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Financial market liquidity has become increasingly fragmented across multiple trading platforms. We propose an intuitive welfare-based market quality metric that can properly aggregate local market conditions across both securities and trading venues. Our analysis rests on a general equilibrium model with segmented markets. Arbitrageurs reap profits by effectively providing intermediation services (i.e. "liquidity"). Our market quality measure is equal to the additional consumption enjoyed bydoi:10.2139/ssrn.1430573 fatcat:e6nu52byb5c35cxtj6nd2jm6by