Assuming the files have a common layout, you should not import them with PROC IMPORT
or do loops. You should read them all in with one datastep. IE:
data want;
length the_file $500;
infile "f:\data\*.csv" dlm=',' lrecl=32767 dsd truncover firstobs=2 filename=the_file;
input
myvar1 myvar2 myvar3 myvar4;
stock_ticker=scan(the_file,'\',-1); *or whatever gets you the ticker name;
run;
Now, if they don't have identical layouts, or there is some complexity to the readin, you may need a more complex input statement than that, but almost always you can achieve it this way. Do loops with lots of PROC IMPORTs will always be inefficient because of the overhead of the IMPORT.
If you don't want every .csv file in the folder (and can't write a mask for what you do want), or if you have a subset of layouts, you can use the FILEVAR option to read the files in from a common dataset. You could then branch into various input statements, perhaps, if needed.
data want;
set yfiles;
infile a filevar=filename;
if filevar [some rule] then do;
input ... ;
end
;else if ... then do;
input ... ;
end;
run;