Trading Calendar and missing date for non-traded stocks

[Francois Durant]

Hi,

I have a dataset with daily stock prices that only records a price if the stock was traded that day. I also have a file containing all trading days. I would like to combine the 2 datasets (I'm hesitant to say merge in this context...) in a way that I create missing price observations if the stock was not traded. How can I do that?

Here is a sample:

trading_days
02/01/2014
03/01/2014
06/01/2014
07/01/2014
08/01/2014
09/01/2014
10/01/2014
13/01/2014
14/01/2014
15/01/2014
16/01/2014
17/01/2014
20/01/2014
21/01/2014
22/01/2014
23/01/2014
24/01/2014
28/01/2014
29/01/2014
30/01/2014
31/01/2014
03/02/2014
04/02/2014
05/02/2014
06/02/2014
07/02/2014
10/02/2014
11/02/2014
12/02/2014
13/02/2014
14/02/2014
17/02/2014
18/02/2014
19/02/2014
20/02/2014
21/02/2014
24/02/2014
25/02/2014
26/02/2014
27/02/2014
28/02/2014

Sample a stock for which dates are missing:

ticker    date    lasttradefortheday
atp    02/01/2014    .064
atp    06/01/2014    .067
atp    08/01/2014    .062
atp    10/01/2014    .064
atp    13/01/2014    .064
atp    14/01/2014    .065
atp    15/01/2014    .059
atp    17/01/2014    .059
atp    20/01/2014    .066
atp    21/01/2014    .065
atp    22/01/2014    .065
atp    23/01/2014    .062
atp    24/01/2014    .059
atp    28/01/2014    .059
atp    29/01/2014    .06
atp    30/01/2014    .06
atp    31/01/2014    .06
atp    03/02/2014    .058
atp    04/02/2014    .06
atp    05/02/2014    .06
atp    06/02/2014    .06
atp    07/02/2014    .06
atp    10/02/2014    .06
atp    12/02/2014    .06
atp    13/02/2014    .06
atp    14/02/2014    .06
atp    17/02/2014    .06
atp    18/02/2014    .06
atp    20/02/2014    .059
atp    24/02/2014    .063
atp    25/02/2014    .061
atp    26/02/2014    .062
atp    27/02/2014    .065
atp    28/02/2014    .063

I have 100s of stocks. I'd need to create these missing obervations for each of them. Thanks!

[Francois Durant]

Still thinking about that: Should I merge the trading calendar with every single stock through a loop, and then concatenate? Is there anything easier and more efficient? Thanks!

[Francois Durant]

Is there anyone that can help me "merging" the calendar with my dataset? Thank you in advance!

[Daniel Bela]

Dear Francois,

is this the same question as this one?

If yes: Double or cross posting will not increase Statalisters' capability nor desire to answer your question.

Please read the FAQ (also linked at the top of each page here) on how to post data examples (using -dataex-). I assume you did not receive an answer (yet) because most Statalist users do not fully understand your problem. At least this is the case for me: It remains unclear what the target data format you like to achieve looks like.

Can you provide an example on how the destination data should look like? I assume the command you're looking for is -joinby-, but without understanding what you want to achieve it is hard to tell.

Regards
Bela