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SCAN INTERFACE
SCAN PROPERTIES

A Scan is a specification for searching through all of the instruments in a particular quote pag to identify those whose current or historical market data exhibit defined characteristics. The result of a scan is a quote page that lists the instruments that match the criteria requested in the scan. Also noted in the resultant quote page are the quantitative values for the requested criteria. A scan can also be considered a "signal", in other words, a specification of some market related criteria that the user considers meaningful as a trading signal to buy or sell.   Scans can be shown historically in a chart window with each bar marked with a distinctive marker to signify that the scan criteria were met at that bar.

For an overview of the Scan Interface, click here.

Scan Objects, like charts, quote pages, portfolios and other Investor/RT objects have various properties. These include:

^Name
A user specified name up to 31 characters in length containing alphabetic characters and underscores. Scan names may not contain numeric digits, spaces, or other special characters.

^{Source Quote Page}
Each scan operates on (scans) the data for each instrument in the designated source quote page. The quote page that results from a scan operation (the resultant quote page) is named with the name of the scan. A scan's source quote page may be any system or user define quote page, or even a quote page produced as the resultant quote page from some other scan object.

^{Scan Time frame}
The scan request is interpreted according to the user specified time frame (daily, weekly, monthly, tick, intra-day 1 minute, etc.) Version 2.0 of Investor/RT supports only the daily time frame.

^{Scan Elements}
Each scan object has one or more scan elements. A scan element is a property of an instrument (e.g. PE Ratio, 52-week-high), or a bar data value (e.g. high, low, close, etc.), or a technical indicator calculated from the historical data for each instrument.

^{Scan Reques}t (Signal)
Each scan object has a scan request composed by the user in the scan request language. The scan request language (SRL) is a language for stating a logical condition that must be true for an instrument to be accepted by the scan. Scan requests formulated in the SRL are expressions composed of scan elements, numbers, and operators as described below.

^{Scan Request Language Notation}
The following is a list of the scan elements that may be selected for use in formulating a scan request. There are three kinds of scan elements: historical properties, fixed properties, and technical indicators. Historical properties and technical indicators have a "current" value and a historical value some number of days (bars) ago. Fixed properties are properties of an instrument for which Investor/RT has only the "current" value. Each scan element has a "token", an abbreviated name used to reference the scan element when writing expressions in the SRL.

Tokens for Historical Properties:

When the token for a historical scan element is suffixed with one or more digits, the numeric suffix is interpreted to mean the value of the scan element that number of bars (days) ago. For example CL5 is a "qualified token" that means the closing price 5 bars (days) ago.

Thus for any number n:

Fixed Properties:

The following scan tokens are textual items that can be tested using the "=" operator in scan requests. Wildcard matching is supported where ? represents any single character and * represents any string of 0 or more characters. For example, the scan criterion NAME = "*Put*" would identify any instrument having the word "Put" in the security name. The scan criterion TICKER = "????X" would identify all instruments having 5 letter ticker symbols ending with an X, while TICKER = "??" would identify all instruments with two letter tickers.

70 additional fundamental indicators available from Dial/Data.

Unlike historical scan elements like CL, fixed properties only have a current value. The tokens for fix properties may not be qualified by a number.

^{Technical Indicators and associated preferences}

Like historical properties, all technical indicators can be qualified by suffixing a number to the name, e.g. MACD1 means the value of the MACD oscillator yesterday. Note that the preferences for each technical indicator name are specified elsewhere. The specification of technical indicator preferences is discussed in the scan user interface section.

^{Scan Request Language operators}
There are three kinds of operators in the Scan Request Language: logical operators, relational operators, and arithmetic operators.

Arithmetic operators are addition, subtraction, multiplication, and division, represented by the operators +, -, *, / and ^ respectively. Arithmetic operators are used to compute values from scan elements. Some sample arithmetic operations follow:

The result of evaluating an arithmetic express is an arithmetic value that can then be compared to other arithmetic values using relational operators.

Relational Operators

Some sample relational expressions are:

Logical Operators
The result of evaluating a relational expression is true or false. All valid scan requests can be evaluated as true or false. To formulate more complex scan requests, relational expressions can be tested in combination with other relational expressions using logical operators. Logical operators are (1) logical and, (2) logical or, and (3) logical not.

The logical and operator may be written as "AND", "and", "&," or "&&". The scan request expression "x and y" is true if and only if expressions x and y are both evaluated as true.

The logical or operator may be written as "OR", "or", "|" or "||". The scan request expression "x or y" is true if either x or y are evaluated as true.

The logical not operator may be written as "NOT", "not", or "!". The scan request expression NOT x is true if and only if the express x is evaluated as false.

Special Functions
There are several special built-in functions that extend the scan language in useful ways by performing arithmetic or statistical calculations.

MAX(RSI4) > 70

(RSI > 70 or RSI1>70 or RSI2>70 or RSI3>70 or RSI4 > 70)

Numbers
Any string of consecutive digits, with or without a decimal point, can be used in a scan request for arithmetic calculations and in relational comparisons. Numbers prefixed with a minus sign are interpreted as negative numbers. Numbers suffixed with the lower case letter k or m are multiplied by a thousand or a million respectively, e.g. VOL > 3.2m is equivalent to VOL > 3200000. Note that numbers may not contain commas.

Parentheses and other Punctuation
The Scan Request Language supports expressions of arbitrary complexity. Parentheses may be used to enclose any expression to improve readability and to assure the correct interpretation of the scan request. If you wish to insert a comment into the scan request, terminate the scan request with a semicolon. Any characters entered to the right of the semicolon are treated by Investor/RT as commentary.

Scan User Interface
Scan objects may be viewed, modified, or created in Investor/RT using the Scan Setup window. To access the Scan Setup window, click the Scan icon on the main toolbar. A list of existing scan objects will appear. Choose the one you wish to work with and press OK or choose New and click OK to bring up an empty Scan Setup window for defining a new scan. A pop up list button at the top left of the window provides quick access to any previously saved scan objects. Choose "New Scan Definition" for this list at any time to start a new scan request.

Defining Scan Objects.
The first step in defining a scan is to choose the scan elements you wish to use in the scan request. A list of available scan elements appears on the left side of the window in a scrollable list. Double-click items in this list and they will appear in the scan element spreadsheet on the right side of the window. When you choose a technical indicator scan element, you will first be prompted to set the preferences for the technical indicator chosen. When a technical indicator has been chosen the preferences for the technical indicator are shown in the scan element spreadsheet on the right.

The preferences for any technical indicator scan element may be adjusted at any time by double-clicking on the technical indicator name in the scan element spreadsheet. A technical indicator may be chosen more than once from the list on the left, each time with a different set of preferences. If you do this, be sure to assign each indicator a unique name by editing the name in the scan element spreadsheet. For example, you could add the MA moving average technical indicator twice, once with a 100 day period, and once with a 25 day period. To distinguish between the two moving averages in the scan request language, adjust the names to say, MAa and MAb. Note that the adjusted scan element name must be composed of alphabetic characters or the underscore character and may be up to 31 characters in length.

The second step is the write the scan definition. Names, operators and parentheses may be entered by clicking the mouse on the various buttons arrayed above the scan request entry box. Clicking on a scan element name in the spreadsheet causes a button to appear with that name. Clicking that button inserts the scan element name into the entry box for you. If you prefer you can type in the request manually. Note that scan element names are case sensitive and must be entered exactly as listed in the scan element spreadsheet on the right.

The scan entry area is large enough to accommodate a very lengthy request or some commentary about the request. The scan request entry box can accept up to 500 characters of text. If you wish to insert a comment into the scan request, terminate the scan request with a semicolon. Any text entered after the semicolon is treated by Investor/RT as commentary and is saved with the scan request for future reference. For example, a scan request entry box may read:

HI4
Press the "Check" button and Investor/RT will analyze the scan request, report any errors it finds or display the message "Scan request is okay" in the main toolbar message area.

Set the source quote page for the scan by pressing the QP button in the lower left corner of the Scan Setup window. A list of available quote pages appears. Pick the one you want and press OK. The selected quote page defines the list of instruments to be scanned. Set the time frame for the scan using the pop up list button in the upper right.

To save the scan object in the database, press the Save button. If the scan request is a new one, you will be asked to provide a name for the scan. Scan names must be alphabetic. If you enter spaces in the name, they will automatically be changed to underscores. The newly saved scan object is added to the Objects menu in the Scans sub menu.

To run the scan, press the Run button. Investor/RT checks the scan request and, if no errors are found, it begins examining the data for each instrument in the source quote page according to the scan request. The message area of the main toolbar will keep you informed of that progress of the scan.

When the scan completes, if any instruments were found a quote page will appear showing the list of instruments that "passed" the scan request. Sometimes, instruments are encountered during the scan that have insufficient historical data on file to evaluate the scan request. If that is the case, a message box will appear stating the number of rejections that were based on insufficient data.

The resultant quote page will have the same name as the scan object. The quote page will be automatically formatted to show the scan elements and the results of the calculations performed during the scan request for each instrument. The resultant quote page is like any other quote page. You may save it for future reference, use it to perform a slide show on the list of instruments; you can even use the resultant quote page as the source quote page for another scan object.

The resultant quote page will sometimes have one or more "dynamic columns" of data that list values of technical indicators, arithmetic calculations, and historical bar data items. For example, the request

HI4
will list columns labeled HI4, HI3, HI2 and HI1 showing the high prices for each instrument for the previous 4 days. These "dynamic columns" are created "on the fly" by Investor/RT whenever a scan is run. When you run another scan, the dynamic columns are reassigned according to the new scan request. Please keep this in mind. The dynamic columns that appear in a scan result quote page are valid only until the next scan is run.

Performance Issues.

A scan request can take a few seconds or several minutes, depending on the nature of the scan request and the number of instruments in the source quote page. Scan requests that use only fixed properties and unqualified current price scan elements run in a second or so because they make no reference to historical pricing data. Scan requests that contain technical indicators or qualified historical data references take considerably longer. The order of the comparisons in a scan request can also affect the time it takes to execute the request. for example, consider these two equivalent requests:

CL <= 50 and MA5 < MA
MA5
where MA represents a 100-period simply moving average technical indicator. The first request will run faster since it can reject instruments with current prices over $50 without having to calculate the moving average. The second request always calculates the moving average first and then rejects those instruments that pass the moving average test that are over $50.

If you wish to see Investor/RT's analysis of the scan request and the calculation order for the scan request, click the "Check" button in the Scan Setup window. Then choose File:Open:Message Log. The message log will show the details of the scan requests and the calculation order to be used when the scan is run.

Miscellaneous.
Two special technical indicators, "Relative Moving Average" (RMA) and "Statistics" (STAT) have been added to Investor/RT to provide useful technical calculations for use in formulating scan requests. The RMA indicator is configured just like the moving average (MA) technical indicator but the values for each bar (day) are divided by the closing price for that bar. A value of 1.0 indicates that the closing price was the same as the moving average on that day. Values greater than 1 indicate the price was about the moving average and by how much, e.g. 1.11 means the price was 11% above the moving average. Similarly values below 1 indicate the price is below the moving average, e.g. .94 means the price is 6% below the MA. The expression

RMA1 <1 and RMA> 1.03

would identify issues whose closing price in the current trading session move up through the moving average and now exceed the moving average by at least 3%.

The "Statistics" function allows reference to five simple but useful statistical measures: maximum, minimum, total, average, and standard deviation. When the STAT technical indicator is chosen from the list of functions, the preferences window appears in which you may specify which statistical value you want, the period, and which price value to use. After specifying the preferences, the new scan element will appear in the scan element spreadhsheet with the name STAT. The preferences column will show what the calcuation is. Typically, you would change the name STAT to a meaningful name, like MAX, MIN, STDDEV, etc. Using the STAT function you can easily include measures like the highest high in the last 250 periods. For data services that do not transmit a 52 week high value, this provide the value by inspecting the historical data. The standard deviation can useful in ranking the volatility of issues. Define STDDEV as the standard deviation statistics on the closing price with a period of say, 100. The use a scan request such as:

STDDEV/CL > 0

This will result is a quote page with data columns containing standard deviation, closing price, and the ratio of standard deviation and the close. Then sort the issues in the quote in ascending or descending sequence by the ratio to rank the list by a simple price volatility measure.

As special instrument property, called BARS, may also be used in scan requests. The value of this property for any instrument is the number of bars (days) that are stored on the database for the instrument. Thus the scan request expression

BARS <50

will scan for any instrument have less than 50 days of historical data on file.