Liquidity Pressure Monitor?

Does such a thing exist? I want an indicator that gives percentage of liquidity or illiquid at certain times of the day?

Closest I have found is dukusacopy liquidity monitor on their website.

1. Just so we're all on the same page, what's your definition of liquidity, and what metric would satisfy you to show if a market is liquid or illiquid?

2. I was fiddling around in FF's Market page here. There's a box called Sessions on that page where you can click on Liquidity to show (you guessed it!) liquidity. Wouldn't something like that be a good enough indicator of liquidity?

Disclaimer: I don't use any sort of liquidity measure myself. Haven't found any use for them yet..

What I mean of liquidity is where deep pools of orders have been in the last few days.

Some ECNs provide large order flow information in real time so something similar available to a small retailer would be ideal not sure about the FF meter.

So your definition of "liquidity":

Liquidity = order flow information ?

Something like this but easier to understand which highlights liquid and illiquid periods throughout the day/week/month maybe its best just to learn it without an indicator or design one.

EBS transaction data from the early 90's and from 1999-2001 showed that:

 

1. Activity—measured by the number of quote entries (price changes) and the number of deals—and bid-ask spreads have a distinct intra-day pattern;
2. Activity is high in the beginning hours of the three major currency markets—Tokyo, London, and New York;
3. There is little evidence that the activity increases toward the end of business hours in the three major markets, even during the closing hours of New York on Fridays, thus there is little evidence of U-shape pattern—this is a new observation;
4. Activity is quite low during the lunch hours of Tokyo and London, late afternoon hours of New York;