At the moment we measure liquidity demand of a market based purely on open interest which works for derivatives.
What other metrics can we come up with:
average achieved slippage over a time window? (if people were willing to trade with this much slippage they'd probably be willing to pay this in fees to avoid so much slippage)
At the moment we measure liquidity demand of a market based purely on open interest which works for derivatives.
What other metrics can we come up with: