I am looking for someone familiar with the NYSE TAQ data and with SAS to produce a SAS program that reads in SAS-based TAQ files to construct the following data for all 90 second intervals in the day:
- open price
- close price
- high price
- low price
- share volume
- dollar volume
- signed orderflow (using Lee-Ready algorithm which I can provide)
for all tickers in a 2500-4000 name universe.
The data should either be exported in text files by ticker and year (and compressed) or preferably directly transferred into sql tables (one per data time with date and ticker as primary key and 90 second intervals as columns).