Extract TAQ data from WRDS Cloud via terminal

Description


A simple SAS program that can extract TAQ data from WRDS cloud for a list of companies on particular dates during specific time periods.

How to use


  1. Upload to your WRDS cloud the txt file that includes ticker and date for which you need TAQ data (Check here for how to transfer file via SFTP)

  2. Upload to your WRDS cloud the code file “WRDS_batchticker*.sas”. (Please remember to change to your txt file path in the code).

  3. Connect to your WRDS Cloud via SSH. (Check here for how to connect to WRDS Cloud via SSH)

  4. Submit command on your terminal:

    qsas WRDS_batch_ticker_*.sas 
    

‚Äč (check here for how to use batch jobs on the WRDS Cloud)

Contributor


Avatar
Gen Li
Zannoni Research Associate at Yale School of Management