Abstarct: Liquidity is a multidimensional concept that affects the investment decisions of market participants in different ways. The most important dimensions of liquidity are: its Depth, Tightness, Breadth, Immediacy, and Resilience. There are numerous indices to measure the level of liquidity, which each of them might emphasize on one or more dimensions of liquidity. Variety of liquidity indicators and dimensions of liquidity makes it difficult for investors to decide on a portfolio baxsed on liquidity risk. Therefore, in this research, in order to solve this problem, we construct a composite liquidity index baxsed on R-Vine copulas, this composite liquidity indicator covers several liquidity indices typically. Building the composite liquidity index allows us to calculate easily the liquidity level of a trading symbol and a stock portfolio basket. To validate the research, the instant data of quotes and trading symbols from 2016/1/1 to 2019/1/1 have been used, and the Tightness index has been calculated for an assumed trading symbol and an assumed portfolio basket.