Context switching and the security function

The security function enables scripts to request data from symbols and/or resolutions other than the ones a script is running on.

Let’s assume the following script is running on an IBM chart at 1 minute. It will display the close price of the IBM symbol, but at 15 minutes resolution.

//@version=4
study("Example security 1", overlay=true)
ibm_15 = security("NYSE:IBM", "15", close)
plot(ibm_15)
../_images/Chart_security_1.png

The security function’s first argument is the name of the requested symbol. The second argument is the required resolution and the third one is an expression which will be calculated on the requested series within the security call.

The name of the symbol can be defined using two variants: with a prefix that contains the exchange (or data provider), or without it. For example: "NYSE:IBM", "BATS:IBM" or "IBM". When an exchange is not provided, BATS will be used as the default. The current symbol name is stored in the syminfo.ticker and syminfo.tickerid built-in variables. syminfo.ticker contains the value of the symbol name without its exchange prefix, for example "MSFT". syminfo.tickerid contains the value of the symbol name with its exchange prefix, for example, "BATS:MSFT" or "NASDAQ:MSFT". It is recommended to use syminfo.tickerid to avoid ambiguity in the values returned by security.

The second argument of the security function, resolution (i.e., the timeframe), is also a string. All intraday resolutions are defined using a number of minutes. The lowest resolution is one minute and is indicated by the literal "1". It is possible to request any [1] number of minutes: "5", "10", "21", etc. Hourly resolution is also set by minutes [2]. For example, the following lines signify one hour, two hours and four hours respectively: "60", "120", "240". A resolution with a value of 1 day is indicated by "D" or "1D". It is possible to request any number of days: "2D", "3D", etc. Weekly and Monthly resolutions are set in a similar way: "W", "1W", "2W", …, "M", "1M", "2M". "M" and "1M" denote the same monthly resolution, and "W" and "1W" the same weekly resolution. The third parameter of the security function can be any arithmetic expression or a function call, which will be calculated in the context of the chosen series. The resolution of the main chart’s symbol is stored in the timeframe.period built-in variable.

With the security function, users can view a 1 minute chart while displaying an SMA (or any other expression) from any other resolution (i.e., daily, weekly, monthly):

//@version=4
study(title="High Time Frame MA", overlay=true)
src = close, len = 9
out = sma(src, len)
out1 = security(syminfo.tickerid, 'D', out)
plot(out1)

One can declare the following variable:

spread = high - low

and calculate it at 1 minute, 15 minutes and 60 minutes:

spread_1 = security(tickerid, '1', spread)
spread_15 = security(tickerid, '15', spread)
spread_60 = security(tickerid, '60', spread)

The security function returns a series which is then adapted to the time scale of the current chart’s symbol. This result can be either shown directly on the chart (i.e., with plot), or used in further calculations. The “Advance Decline Ratio” script illustrates a more involved use of security:

//@version=4
study(title = "Advance Decline Ratio", shorttitle="ADR")
ratio(t1, t2, source) =>
    s1 = security(t1, timeframe.period, source)
    s2 = security(t2, timeframe.period, source)
    s1 / s2
plot(ratio("USI:ADVN.NY", "USI:DECL.NY", close))

The script requests two additional securities. The results of the requests are then used in an arithmetic formula. As a result, we have a stock market indicator used by investors to measure the number of individual stocks participating in an upward or downward trend.

Barmerge gaps and lookahead

There are two switches that define how data requested with security will be mapped to the current timeframe.

The first one, gaps, controls gaps in data. With the default value barmerge.gaps_off, data is merged continuously (without na gaps). All gaps, if any, are filled with the previous nearest non-na value. If barmerge.gaps_on is used, then merged data may contain gaps in the form of na values.

The second switch, lookahead, was added in Pine Script version 3. The parameter has two possible values: barmerge.lookahead_off and barmerge.lookahead_on to respectively switch between the new, default behavior of security, and the old behavior dating from Pine v1 and v2.

This example shows the difference on a 5 minutes chart:

//@version=4
study('My Script', overlay=true)
a = security(syminfo.tickerid, '60', low, lookahead=barmerge.lookahead_off)
plot(a, color=color.red)
b = security(syminfo.tickerid, '60', low, lookahead=barmerge.lookahead_on)
plot(b, color=color.lime)
../_images/V3.png

The green line on the chart is the low price of an hourly bar that is requested with lookahead on. It’s the old behavior of the security function. The green line based on historical data is displayed at the price level of an hourly low right after a new hourly bar is created (dotted blue vertical lines).

The red line is a low price of an hourly bar that is requested with lookahead off. In this case the requested low price of an hourly historical bar will be given only on the last minute bar of the requested hour, when an hourly bar’s low won’t return future data.

The fuchsia dotted line represents the beginning of real-time data. You can see that barmerge.lookahead_on and barmerge.lookahead_off behave the same way on real-time data, i.e., as barmerge.lookahead_off does.

Understanding lookahead

There are many published scripts using the following code:

//@version=2
//...
a = security(tickerid, 'D', close[1]) // It's barmerge.lookahead_on, because version is 2

In this case the close[1] expression fetches the close of the previous day, so the construction does not use future data.

In Pine v3 or later, we can rewrite this in two different ways, using barmerge.lookahead_on or barmerge.lookahead_off. If you use barmerge.lookahead_on, then it’s quite simple:

//@version=4
//...
a = security(syminfo.tickerid, 'D', close[1], lookahead=barmerge.lookahead_on)

Because the original construction doesn’t use future data, it is possible to rewrite it using barmerge.lookahead_off. If you use barmerge.lookahead_off, the script is more complex but shows how the lookahead parameter works:

//@version=4
//...
indexHighTF = barstate.isrealtime ? 1 : 0
indexCurrTF = barstate.isrealtime ? 0 : 1
a0 = security(syminfo.tickerid, 'D', close[indexHighTF], lookahead=barmerge.lookahead_off)
a = a0[indexCurrTF]

When an indicator is based on historical data (i.e., barstate.isrealtime is false), we take the current close of the daily resolution and shift the result of security function call one bar to the right in the current resolution. When an indicator is calculated on real-time data, we take the close of the previous day without shifting the security data.

Requesting data of a lower timeframe

security function was designed to request data of a timeframe higher than the current chart timeframe. On a 60 minutes chart, this would mean requesting 240, D, W, or any higher timeframe.

It is not recommended to request data of a timeframe lower that the current chart timeframe, for example 1 minute data from a 5 minutes chart. The main problem with such a case is that some part of a 1 minute data will be inevitably lost, as it’s impossible to display it on a 5 minutes chart and not to break the time axis. In such cases the behavior of security can be rather unexpected. The next example illustrates this:

// Add this script on a "5" minute chart
//@version=4
study("Lookahead On/Off", overlay=true, precision=5)
l_on = security(syminfo.tickerid, "1", close, lookahead=barmerge.lookahead_on)
l_off = security(syminfo.tickerid, "1", close, lookahead=barmerge.lookahead_off)
plot(l_on, color=color.red)
plot(l_off, color=color.blue)
../_images/SecurityLowerTF_LookaheadOnOff.png

This study plots two lines which correspond to different values of the lookahead parameter. The red line shows data returned by security with lookahead=barmerge.lookahead_on. The blue line with lookahead=barmerge.lookahead_off. Let’s look at the 5 minutes bar starting at 07:50. The red line at this bar has a value of 1.13151 which corresponds to the value of the first of the five 1 minute bars that fall into the time range 07:50–07:54. On the other hand, the blue line at the same bar has a value of 1.13121 which corresponds to the last of the five 1 minute bars of the same time range.

Footnotes

[1]Actually the highest supported minute resolution is “1440” (which is the number of minutes in 24 hours).
[2]Requesting data of "1h" or "1H" resolution would result in an error. Use "60" instead.
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