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?

My thoughts:

I came across a paper: https://academic.oup.com/rfs/article/30/12/4437/4047344. but it seems a bit too complex?

  • Arbitrage spread across various exchanges might be a helpful metric as well. – AffableAmbler Jul 4 '19 at 4:43

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