Can this be done? Sure it can, but on a
demo only. Non of the reputable MMs will let you trade this way even on a mini. Most of it is not scalping it is picking. If only it was allowed, this strategy would be as close as it can be to risk free trades. But market makers will either shut you down or put you on manual with this kind of trading. May be there are some shady MMs that will allow it for a short while for some reason, but they can not allow it for too long. They will be picked to death. Think how much can be made with such strategy at $1,000 or more per pip.
redduke