The share-weighted average of effective spreads for order executions. For buy orders, it is calculated as double the amount of the difference between the execution price and the midpoint of the consolidated best bid and offer at the time of order placement and, for sell orders, as double the amount of difference between the midpoint of the consolidated best bid and offer at the time an order is placed and the execution price. The average effective spread is a comprehensive figure that reflects the extent to which market orders and marketable limit orders can improve the price attained/ executed, whether at the quotes or outside the quotes.

It is a single measure of the overall liquidity premium extended by those placing such orders to a market center.