The peptide that contains your protease cleavage site, has p- nitro phenylalanine incorporated into it at the cleavage site. If you google para nitro phenylalanine, color assay, and protease, you will get all the references you need. See below for one.
I typically use FRET substrates which utilize fluorescent peptides that only fluoresce when the peptide is cleaved by the protease. Google FRET and protease to get references. With the FRET substrate, a flurophore is put at the beginning and end of the peptide that you want to cleave. There are what are called FRET pairs. One is a donor and one is an acceptor. When the donor and acceptor are in close proximity, the one fluorophore quenches the fluorescence of the other fluorophore, when the proper excitation and emission wavelengths are used. When the peptide is cleaved, the donor and acceptor are no longer in close proximity, so there is a fluorescent signal that is generated.
if you can purchase an already made peptide for your assay, this is the cheapest method. Otherwise, depending on what the substrate specificity of your enzyme is, you may need to have it synthesized by a company.