Study Inputs Reference
The data sources a technical study can run on — price series, volume, trade data, microstructure and cross-sectional inputs.
Written By [Scanr.ai] Eoin
Last updated 2 months ago
Study Inputs Reference
The following data sources are available as inputs to any technical study. The input you choose determines what price or market data the study calculation runs on.
Price Inputs (4)
| Input | Unit | Description |
|---|---|---|
| Close | USD | Closing price |
| Open | USD | Open price |
| High | USD | Highest price |
| Low | USD | Lowest price |
Volume (1)
| Input | Unit | Description |
|---|---|---|
| Volume | Shares | Total volume traded |
Trade Data (requires live data plan) (7)
| Input | Unit | Description |
|---|---|---|
| Total Trades | Count | Total number of trades in the window |
| Total Block Trades | Count | Number of block trades (large institutional orders) |
| Trades on Ask Side | Count | Number of trades executed at the ask price |
| Trades on Bid Side | Count | Number of trades executed at the bid price |
| Avg Block Trade Size | Shares | Average size of block trades |
| Avg Block Trade Price | USD | Average price of block trades |
| Avg Trade Size | Shares | Average trade size in the window |
Performance (5)
| Input | Unit | Description |
|---|---|---|
| 1-Month Performance | % | Percentage return over the last month vs fiscal calendar anchor |
| QTD Performance | % | Quarter-to-date percentage return vs fiscal calendar anchor |
| YTD Performance | % | Year-to-date percentage return vs fiscal calendar anchor |
| 1-Year Performance | % | 1-year percentage return vs fiscal calendar anchor |
| 3-Year Performance | % | 3-year percentage return vs fiscal calendar anchor |
Microstructure (requires live data plan) (11)
| Input | Unit | Description |
|---|---|---|
| Price Proximity Average | Z-Score | Rolling z-score normalized average proximity of trade price to ask. Higher = more aggressive buying. |
| Spread Diff Average | Z-Score | Rolling z-score normalized average bid-ask spread width. |
| Amihud Illiquidity | Z-Score | Rolling z-score normalized Amihud illiquidity ratio. Measures price impact per unit of volume. |
| Trade Impact Ratio | Z-Score | Rolling z-score normalized trade impact ratio. Isolates price impact of raw order frequency. |
| Block Trade Intensity | Z-Score | Rolling z-score normalized block trade intensity. Measures density of large institutional orders. |
| Parkinson Volatility | Z-Score | Rolling z-score normalized Parkinson volatility. Uses high/low to estimate intra-bar volatility. |
| Garman-Klass Volatility | Z-Score | Rolling z-score normalized Garman-Klass volatility. Uses OHLC for efficient intra-bar volatility. |
| Price Compression Score | Z-Score | Rolling z-score normalized body-to-range ratio. Near 0 = Doji/compression, near 1 = strong directional. |
| Information Density | Z-Score | Rolling z-score normalized trades per price tick. High = intense battle at a price level. |
| Participation Alignment | Z-Score | Rolling z-score normalized institutional conviction alignment. Aligns block trades with bar direction. |
| Aggression Factor | Z-Score | Rolling z-score normalized volume/trades ratio. High = large institutional trade sizes. |
Order Book (requires live data plan) (14)
| Input | Unit | Description |
|---|---|---|
| Volume Adjusted Midpoint | Z-Score | Rolling z-score normalized VAMP. If VAMP > midpoint, book weight is pushing price up. |
| Ask Side Book Slope | Z-Score | Rolling z-score normalized ask book slope. Steep = thin liquidity, flat = deep liquidity. |
| Bid Side Book Slope | Z-Score | Rolling z-score normalized bid book slope. Steep = thin liquidity, flat = deep liquidity. |
| Book Pressure Gradient | Z-Score | Rolling z-score normalized net order book pressure from add/cancel/fill actions vs midpoint. |
| Bid Level 0 Relative Strength | Z-Score | Rolling z-score normalized strength of best bid vs rest of bid book. |
| Ask Level 0 Relative Strength | Z-Score | Rolling z-score normalized strength of best ask vs rest of ask book. |
| Order Flow Toxicity | Z-Score | Rolling z-score normalized order flow toxicity at level 0. |
| Ask Cancel-to-Fill Ratio | Z-Score | Rolling z-score normalized ask cancellations / ask fills at level 0. |
| Bid Cancel-to-Fill Ratio | Z-Score | Rolling z-score normalized bid cancellations / bid fills at level 0. |
| Fill-to-Cancel Ratio | Z-Score | Rolling z-score normalized fills / cancellations at level 0. |
| Cancel Crossover Ratio | Z-Score | Rolling z-score normalized bid cancels / ask cancels at level 0. |
| Shannon Entropy | Z-Score | Rolling z-score normalized Shannon entropy of order book actions at level 0. |
Cross-Sectional (42)
| Input | Unit | Description |
|---|---|---|
| 1M Perf Z (Market) | Z-Score | Cross-sectional z-score of 1-month performance vs full market |
| 1M Perf Z (Sector) | Z-Score | Cross-sectional z-score of 1-month performance vs sector |
| 1M Perf Z (Industry) | Z-Score | Cross-sectional z-score of 1-month performance vs industry |
| QTD Perf Z (Market) | Z-Score | Cross-sectional z-score of QTD performance vs full market |
| QTD Perf Z (Sector) | Z-Score | Cross-sectional z-score of QTD performance vs sector |
| QTD Perf Z (Industry) | Z-Score | Cross-sectional z-score of QTD performance vs industry |
| YTD Perf Z (Market) | Z-Score | Cross-sectional z-score of YTD performance vs full market |
| YTD Perf Z (Sector) | Z-Score | Cross-sectional z-score of YTD performance vs sector |
| YTD Perf Z (Industry) | Z-Score | Cross-sectional z-score of YTD performance vs industry |
| 1Y Perf Z (Market) | Z-Score | Cross-sectional z-score of 1-year performance vs full market |
| 1Y Perf Z (Sector) | Z-Score | Cross-sectional z-score of 1-year performance vs sector |
| 1Y Perf Z (Industry) | Z-Score | Cross-sectional z-score of 1-year performance vs industry |
| 3Y Perf Z (Market) | Z-Score | Cross-sectional z-score of 3-year performance vs full market |
| 3Y Perf Z (Sector) | Z-Score | Cross-sectional z-score of 3-year performance vs sector |
| 3Y Perf Z (Industry) | Z-Score | Cross-sectional z-score of 3-year performance vs industry |
| Aggression Factor Z (Market) | Z-Score | Cross-sectional z-score of aggression factor vs full market |
| Aggression Factor Z (Sector) | Z-Score | Cross-sectional z-score of aggression factor vs sector |
| Aggression Factor Z (Industry) | Z-Score | Cross-sectional z-score of aggression factor vs industry |
| Amihud Illiquidity Z (Market) | Z-Score | Cross-sectional z-score of amihud illiquidity vs full market |
| Amihud Illiquidity Z (Sector) | Z-Score | Cross-sectional z-score of amihud illiquidity vs sector |
| Amihud Illiquidity Z (Industry) | Z-Score | Cross-sectional z-score of amihud illiquidity vs industry |
| Parkinson Vol Z (Market) | Z-Score | Cross-sectional z-score of parkinson volatility vs full market |
| Parkinson Vol Z (Sector) | Z-Score | Cross-sectional z-score of parkinson volatility vs sector |
| Parkinson Vol Z (Industry) | Z-Score | Cross-sectional z-score of parkinson volatility vs industry |
| Garman-Klass Vol Z (Market) | Z-Score | Cross-sectional z-score of garman-klass volatility vs full market |
| Garman-Klass Vol Z (Sector) | Z-Score | Cross-sectional z-score of garman-klass volatility vs sector |
| Garman-Klass Vol Z (Industry) | Z-Score | Cross-sectional z-score of garman-klass volatility vs industry |
| Block Trade Intensity Z (Market) | Z-Score | Cross-sectional z-score of block trade intensity vs full market |
| Block Trade Intensity Z (Sector) | Z-Score | Cross-sectional z-score of block trade intensity vs sector |
| Block Trade Intensity Z (Industry) | Z-Score | Cross-sectional z-score of block trade intensity vs industry |
| Trade Impact Ratio Z (Market) | Z-Score | Cross-sectional z-score of trade impact ratio vs full market |
| Trade Impact Ratio Z (Sector) | Z-Score | Cross-sectional z-score of trade impact ratio vs sector |
| Trade Impact Ratio Z (Industry) | Z-Score | Cross-sectional z-score of trade impact ratio vs industry |
| Order Flow Toxicity Z (Market) | Z-Score | Cross-sectional z-score of order flow toxicity vs full market |
| Order Flow Toxicity Z (Sector) | Z-Score | Cross-sectional z-score of order flow toxicity vs sector |
| Order Flow Toxicity Z (Industry) | Z-Score | Cross-sectional z-score of order flow toxicity vs industry |
| Book Pressure Grad Z (Market) | Z-Score | Cross-sectional z-score of book pressure gradient vs full market |
| Book Pressure Grad Z (Sector) | Z-Score | Cross-sectional z-score of book pressure gradient vs sector |
| Book Pressure Grad Z (Industry) | Z-Score | Cross-sectional z-score of book pressure gradient vs industry |
| Shannon Entropy Z (Market) | Z-Score | Cross-sectional z-score of shannon entropy vs full market |
| Shannon Entropy Z (Sector) | Z-Score | Cross-sectional z-score of shannon entropy vs sector |
| Shannon Entropy Z (Industry) | Z-Score | Cross-sectional z-score of shannon entropy vs industry |