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    Study Inputs Reference

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    An input is the data series a study runs on. RSI reads the close unless you point it at another input, such as volume or a peer z-score. The scanner has 83 inputs in 7 groups. Pick one in the study editor's input picker; the Short label is what the editor shows once you have chosen it.

    Which inputs you can pick depends on your plan: price and volume on every plan, microstructure and order book on Super Pro, and the rest on Super and Super Pro.

    Price

    A bar's open, high, low and close. Every plan can use these.

    InputShort labelUnitDescription
    CloseCloseUSDClosing price.
    HighHighUSDHighest price.
    LowLowUSDLowest price.
    OpenOpenUSDOpen price.

    Volume

    Shares traded in the bar. Every plan can use these.

    InputShort labelUnitDescription
    Dollar Volume$VolUSDClose price × volume, traded notional per bar. Use SMA(dollar_volume, N) to screen out illiquid names. Split-invariant (bars are split-adjusted). The current in-progress bar is partial, same as volume.
    VolumeVolSharesTotal volume traded.

    Performance

    The stock's return over a fixed calendar window. Needs Super or higher.

    InputShort labelUnitDescription
    1-Month Performance1M Perf%Percentage return over the last month vs fiscal calendar anchor.
    1-Year Performance1Y Perf%1-year percentage return vs fiscal calendar anchor.
    3-Year Performance3Y Perf%3-year percentage return vs fiscal calendar anchor.
    QTD PerformanceQTD Perf%Quarter-to-date percentage return vs fiscal calendar anchor.
    YTD PerformanceYTD Perf%Year-to-date percentage return vs fiscal calendar anchor.

    Advanced

    Counts and sizes of the trades inside each bar. Needs Super or higher.

    InputShort labelUnitDescription
    Avg Block Trade PriceBlk PriceUSDAverage price of block trades.
    Avg Block Trade SizeBlk SizeSharesAverage size of block trades.
    Avg Trade SizeAvg SizeSharesAverage trade size in the window.
    Total Block TradesBlk TradesCountNumber of block trades (large institutional orders).
    Total TradesTradesCountTotal number of trades in the window.
    Trades on Ask SideAsk TradesCountNumber of trades executed at the ask price.
    Trades on Bid SideBid TradesCountNumber of trades executed at the bid price.

    Cross-sectional

    How a stock's reading compares with its peers on the same day, as a z-score against the whole market, its sector or its industry. 0 is the group average; 2 is two standard deviations above it. Needs Super or higher.

    InputShort labelUnitDescription
    1M Perf Z (Industry)1M Z IndZ-ScoreCross-sectional z-score of 1-month performance vs industry.
    1M Perf Z (Market)1M Z MktZ-ScoreCross-sectional z-score of 1-month performance vs full market.
    1M Perf Z (Sector)1M Z SecZ-ScoreCross-sectional z-score of 1-month performance vs sector.
    1Y Perf Z (Industry)1Y Z IndZ-ScoreCross-sectional z-score of 1-year performance vs industry.
    1Y Perf Z (Market)1Y Z MktZ-ScoreCross-sectional z-score of 1-year performance vs full market.
    1Y Perf Z (Sector)1Y Z SecZ-ScoreCross-sectional z-score of 1-year performance vs sector.
    3Y Perf Z (Industry)3Y Z IndZ-ScoreCross-sectional z-score of 3-year performance vs industry.
    3Y Perf Z (Market)3Y Z MktZ-ScoreCross-sectional z-score of 3-year performance vs full market.
    3Y Perf Z (Sector)3Y Z SecZ-ScoreCross-sectional z-score of 3-year performance vs sector.
    Aggression Factor Z (Industry)Aggr Z IndZ-ScoreCross-sectional z-score of aggression factor vs industry.
    Aggression Factor Z (Market)Aggr Z MktZ-ScoreCross-sectional z-score of aggression factor vs full market.
    Aggression Factor Z (Sector)Aggr Z SecZ-ScoreCross-sectional z-score of aggression factor vs sector.
    Amihud Illiquidity Z (Industry)Amihud Z IndZ-ScoreCross-sectional z-score of amihud illiquidity vs industry.
    Amihud Illiquidity Z (Market)Amihud Z MktZ-ScoreCross-sectional z-score of amihud illiquidity vs full market.
    Amihud Illiquidity Z (Sector)Amihud Z SecZ-ScoreCross-sectional z-score of amihud illiquidity vs sector.
    Block Trade Intensity Z (Industry)Blk Int Z IndZ-ScoreCross-sectional z-score of block trade intensity vs industry.
    Block Trade Intensity Z (Market)Blk Int Z MktZ-ScoreCross-sectional z-score of block trade intensity vs full market.
    Block Trade Intensity Z (Sector)Blk Int Z SecZ-ScoreCross-sectional z-score of block trade intensity vs sector.
    Book Pressure Grad Z (Industry)Book P Z IndZ-ScoreCross-sectional z-score of book pressure gradient vs industry.
    Book Pressure Grad Z (Market)Book P Z MktZ-ScoreCross-sectional z-score of book pressure gradient vs full market.
    Book Pressure Grad Z (Sector)Book P Z SecZ-ScoreCross-sectional z-score of book pressure gradient vs sector.
    Garman-Klass Vol Z (Industry)G-K Z IndZ-ScoreCross-sectional z-score of garman-klass volatility vs industry.
    Garman-Klass Vol Z (Market)G-K Z MktZ-ScoreCross-sectional z-score of garman-klass volatility vs full market.
    Garman-Klass Vol Z (Sector)G-K Z SecZ-ScoreCross-sectional z-score of garman-klass volatility vs sector.
    Order Flow Toxicity Z (Industry)Tox Z IndZ-ScoreCross-sectional z-score of order flow toxicity vs industry.
    Order Flow Toxicity Z (Market)Tox Z MktZ-ScoreCross-sectional z-score of order flow toxicity vs full market.
    Order Flow Toxicity Z (Sector)Tox Z SecZ-ScoreCross-sectional z-score of order flow toxicity vs sector.
    Parkinson Vol Z (Industry)Park Z IndZ-ScoreCross-sectional z-score of parkinson volatility vs industry.
    Parkinson Vol Z (Market)Park Z MktZ-ScoreCross-sectional z-score of parkinson volatility vs full market.
    Parkinson Vol Z (Sector)Park Z SecZ-ScoreCross-sectional z-score of parkinson volatility vs sector.
    QTD Perf Z (Industry)QTD Z IndZ-ScoreCross-sectional z-score of QTD performance vs industry.
    QTD Perf Z (Market)QTD Z MktZ-ScoreCross-sectional z-score of QTD performance vs full market.
    QTD Perf Z (Sector)QTD Z SecZ-ScoreCross-sectional z-score of QTD performance vs sector.
    Shannon Entropy Z (Industry)Entropy Z IndZ-ScoreCross-sectional z-score of shannon entropy vs industry.
    Shannon Entropy Z (Market)Entropy Z MktZ-ScoreCross-sectional z-score of shannon entropy vs full market.
    Shannon Entropy Z (Sector)Entropy Z SecZ-ScoreCross-sectional z-score of shannon entropy vs sector.
    Trade Impact Ratio Z (Industry)Impact Z IndZ-ScoreCross-sectional z-score of trade impact ratio vs industry.
    Trade Impact Ratio Z (Market)Impact Z MktZ-ScoreCross-sectional z-score of trade impact ratio vs full market.
    Trade Impact Ratio Z (Sector)Impact Z SecZ-ScoreCross-sectional z-score of trade impact ratio vs sector.
    YTD Perf Z (Industry)YTD Z IndZ-ScoreCross-sectional z-score of YTD performance vs industry.
    YTD Perf Z (Market)YTD Z MktZ-ScoreCross-sectional z-score of YTD performance vs full market.
    YTD Perf Z (Sector)YTD Z SecZ-ScoreCross-sectional z-score of YTD performance vs sector.

    Microstructure

    Measures of how the stock trades inside each bar, from its trade-by-trade data. Each is a rolling z-score of the stock against its own history. Needs Super Pro or higher.

    InputShort labelUnitDescription
    Aggression FactorAggressionZ-ScoreRolling z-score normalized volume/trades ratio. High = large institutional trade sizes.
    Amihud IlliquidityAmihudZ-ScoreRolling z-score normalized Amihud illiquidity ratio. Measures price impact per unit of volume.
    Block Trade IntensityBlock Int.Z-ScoreRolling z-score normalized block trade intensity. Measures density of large institutional orders.
    Garman-Klass VolatilityG-K VolZ-ScoreRolling z-score normalized Garman-Klass volatility. Uses OHLC for efficient intra-bar volatility.
    Information DensityInfo DensityZ-ScoreRolling z-score normalized trades per price tick. High = intense battle at a price level.
    Parkinson VolatilityParkinson VolZ-ScoreRolling z-score normalized Parkinson volatility. Uses high/low to estimate intra-bar volatility.
    Participation AlignmentPart. AlignZ-ScoreRolling z-score normalized institutional conviction alignment. Aligns block trades with bar direction.
    Price Compression ScorePx Comp.Z-ScoreRolling z-score normalized body-to-range ratio. Near 0 = Doji/compression, near 1 = strong directional.
    Price Proximity AveragePx Prox.Z-ScoreRolling z-score normalized average proximity of trade price to ask. Higher = more aggressive buying.
    Spread Diff AverageSpread DiffZ-ScoreRolling z-score normalized average bid-ask spread width.
    Trade Impact RatioTrade ImpactZ-ScoreRolling z-score normalized trade impact ratio. Isolates price impact of raw order frequency.

    Order book

    Readings from the bids and offers waiting in the order book, each a rolling z-score of the stock against its own history. Needs Super Pro or higher.

    InputShort labelUnitDescription
    Ask Cancel-to-Fill RatioAsk C2FZ-ScoreRolling z-score normalized ask cancellations / ask fills at level 0.
    Ask Level 0 Relative StrengthAsk[0] RSZ-ScoreRolling z-score normalized strength of best ask vs rest of ask book.
    Ask Side Book SlopeAsk SlopeZ-ScoreRolling z-score normalized ask book slope. Steep = thin liquidity, flat = deep liquidity.
    Bid Cancel-to-Fill RatioBid C2FZ-ScoreRolling z-score normalized bid cancellations / bid fills at level 0.
    Bid Level 0 Relative StrengthBid[0] RSZ-ScoreRolling z-score normalized strength of best bid vs rest of bid book.
    Bid Side Book SlopeBid SlopeZ-ScoreRolling z-score normalized bid book slope. Steep = thin liquidity, flat = deep liquidity.
    Book Pressure GradientBook Press.Z-ScoreRolling z-score normalized net order book pressure from add/cancel/fill actions vs midpoint.
    Cancel Crossover RatioCancel XoverZ-ScoreRolling z-score normalized bid cancels / ask cancels at level 0.
    Fill-to-Cancel RatioFill2CancelZ-ScoreRolling z-score normalized fills / cancellations at level 0.
    Order Flow ToxicityFlow Tox.Z-ScoreRolling z-score normalized order flow toxicity at level 0.
    Shannon EntropyEntropyZ-ScoreRolling z-score normalized Shannon entropy of order book actions at level 0.
    Volume Adjusted MidpointVAMPZ-ScoreRolling z-score normalized VAMP. If VAMP > midpoint, book weight is pushing price up.

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