searching for data

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I am a new comer in writing shell scripts. I have the following problem:

I have a data file that I use as a key for searching my Master file. Both files are text files. Each line in the Master file is a record. Both files are sorted by the key. I would like to readaa line in the data file for the key, and then read scan the Master file for the line that contains the key and append that to a file.

I have the following script written:

cat datafile : ( while read line; do fgrep "$line" masterfile >> outputfile ; done )

This however, is very slow as I have about 2000 lines of key in my data file and about 10000 lines of records in my master file, and for each key I have to scan about 10000 lines.

Can I write a shell script to do the following:
read a line from masterfile
while more  key to read do
  read a line from data file
  while (key from masterfile < line from data file)
    read line from masterfile
  (end while)
  if line from masterfile contains key
    append to output file
  else
    append empty line to output file
  (endif)
(end while)