liquidity 0.2.0

Market liquidity proxies

Market Liquidity Proxies

This repository provides an overview of key market liquidity proxies and additional alternatives for crypto, bond, and stock markets. These proxies serve as indicators of market sentiment, risk appetite, and liquidity conditions.

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Proxies Overview

Crypto Proxies

1. Ethereum / Bitcoin (ETH / BTC): Reflects liquidity preference and risk sentiment within the cryptocurrency market. Barring idiosyncratic events it acts as a proxy for broader market liquidity.

Stock Market ETF Ratios

2. QQQ / SPY Ratio: Reflects liquidity preference and risk sentiment within the US stock market. Shows the performance of high-beta QQQ (Nasdaq-100) vs. SPY (S&P 500).

Bond Market ETF Yield Spreads

Reflect funding stress in the broader market. When liquidity is ample, spreads tend to be tight, and they widen when liquidity is drained and stress builds in the system.

3. HYG / LQD Spread: Measures the risk premium between high-yield (HYG) and investment-grade bonds (LQD).

4. LQD / TNX Spread: Measures the risk premium between investment-grade bonds (LQD) and 10-year Treasury yields (UST-10Y).

Installation

Step 1

Install Poetry (if not already installed): You can install Poetry by following the instructions from their official website. For most systems, you can install it using this command:

curl -sSL https://install.python-poetry.org | python3 -

Alternatively, for Windows, you might use:

python -m pip install poetry

Step 2

Navigate to the Project Directory: After downloading the project, open a terminal or command prompt, and navigate to the project directory:

git clone https://github.com/mdambski/liquidity.git
cd liquidity

Step 3

Install the Dependencies: Run the following command to install all the dependencies specified in pyproject.toml:

poetry install

Step 4

Retrieve API Key: Go to the Alphavantage.co website and retrieve free api-key.

export ALPHAVANTAGE_API_KEY="<your-api-key>"
make run

This will generate summary of all liquidity proxies: Example chart displayed:

Data Sources

This repository is based on market data APIs providing free access to data.

• Cryptocurrency Prices: Alpaca.markets
• Other Market Data: Alphavantage.co

Future Improvements

In the future I plan to add even more data providers and liquidity proxies. When there is enough features I will make a PyPI package to simplify installation.