The SEC's execution quality statistics measurements (Rule 605) arguably does a poor job at measuring the execution quality of illiquid securities. It also does not cover over the counter securities.
What would be a good method to utilize for measuring execution quality for such securities?
You would need intra-day bid-ask and volume data, otherwise this would be difficult to analyze. Even with large spreads, your trade can execute on either end of the spectrum just based off of how the market is trending that second as a whole for most low-volume securities.
For most truly illiquid securities, execution is more dependent on the broker's relationships and ability to move volume than it is the market, making it hard to classify execution for a single product as a whole. Not addressing OTC securities is really not leaving you with a lot of assets to investigate anyway.
