Liquid = more buyers and sellers; more trading; check out the number of trades in tomorrow's ET; mostly more trades for a scrip happen on NSE, less on BSE. More trades, lower the impact cost.
Quite a few stocks are listed only on BSE and not on NSE. Again, look at the listings in the pink papers.
If you go long or short intraday, you should ensure you square off on the same exchange! Else you'll be opening a fresh position.
Hope I'm right and your question is answered