There's technically no such thing as "prices" in financial markets - order books run on bids (prices buyers are willing to pay) and asks (prices sellers are willing to sell at). It is common however to use the mid-point between these two prices as a measure of equilibrium "price", and is a safe assumption if you're not doing any high frequency stuff where spreads are a big concern. There should also be a 'close' column in the data, which is also calculated with the mid-point in LEAN.
Open, High, Low, Close refers to a way of aggregating/representing prices over a period of time. For instance, the OHLC of a 1-minute bar at 12:00 PM refers to the Open (starting price at 11:59 AM), High (highest price in between 11:59 AM - 12:00 PM), Low, and Close (ending price at 12:00 PM).
Short version: Prices typically refer to closing prices, in which case you'd use close := ( askclose + bidclose) / 2. But you should experiment with using different ones for the indicators.