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Something more like your code:

data_file_123="whatever"
PARAM="123"
VAR="data_file_${PARAM}"
[ -f "${!VAR}" ] && echo "The file ${!VAR} exists"

If you have a new enough ksh, you can do things like this:

$ NAME="VAR"
$ VAR="1234"
echo "${!NAME}"
1234
$ If you don't, it's going to be ugly:

$ data_file_123=sales.dat
$ PARAM="123"
$...