And you haven't really "lost" anything since you never had the ability to trade at the theoretical future fair price to begin with--nobody does. As you mention,

And you haven't really "lost" anything since you never had the ability to trade at the theoretical future fair price to begin with--nobody does. As you mention, your best alternative is to work non-marketable limit orders. This, too, has a real price: adverse selection, risk of missing your fill, connectivity costs, time spent monitoring multiple markets and updating your order. If you're a large investment bank or fund, your cost to do this may be lower than crossing the spread. For the average investor, no way.