price (int offset) : var

priceOpen (int offset) : var

priceClose (int offset) : var

priceHigh (int offset) : var

priceLow (int offset) : var

marketVal (int offset) : var

marketVol (int offset) : var

Parameters:

Returns:

seriesO(): vars

seriesH(): vars

seriesL(): vars

seriesC(): vars

priceSet (int offset, var Open, var High, var Low, var Close)

priceQuote (var Timestamp, var Quote) : int

Parameters:

Returns:

priceRecord ()

Usage:

Remarks:

• At the initial run of the strategy before loading an asset, price functions return 0.
• If not otherwise mentioned, all prices are ask prices. This way stops, entry limits, or profit targets can be calculated without a distinction between long and short trades. Zorro automatically handles conversion from Ask to Bid when entering or exiting trades, calculating trade profit, or setting limit levels.
• The bid price is the ask price minus Spread; the pip value of a price is the price divided by the PIP variable. The current bid/ask mean price is priceClose() - 0.5*Spread. More variants of prices - i.e. the Center Price, the Typical Price, the Haiken Ashi Price etc. - can be found on the indicators page. Live prices can be switched between different types (f.i. quotes and trades) with the SET_PRICETYPE command when supported by the broker.
• When connected to a broker or exchange, prices are updated at any tick; when connected to an online price source, at any bar. Price outliers and stock splits are detected and can be evaluated with the PriceJump variable. Outliers are removed, splits are logged.
• If the LEAN flag is set and M1 historical data is used, open and close prices of a bar are not explicitely stored. They are derived from the mean prices of its first and last M1 tick.
• If LookBack is not set, it is automatically expanded to the biggest offset value. If offset is higher than the current bar number (Bar), the price of the first bar is returned.
• A series can be filled with prices by calling the series() function with the return value of the price function (see example).
• When using multiple time frames in the strategy (TimeFrame variable), the offset parameter gives the number of time frames rather than the number of bars. The function priceOpen returns the price from the begin of the time frame, priceClose from its end, priceHigh, priceLow the maximum and minimum price within the time frame, and price the current average of the time frame. Synchronizing time frames (TimeFrame = 0) to certain events or dates is not supported by price functions; use price series for that when required.
• The values returned by marketVol and marketVal depend on the broker API and are described on the specific broker page in this manual. Historical volume is often the sum of quote sizes or trade volumes of the current quote period or day. Live volume is often the accumulated trade volume of the current day or trading session. The functions return the current value when Offset is 0, otherwise the average of the time frame. Depending on which sort of raw volume they return, it can be converted by script to the total volume per time frame. For instance, to convert accumulated volume to per-minute volume, subtract the volume from 1 bar ago from the current volume, and divide by BarPeriod. See examples below.
• After switching to a different asset, the price functions automatically change to the prices of that asset. Artificial assets can be created by combining the prices from several real assets. An example can be found under Tips & Tricks.
• Prices are affected by Detrend flags.
• If the PEEK flag is set, price functions can peek into the future by using negative offsets. This is normally used for training machine learning algorithms (see advise) with historical price data. If PEEK mode is not set, negative offsets will generate an error message.
• In a TMF or tick function, priceClose() returns the last price quote, updated every tick when new price data becomes available. price() returns the price averaged over all received ticks of the current bar so far; therefore it is more 'jaggy' at the begin of the bar when few ticks were received yet, and more smooth towards the end of the bar period. priceHigh() and priceLow() return the highest and lowest price of the current bar so far, so their distance is small at the begin of the bar and wide towards the end.
• If .t1 data contains both ask and bid quotes, marketVal returns the recent ask-bid spread. In .t6 data it returns the fVal value. Set if(is(TESTMODE)) Spread = max(0,marketVal()); in the script for backtesting with variable spread when it is contained in the historical .t1 or .t6 data.
• An example of using the priceQuote function for simulating a HFT system can be found on Financial Hacker.

Examples:

BarPeriod = 60; // set up 1 hour bars (60 minutes)

TimeFrame = 4;
asset("EUR/USD");
vars EUR4Hs = series(price(0));	// create a series of 4 hour EUR mean prices
...
TimeFrame = frameSync(24);
asset("SPX500");
vars SPXDays = series(priceClose(0));	// create a series of daily S&P 500 close prices
TimeFrame = 1;
...

// get volume per time frame from volume per minute
var volumeSum()
{
  vars Vols = series(0,3); // shifted any TF
  Vols[1] += BarPeriod*marketVol(0); // sum up 1-min volumes
  return Vols[2];
}

// get volume per time frame from akkumulating market volume
var volumeDiff()
{
  vars Vols = series(0,-4); // static series
  Vols[0] = marketVol(0);
  Vols[2] += max(0,Vols[0]-Vols[1]); // sum up differences
  Vols[1] = Vols[0];
  if(frame(0)) { // end of TF
    Vols[3] = Vols[2];
    Vols[2] = 0;
  }
  return Vols[3];
}

// get stock volume from IB
brokerCommand(SET_PRICETYPE,2); // trade prices
var Vol = ifelse(Live && !is(LOOKBACK),volumeDiff(),volumeSum()); 

See also: