Get Speed of Price Change

[bc24fl]

Is their a builtin method that allows one to get the speed at which a price changed? Not really bid/ask change but when a price is changed as a result of taking liquidity. Say bid is 10 and ask is 11. I don't care about the speed at which they trade at 10 or 11 I care about the price when it changes to 9 or 12.

Any ideas to point me in the right direction would be appreciated.

My first thought is to use OnMarketData and inside create a timer that starts a timer at say 10 and stops it when price goes to 9 or 12. It feels hackish but I also don't know how this timer will act in market replay when running at full speed.

Thanks,

[NinjaTrader_ChrisL]

Hi bc24fl, thanks for your post.

I would not recommend doing this with the Time[] array on historical data as that uses DateTime objects which only have a 15 millisecond resolution, so it would not be accurate. You would need to use a stop watch like so:

private Stopwatch stopWatch = new Stopwatch();

protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
        {
            stopWatch.Stop();

            TimeSpan ts = stopWatch.Elapsed;
            Print(String.Format("{0:00}:{1:00}:{2:00}.{3:00}",
            ts.Hours, ts.Minutes, ts.Seconds,
            ts.Milliseconds / 10));
            stopWatch.Reset();
            stopWatch.Start();
        }

If you wanted to try this on historical data, you would run this code on a 1 tick series:

private DateTime TimeNow;
private DateTime PreviousTime;

...

else if(State == State.DataLoaded)
{
    TimeNow = Time.GetValueAt(0);
    PreviousTime = Time.GetValueAt(0);
}

protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{
    if(CurrentBar < 1)
        return;

    TimeNow = Time[0];
    Print("Time since last OMD call:" + TimeNow.Subtract(PreviousTime).Milliseconds);

    PreviousTime = TimeNow;    
}

[bc24fl]

Thank you. I guess i'll have to test this in realtime.