Time since last bid/ask change

[kaydgee]

Hello all,

I'd like to keep a running exponential moving average of the time since the last bid/ask change.

Would the following work?

double currentBid = 0;
double currentAsk = 0;
double priorBid = 0;
double priorAsk = 0;
double xmaBidImproveTime = 0;
double xmaAskImproveTime = 0;
double currentTime = 0;
double priorTime = 0;

protected override void OnMarketData(MarketDataEventArgs e)
{
    if (e.MarketDataType == MarketDataType.Bid) currentBid = e.Price;
    else if (e.MarketDataType == MarketDataType.Ask) currentAsk = e.Price;

    currentTime = e.Time;

    if (currentBid != priorBid and currentAsk == priorAsk){
        if (xmaBidImproveTime == 0 && priorTime != 0) xmaBidImproveTime = currentTime - priorTime;
        else if (xmaBidImproveTime != 0 && priorTime != 0) xmaBidImproveTime = xmaBidImproveTime * .9 + (currentTime - priorTime) * .1;

        priorBid = currentBid;
        priorTime = currentTime;

    }
    else if (currentBid == priorBid and currentAsk != priorAsk){
        if (xmaAskImproveTime == 0 && priorTime != 0) xmaAskImproveTime = currentTime - priorTime;
        else if (xmaAskImproveTime != 0 && priorTime != 0) xmaAskImproveTime = xmaAskImproveTime * .9 + (currentTime - priorTime) * .1;

        priorAsk = currentAsk;
        priorTime = currentTime;

    }
}

[NinjaTrader_JoshP]

It seems you are applying just 2 weights for the current and last values? From a glance over it seems like it would be okay. You would need to test this on your end to ensure this to be the case though.