There is no perfect methodology to measure
market impact. Trades are executed for many different reasons and they are
executed in many different ways.
In many cases the trade data which is available for analysis does not contain
time stamps. For example, trade data from pension funds, which comes from their
custody banks, does not have time stamps. When time stamps are not available,
pension funds and investment managers compare their execution to the volume
weighted average price of the stock on the day of the trade.
If time stamps are available to indicate the time of order creation, arrival at
the trading desk, release to the broker and time of execution, then interval
volume weighted averages and implementation shortfall measurements can be
calculated and compared to appropriate universes.
Opportunity costs can be calculated with whatever methodology makes sense to