
- UID
- 442142
- 帖子
- 83
- 主题
- 72
- 注册时间
- 2012-6-5
- 最后登录
- 2016-4-18
|
One definition of providing liquidity is posting a limit order and waiting till you get hit/lifted. If you’re doing this on both sides (bid and ask), you’ll collect the spread if you execute on both sides. This is market making.
One definition of taking liquidity is executing via a market order and hitting a bit/lifting an offer. If you’re doing this, you’re paying the spread. One would only do this if they’re trading for alpha.
That said, you also seem to be trying to quantify liquidity and even predict it. That’s difficult and highly dependent on microstructure. One would definitely want to look at spreads, the depth of the order book, the commission structure of the ECN, etc. |
|