I just discovered that python can be run through Wharton's SSH connection! I know that I can run python commands from within R with Rpy, and I can use SSH through R, so can I write a python program in R to query COMPUSTAT? Super cool if so; I'm investigating. Tell me if you know, please.
I'm hoping I can take this approach rather get into the SAS or FORTRAN programs. SAS looks understandable enough, but its just so ugly.
Edit: there's an SQL proc in SAS which lets you use just plane-jane SQL, so I'll probably end up using that. But it would be so much cooler to do it all within R.