Loop through list - loops

Question

I have the following macro:
rsubmit;
data indexsecid;
input secid 1-6;
datalines;
108105
109764
102456
102480
101499
102434
107880
run;
%let endyear = 2014;
%macro getvols1;
* First I extract the secids for all the options given a date and
an expiry date;
%do yearnum = 1996 %to &endyear;
proc sql;
create table volsurface1&yearnum as
select a.secid, a.date, a.days, a.delta, a.impl_volatility,
a.impl_strike, a.cp_flag
from optionm.vsurfd&yearnum as a, indexsecid as b
where a.secid=b
and a.impl_strike NE -99.99
order by a.date, a.secid, a.impl_strike;
quit;
%if &yearnum > 1996 %then %do;
proc append base= volsurface11996 data=volsurface1&yearnum;
run;
%end;
%end;
%mend;
%getvols1;
proc download data=volsurface11996;
run;
endrsubmit;
data _null_;
set work.volsurface11996;
length fv $ 200;
fv = "C:\Users\user\Desktop\" || TRIM(put(indexsecid,4.)) || ".csv";
file write filevar=fv dsd dlm=',' lrecl=32000 ;
put (_all_) (:);
run;
On the code above I have: where a.secid=108105. Now I have a list with several secid and I need to run the macro once for each secid. I am looking to run it once and generate a new dataset for each secid.
How can I do that? Thanks

Answer 1

Here is an approach that uses
A single data step set statement to combine all the input datasets
A data set list so you don't have to call each input by name
A hash table to limit the output to your list of secids
proc sort to order the output
Rezza/DWal's approach to output separate csvs with file filevar =
%let startyear = 1996;
%let endyear = 2014;
data volsurface1;
/* Read in all the input tables */
set optionm.vsurfd&startyear.-optionm.vsurfd&endyear.;
where impl_strike ~= -99.99;
/* Set up a hash table containing all the wanted secids */
if _N_ = 1 then do;
declare hash h(dataset: "indexsecid");
_rc = h.defineKey("secid");
_rc = h.defineDone();
end;
/* Only keep observations where secid is matched in the hash table */
if not h.find();
/* Select which variables to output */
keep secid date days delta impl_volatility impl_strike cp_flag;
run;
/* Sort the data */
proc sort data = volsurface1;
by secid date secid impl_strike;
run;
/* Write out a CSV for each secid */
data _null_;
set volsurface1;
length fv $200;
fv = "\path\to\output\" || trim(put(secid, 6.)) || ".csv";
file write filevar = fv dsd dlm = ',' lrecl = 32000;
put (_all_) (:);
run;
As I don't have your data this is untested. The only constraint I can see is that the contents of indexsecid must fit in memory. If you were not concerned with the order this could be all done in one data step.

Answer 2

SRSwift thank you for your comprehensive answer. It run smoothly with no errors. The only issue is that I am running it on a remote server (wharton) using:
%let wrds=wrds.wharton.upenn.edu 4016;
options comamid=TCP remote=wrds;
signon username=_prompt_;
rsubmit;
and on the log it says it wrote the file to my folder on the server but I can t see any file on the server. The log says:
NOTE: The file WRITE is:
Filename=/home/uni/user/108505.csv,
Owner Name=user,Group Name=uni,
Access Permission=rw-r--r--,
Last Modified=Wed Apr 1 20:11:20 2015