"Move!" I immediately side stepped him.
I immediately side stepped him.
I know a new line of paragraph is needed for each speaker, but does the same rule apply in this instance?
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It depends on who said "Move!". If it is the person sidestepping, then no. But then you should have written "Move!" I said, and immediately sidestepped him.
if the person sidestepping is responding to somebody else that said "Move!", which appears to be the case here, then YES, you need a new paragraph.
It is fine to combine a single character's speech and action on the same line if they occur close in time, either simultaneously or sequentially.
But not one character's speech and another character's actions.
Yes. There're a couple of things to unpack here. The general rule is: a new subject requires a new paragraph. A character or person qualifies as a new subject.
It is important to remember: dialogue is not limited to speech. More broadly, dialogue is an exchange of communication. e.g.:
Peter crept in through the front door.
Dad switched on the hall light. "What time to you call this?"
Peter lowered his eyes but made no reply.
Mom, arms folded, looked on from the top of the stairs.
"I'm asking you a question, boy!" growled Dad.
Peter raised his head and locked eyes with his father. "If you weren't such a tight-ass I could have a watch."
THWACK! A sharp backhand knocked Peter to the ground.
Mom pointed the Glock at Dad. "That's enough."
I see nothing wrong with this, provided the dialogue and the responding action flow together neatly. Your example is a bit stilted, but if you connect them like so:
"Move!" he barked, and I immediately stepped aside.
...that flows a lot better, in my opinion.
This also works if Character A says something, Character B reacts, and then Character A says something else in response to the reaction. Something like:
"Move!" he barked. I immediately stepped aside, and he brushed past me with a slightly more polite, "Thank you."
If, however, Character B is the next character to speak, you should start a new paragraph in order to link their action with their consequent dialogue:
I immediately stepped aside, and he brushed past me without saying a word. "You're welcome," I muttered sarcastically.