@Jafar_Chembatty: just a generic note on this issue, whenever you handle linked doctypes during the data import (in your case, these are Item and Price) , you should plan for step-by-step import. Linked data should go first (Items, in your case), and the data that links to it (Price entries, in your case) should follow in the next batch import step.
This is a general rule, and it is applicable to any doctype links. You may review Import Error while loading data from external files - #8 by gvyshnya where the similar case for Supplier Type and Supplier is discussed.