This study monitors several observable dimensions and measures a non-observable one of the Colombian intraday equity market quality. For this purpose, an intraday database containing trades and quotes (TAQ) of some the principal companies that trade on the Colombian Stock Market (BVC) is used. Relating these dimensions between each other, we find that at the beginning of trading hours, liquidity (measured as bid ask spread and depth) is the lowest and price volatility is high. Additionally, we observe that stocks with lower levels of price impact also have the highest levels of depth.
