You can think of a macro as a procedure in which the body of the procedure is substituted whenever invoked. Thus invoking macros entails changing the source code as it is being parsed. Expanding macros at the same time you parse code is a tricky proposition; look at Tex or Tcl to see some of the issues involved. Generally it is easier to make your compiler two-pass, one for macro expansion and one for parsing the resulting code.

-Mark