During MAJOR events like earnings and breakout news events, after-hour trading DOES have advantage as prices tend to move further during the next regular trading session. So if you are lucky and are able to get in on a trade at a better price during after-hour trading, then you can profit more when the next session of the regular trading opens. Even if the price doesn't move that much during the next regular trading session, your loss would still be limited and you will still have a chance to make a small profit. But this is only during MAJOR events where the price moves like 10%+ which is rare. Most of the time when the price just moves at most 2-3% and not even, it's not worth it to trade after-hours. Due to the EXTREMELY bad liquidity, you could get in on a very bad fill and you are going to lose money.
Compared to active participants idea of fair value. It's unlikely that your idea of price is equivalent to that of a market maker or someone trading arbs. And by active I mean several 10s of percent of market share.
You might, and will , on occasion, get filled at a good price. You are guaranteed to get filled when your price is wrong. At those times you will take a large short term paper/or permanent loss. That will probably happen more often then your rare bargain.
The price I get filled at IS the right price. I don't care what it does after I am filled. I'm already entering the next order which may not even be realistic at this time but come next Night session may be one of the few close resting orders still left and I am just waiting for somebody to please pick me off.
Soes is right. You have bad adverse selection during the post. When you get filled, it's almost guaranteed to be a bad price. Unless you're trading a hard arb then there's no such thing as a right price
I leg into corn wheat spreads. I want to get filled at my price regardless of whether it is a good price or a bad price to the other side. It is a good price for my spread if filled. Meet me any night and you can pick me off, I'm always long July wheat and Dec corn and short the front months.
Do you have some concept of price for one future relative to the other? For example, July = 3*December + 1 (completely arbitrary), because you can then set July-3*December-1=0. Then it is clear whether your fill is good or not relative to 0.
something like that, I'm always legging, so true fair value only occurs for me briefly when I am 1:1. But I will concede, my good fill on one side will always be a bad fill on the other side.