The TWAM Test

There are many commonly used benchmarks that can provide insights on how to improve trade execution quality. TWAM (Time Weighted At Mid-Quote) is a fill-based benchmark that is used to measure how effectively a strategy captures the best available prices.
TWAM captures all the quotes for a stock over a time horizon, calculating a benchmark price by time weighting all available mid-point quotes during that interval.
On an aggregated basis, TWAM is a powerful measure for identifying the efficiency of an algo, broker or trader in obtaining the best available prices.