*读取主力合约数据;
data test;
set quote20120725;
format date yymmdd10.;
time1=input(time,time8.);
format time1 time8.; *10:00:00时间格式;
hour=hour(time1); *提取小时;
minute=minute(time1); *提取分钟;
dif_price=dif(price); *计算每笔数据的价格变量量;
dif_amount=dif(amount); *计算单笔交易的成交量变化;
drop time;
run;
*剔除集合竞价数据，9：30以前及下午开盘的集合竞价等数据;
data test1;
set test;
if hour=9 & minute<=30 then delete;
if hour=13 & minute<=5 then delete;
if hour=15 & minute>15 then delete;
if hour >15 then delete;
run;
*计算单位分钟内，价格变动引起的成交量变动量:amount_price;
proc sql;
create table test2 as
select distinct
futurecode,date,hour,minute,
sum(dif_amount)/sum(dif_price) as amount_price
from test1
group by hour, minute;
quit;
*填补缺失值,利用缺失值前面的数值填补该缺失值;
Data new;
set test2;
time=input(catx(':',hour,minute),time5.);
format time time5.;
Retain xx ;
if not missing(amount_price) then xx=amount_price;
drop hour minute amount_price;
rename xx=amount_price;
run;
/*计算5分钟内价格变动造成的成交量变动*/;
data new3;
set test2;
flag=ceil(_n_/5);*建立标识变量;
run;
*根据标识变量进行汇总5分钟内地amount_price::m5_amount;
proc sql;
create table need as
select * ,
sum(amount_price) as m5_amount
from new3
group by flag;
quit;
*proc sort，保留一个m5_amount汇总值;
proc sort data=need;
by hour minute m5_amount;
run;
data need2;
set need;
by m5_amount notsorted;
if last.m5_amount then output;
run;
data need3;
set need2;
time=input(catx(':',hour,minute),time5.);
format time time5.;
keep time m5_amount;
run;
*图示5分钟价格变动引起的成交量变动情况;
proc sgplot data=need3;
title '5分钟价格变动引起的成交量变动';
vbar time /response=m5_amount;
run;
图示：
