data: trade and deptp
liquidity metrics: dollar_volume yes mean_trade_dolar_size yes num_of_trades yes mean_baspread yes mean_baspread_basispoint yes volume_weighted_ave_baspread yes
some other idea: (pwc report in reading staff): Number of market makers Number of market participants Availability of quotes Average frequency of transactions and transaction sizes Number of ‘zero-trading days’ Trading volumes Dealer inventory holdings Price impact of volume measures Turnover ratios Intra-day volatility Segmentation of liquidity e.g. share of volumes accounted for by the most liquid securities On/off the run spreads Bid-ask spreads Liquidity risk premia Liquidity score, which uses various metrics and indicators to create an overall liquidity score across fixed income asset classes. These scores are created by financial information providers (e.g. Bloomberg) and banks (e.g. UBS Delta)
(high frequency trading): The tightness of the bid-ask spread. Market depth at best bid and best ask. Shape of the order book. Price sensitivity to block transactions. Price sensitivity to order-flow imbalance. Price change per unit volume. Technical support and resistance levels. Market resilience.