds breaks up these big queries and loops over smaller files, then recombines them after they have all downloaded.
Caution: wrds_loop also deletes these files from your directory on the server after downloading them. It also runs rm wrds_export*, since all of the SAS files it uploads begin with "wrds_export". Make sure you don't have anything else following the same pattern.
The same commands also work with Compustat (comp.fundq, comp.g_fundq, ...), CRSP (crsp.msf, crsp.dsf, ...), OptionMetrics (optionm.optionm_opprcd1996, optionm.opprcd1997,...), IBES, TFN, ...
# Also works with other WRDS datasets.
# The day, month, and year arguments are optional.
# Get the OptionMetrics pricing file for March 1993
y = pywrds.get_wrds('optionm.opprcd', 1993, 3)
# Get the Compustat Fundamentals Quarterly file for 1997
y = pywrds.get_wrds('comp.fundq', 1997)
# Get the CRSP Monthly Stock File for all available years
y = pywrds.get_wrds('crsp.msf')