If you are playing this game... Is this possible without a co located server just running from a standard cable internet connection to expect to produce a profit?
don't even bother. most colo servers are even too slow compared to some of the nano second programs out there.
yes but just in a low frequency context (up to 10 trades per day). it is impossible to do it in hi frequency (100s or 1000s of trades per day), as the evil machines control order book in a vicious way.
The problem with the strategy is that you can't turn on the market fast enough to scratch it once the offer goes bid or the bid goes sellers. Size orders not only take everything out, but the balance they are showing knocks you back in the queue. And yes, I've done it on the floor and on the screen.
With HO or RBOB it would be impossible - nothing to lean on, too thin to scratch, and you will get burned by the exchange supported implieds.
sadly this cant be done with ZN either , i want wide spread market with some volatility and some volume , i am planing to play this with a one side limit order for the entry ( not 2 ways orders ) ...