I'm now trying to trade in crypto, and I want to get a measure of the liquidity of products listed in exchange.
- Trading volume is a good measure, and easy to obtain.
- Spread is also a good measure, but how can I measure it in a daily basis (i.e., aggregate)
How can I do it?
I came across a paper: https://academic.oup.com/rfs/article/30/12/4437/4047344. but it seems a bit too complex?