Abstract: Methods, systems, and apparatus, including computer program products, for providing a liquidity based metric and/or index for low liquidity securities. In an aspect, actions can include receiving transaction data including data relating to one or more transactions of a first security, obtaining, using a data processing apparatus, one or more reference values, in which each reference value is contemporaneous with a corresponding transaction of the first security, generating, using the data processing apparatus, a transaction liquidity factor for each reference value-transaction pair, and combining the transaction liquidity factors into an asset liquidity factor for the first security.