Often in the US treasuries, especially, when the volume is low, the price is pretty stable around a price, switching from the bid to the ask. It is possible to scalp til spread between bid/ask, or is that a bad strategy?

It may work in theory, but I'm thinkin non-fills and commissions are gonna eat you up pretty good.

Are you talking futures or actual bonds? I have done this using one platform versus another (Btec and eSpeed) but otherwise I don't think you could get enough fills to warrant it