Question

Answer

Let's look at the basic token, "HI" (High Price), as all other tokens will act in the same manner.  When performing a Scan, regardless of periodicity, the token "HI" is going to refer to the high prices of the most recent bar of that periodicity.  Similarly, the token "HI.1" is going to refer to the high price of the next to last bar.  "HI.2" would get the high of the bar before that, etc.

The key question is, "When does a new bar come into existence?".  And the general answer to that question is "As soon as a tick/trade occurs in a new timeframe".

Let's take a specific example where we're scanning daily data.  The stocks we're scanning trade on a session from 9:30am to 4:00pm.  On Tuesday morning at 9:29, the token HI will return the high of Monday's daily bar.  HI.1 would in turn get Friday's high. HI.2 would get last Thursday's high, etc.  When the session opens at 9:30, and then the first trade comes in on any symbol, then at that instant, HI becomes Tuesdays high, HI.1 becomes Monday's high, HI.2 Friday's high, etc.  This would remain the case for approximately 24 hours until the first trade comes in on Wednesday.  The value of HI will likely change throughout Tuesday's session, but HI will always be referring to Tuesday's high.

This same concept is applicable to all periodicities, not just daily.  Take a 5-minute periodicity for example, from 9:30 to 9:35, the token HI will give the high of the first 5 minute bar of the session (and that value will likely change as the bar forms).  Once the first tick/trade occurs after 9:35, then HI now references the high of the 9:35 - 9:40 bar and HI.1 the high of the 9:30 to 9:35 bar.

This concept also applies to all historical tokens, not just HI.  That includes tokens such as CL, OP, LO, VO, VMA, MACD, RSI, CCI, etc.