Chinese_TAQ_Code

This repository contains SAS code for handling the Chinese TAQ (Trades and Quotes) database from CSMAR. The scripts are designed to process, clean, and analyze financial transaction data efficiently.

Table of Contents

• Introduction
• Features
• Requirements
• Usage
• File Structure
• License
• Contributing

Introduction

The Chinese TAQ database from CSMAR is a comprehensive financial dataset that tracks trades and quotes across various markets. This repository provides SAS scripts to manage and process this data for research or financial analysis purposes.

Features

• Data cleaning and preprocessing for the TAQ database
• Customizable analysis scripts for trade and quote data
• Efficient handling of large datasets
• Tools for calculating market liquidity measures

Requirements

To use the scripts in this repository, you will need:

• SAS Software: Ensure SAS is installed on your system
• Access to the CSMAR Chinese TAQ database

Usage

1. Clone this repository:

   git clone https://github.com/QihongRuan/Chinese_TAQ_Code.git

2. Navigate to the repository directory:

   cd Chinese_TAQ_Code

3. Open the SAS scripts in your SAS environment and execute them as needed

File Structure

The repository structure is as follows:

Chinese_TAQ_Code/
│
├── 1_Memlist.sas        # Script for processing the member list
├── 2_L1.sas             # Script for L1 data processing
├── 3_L2.sas             # Script for L2 data processing
├── 4_Append.sas         # Script for appending data
├── 5_Standard.sas       # Script for standardizing data
├── 6_Graph.sas          # Script for generating graphs
├── Currency.sas         # Script for currency processing
├── Decomposition_Amihud.sas # Script for Amihud decomposition
├── Depth.sas            # Script for depth calculation
├── Graph.sas            # Script for graph generation
├── RV01m.sas            # Script for realized variance (1 minute)
├── RV_all.sas           # Script for realized variance (all)
├── depth_buy.sas        # Script for processing buy-side depth
├── depth_imbalance.sas  # Script for depth imbalance
├── depth_update.sas     # Script for depth updates
├── depth_update2.sas    # Script for depth updates (version 2)
├── depth_update3.sas    # Script for depth updates (version 3)
├── future.sas           # Script for processing future contracts
├── future2.sas          # Script for future contracts (version 2)
├── memname_stock.sas    # Script for stock memory names
├── pac.sas              # Script for PAC calculations
├── szzs.sas             # Script for SZZS data
├── 活跃合约.sas         # Script for active contracts
├── 铁矿石.sas           # Script for iron ore data
└── README.md            # Documentation for the repository

License

This project is licensed under the MIT License. See the LICENSE file for details.

Contributing

Contributions are welcome! If you have suggestions or improvements, feel free to submit a pull request or open an issue.

Written by Qihong Ruan