I am looking for some info on how to estimate liquidity (intraday). I have read some researches and created intraday measurements of liquidity on time yet not on price. What I mean by this is that I am not looking for a liquidity profile based on time but a profile based on price, i.e. how much liquidity there is at each price level. For this I am assuming I need to look into adaptive algos that calculate real-time data. However, I was looking at some Implementation Shortfall algos and couldn't find anything except that old article from 1988.
For example, if I was an VWAP algo I would know the TIMES to send the orders (let's say there is an U-shaped historical volume profile), but I, as an extremely sophisticated investor (:P) would like to have an algo that "looks" at each level and estimates if it can transact orders here or not. I.e. looking at depth, volatility etc.
In short, I am looking for a study or something to illuminate me on the basics of liquidity seeking algorithms to understand some more as I can't find anything!
Thanks for taking time.