Wanted to know if this was possible: keeping long and short accounts for holding the QQQQs overnight to take advantage of pre-market movement. I've read a few books that claim this can work, and the Qs would seem to be the ideal vehicle. Can't find much info concerning the Qs (high liquidity, but no one confesses to trading them), so I'm wondering if this strategy has drawbacks (such as horrible fill histories, wicked commissions, etc.). Could (or should) something like this be better handled through automated trading? Any suggestions would be greatly appreciated.