SAS Combine Quotes at the Same Price and Time into One

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Hi guys,

I am a green hand in SAS. I just ask a basic question in SAS.

My superviser asked me to combine trades and quotes data at the same time and price into one.

I buy a book which is "Using SAS in Financial Research". I followed the code in 10.1 and I got the trades data, but for the quotes data, I tried it servaral times but I still could not get it as some errors exsiting. Would you please help me to check it.  The code and log I put blew:

Code:

LIBNAME ECLIB000 "C:\Users\Desktop\Data\Original";
/*Data Source: ECLIB000.gcc1_quotes */
proc sort data= ECLIB000.gcc1_quotes out=quotes;
by _RIC Date Time Type;
proc means data=quotes noprint;
by _RIC Date Time Type;
output out=adjquotes (rename=(_freq_=numquotes) drop=_type_)
sum(Bid_Size Ask_Size)=Bid_Size


LOG:
ERROR: Expecting page 2617, got page -1 instead.
ERROR: Page validation error while reading ECLIB000.GCC1_QUOTES.DATA.
ERROR: File ECLIB000.GCC1_QUOTES.DATA is damaged. I/O processing did not complete.
NOTE: The SAS System stopped processing this step because of errors.
NOTE: There were 332202 observations read from the data set ECLIB000.GCC1_QUOTES.
WARNING: The data set WORK.QUOTES may be incomplete. When this step was stopped there were 0 observations and 8 variables.
WARNING: Data set WORK.QUOTES was not replaced because this step was stopped.
NOTE: PROCEDURE SORT used (Total process time):
real time 0.03 seconds
cpu time 0.07 seconds

ERROR: Failure encountered before internal or external sort determination.
20 proc means data=quotes noprint;
21 by _RIC Date Time Type;
22 output out=adjquotes (rename=(_freq_=numquotes) drop=_type_)
23 sum(Bid_Size Ask_Size)=Bid_Size Ask_Size;
24
25



I appreciate for your help.

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关键词：combine quotes Price Quote time question quotes