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:

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

priceQuote (var Timestamp, var Quote) : int

Parameters:

Returns:

priceRecord ()

Usage:

Remarks:

• All prices used for trading or indicators are normally Ask prices - no matter if for a long or short trade. This way, stops, entry limits or profit targets can be calculated without make 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 stop loss, take profit, or entry limits.
• The Bid price is the Ask price minus Spread; the pip value 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. Prices can be switched between different types (f.i. quotes and trades) with the SET_PRICETYPE command when supported by the broker.
• Price outliers and stock splits are detected and can be evaluated with the PriceJump variable. Outliers are removed.
• If the LEAN flag is set and M1 historical data is used, the open and close prices of a bar are the mean prices of its first and last M1 tick.
• At the initial run of the strategy before loading an asset, all price functions return 0 and LookBack is automatically expanded to the biggest offset value. N bars must have passed for accessing the price of N bars ago. If offset is higher than the current bar number (Bar), the price of the first bar is returned.
• 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 Hacks & Tricks.
• 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 Open price is taken from the begin of the time frame, the Close price from its end, and the High, Low, and mean prices are calculated from all bars belonging to the time frame.
• If Detrend is set to 2 or 3, the returned prices are detrended for removing trend bias from the simulation.
• If PEEK mode is set, price functions can peek into the future by using negative offsets. This is often required for generating the advisor AI function from 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.
• A series can be filled with prices by calling the series() function with the return value of the price function (see example).
• Historical volume is normally per minute (in T1 or M1 files) or per day (in D1 files). Live volume is normally the current accumulated trade volume of the day or the trading session; for converting it to per-minute volume, subtract the volume from 1 bar ago from the current volume, and divide by BarPeriod. Details about the returned values by marketVal and marketVol can be found on the specific broker page in this manual.
• 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.
• Arrays containing the complete historical prices are for special purposes accessible through AssetO, AssetH, AssetL, AssetC, AssetP. Note that using those prices an a backtest will produce peeking bias.

Example:

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

TimeFrame = 4;
asset("EUR/USD");
vars EUR4 = series(price(0));	// create a series of 4 hour EUR mean prices
...
TimeFrame = frameSync(24);
asset("SPX500");
vars SPXDay = series(priceClose(0));	// create a series of daily S&P 500 close prices
TimeFrame = 1;
...

See also: