SAS Return data from the last available 5 days - date

Question

I have a list of intra-day prices at 9am, 10am, 11am etc. for each day (which are in number formats such as 15011 15012 etc.)
I want to only keep the observations from the last available 5 days and the next 5 available days from the date 't' and delete everything else.
Is there a way to do this?
I tried using
if date < &t - 5 or date > &t + 5 then delete;
However, since there are weekends/holidays I don't get all the observations I want.
Thanks a lot in advance!

Answer 1

Not much info to go on, but here is a possible solution:
/* Invent some data */
data have;
do date=15001 to 15020;
do time='09:00't,'10:00't,'11:00't;
price = ranuni(0) * 10;
output;
end;
end;
run;
/* Your macro variable identifying the target "date" */
%let t=15011;
/* Subset for current and following datae*/
proc sort data=have out=temp(where=(date >= &t));
by date;
run;
/* Process to keep only current and following five days */
data current_and_next5;
set temp;
by date;
if first.date then keep_days + 1; /* Set counter for each day */
if keep_days <= 6; /* Days to keep (target and next five) */
drop keep_days; /* Drop this utility variable */
run;
/* Subset for previous and sort by date descending */
proc sort data=have out=temp(where=(date < &t));
by descending date;
run;
/* Process to keep only five previous days */
data prev5;
set temp;
by descending date;
if first.date then keep_days + 1; /* Set counter for each day */
if keep_days <= 5; /* Number of days to keep */
drop keep_days; /* Drop this utility variable */
run;
/* Concatenate together and re-sort by date */
data want;
set current_and_next5
prev5;
run;
proc sort data=want;
by date;
run;
Of course, this solution suggests that your starting data contains observations for all valid "trading days" and returns everything without doing date arithmetic. A much better solution would require that you create a "trading calendar" dataset with all valid dates. You can easily deal with weekends, but holidays and other "non-trading days" are very site specific; hence using a calendar is almost always preferred.
UPDATE: Joe's comment made me re-read the question more carefully. This should return a total of eleven (11) days of data; five days prior, five days following, and the target date. But still, a better solution would use a calendar reference table.

Answer 2

Try this
/* Get distinct dates before and after &T */
proc freq data=mydata noprint ;
table Date /out=before (where=(Date < &T)) ;
table Date /out=after (where=(Date > &T)) ;
run ;
/* Take 5 days before and after */
proc sql outobs=5 ;
create table before2 as
select Date
from before
order by Date descending ;
create table after2 as
select Date
from after
order by Date ;
quit ;
/* Subset to 5 available days before & after */
proc sql ;
create table final as
select *
from mydata
where Date >= (select min(date) from before2)
and Date <= (select max(date) from after2)
order by Date ;
quit ;