I am working on a price and time model for trading this market. I am concerned initially with trading the open. My statistical analysis shows that there is often a trade within the first seven minutes of the open, and such trade is good for a minimum of 20 points. This is $100/contract gross. Ignoring scaling out for the time being, how many lots could I practically trade? I know exchange initial margin is around $5k and Interactive Brokers give a 50% initial margin discount for a day trade. This means I can trade 1 YM contract per $2,500 balance. So if I am making $96 a day net on each $2,500 this means that I am doubling every 5 trading weeks. After a year, I should be trading 1024 contracts. YM depth seems to be 30-40 contracts, so surely this is not possible. Will I hit problems with my strategy after only six doubling cycles, or 30 weeks? Does anyone here scale in this way and what are their results?