Question

This is somewhat complex (well to me at least).

Here is what I have to do:
Say that I have the following dataset:

date    price   volume
02-Sep  40  100
03-Sep  45  200
04-Sep  46  150
05-Sep  43  300

Say that I have a breakpoint where I wish to create an interval in my dataset. For instance, let my breakpoint = 200 volume transaction.

What I want is to create an ID column and record an ID variable =1,2,3,… for every breakpoint = 200. When you sum all the volume per ID, the value must be constant across all ID variables.

So using my example above, my final dataset should look like the following:

date    price   volume  id
02-Sep  40  100 1
03-Sep  45  100 1
03-Sep  45  100 2
04-Sep  46  100 2
04-Sep  46  50  3
05-Sep  43  150 3
05-Sep  43  150 4 

(last row can miss some value but that is fine. I will kick out the last id)

As you can see, I had to “decompose” some rows (like the second row for instance, I break the 200 into two 100 volume) in order to have constant value of the sum, 200, of volume across all ID.

Answer 1

Looks like you’re doing volume bucketing for a flow toxicity VPIN calculation. I think this works:

%let bucketsize = 200;

data buckets(drop=bucket volume rename=(vol=volume));
    set tmp;
    retain bucket &bucketsize id 1;

    do until(volume=0);
        vol=min(volume,bucket);
        output;
        volume=volume-vol;
        bucket=bucket-vol;
        if bucket=0 then do;
            bucket=&bucketsize;
            id=id+1;
        end;
    end;
run;

I tested this with your dataset and it looks right, but I would check carefully several cases to confirm that it works right.