Considering that the trade s price impact function involves the trade size and the liquidity discount of the security market at that time,and some security markets present the L-shape of intraday liquidity pattern,the Lagrange equation of motion and the method of Frobenius were adopted and the optimal intraday liquidation strategy was deduced with continuous trading.

Based upon solid theoretical analysis of the unique liquidity problems in Chinese order driven system stock market, this paper designed three important intraday liquidity indices.