  A liquidity measure based on consideration and price range is proposed.
Initially defined for daily data, Liquidity Index (LIX) can also be estimated
via intraday data by using a time scaling mechanism. The link between LIX and
the liquidity measure based on weighted average bid-ask spread is established.
Using this liquidity measure, an elementary liquidity algebra is possible: from
the estimation of the execution cost, the liquidity of a basket of instruments
is obtained. A formula for the liquidity of an ETF, from the liquidity of its
constituencies and the liquidity of ETF shares, is derived.
