图示期货价格变动对成交量的影响

*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：