Xetra Liquidity Measure (XLM)
As a rule, the more liquid a market/transaction, the lower is its implicit transaction cost. The Xetra Liquidity Measure (XLM) measures liquidity and expresses the implicit transaction costs as a single figure. These costs are calculated as monthly average of a minute-by-minute created hypothetical order without limit. At each point in time a theoretical, fair price is set, which ranges exactly between the best bid and the best ask order.
The difference between this average price and the average execution price of the hypothetical order amounts to the implicit transaction costs. The larger the difference, and thus the XLM, the lower is the liquidity of a security.