This is a decorative stitch, which can be used as filling too. Technically, this follows the process of threaded herringbone stitch, only this time, between a row of double herringbone stitch.

You need to know the double herringbone stitch and the threaded herringbone stitch to be able to continue this tutorial.

double herringbone stitch …  Double herringbone stitch: First, make a row of double herringbone stitch as the base.
twisted_lattice_band_1   twisted_lattice_band_2
Fig 1: Bring the needle out, with a contrasting colored thread, from the left end of the double herringbone row, as shown.   Fig 2: Now, work a threaded herringbone stitch from left to right, on the upper half of the double herringbone stitch.
twisted_lattice_band_3   twisted_lattice_band_4
Fig 3: When you reach the right end of the row, turn your needle around, and work another threaded herringbone stitch from right to left ,on the lower half of the double herringbone stitch row.   Fig 4: Use the same technique as in threaded herringbone stitch, to work from right to left, only this time, you will be working in inverse, or upside down.
twisted_lattice_band_5   twisted_lattice_band_6
Fig 5: Keep up with this procedure for the entire row.   Fig 6: A finished line of twisted lattice band would look like this.