A neat bot would be one which automatically buys and then resells things with a markup. It would figure out the usual price an item goes for on a website like Ebay, and purchase it if the price is set far enough below.
If only I could hover my mouse over items around my house to discover what they are worth on eBay!
1. The WoW auctionhouse has a finite set of goods that can be sold and the titles and identification of the goods are unambiguous.
2. The cost of failure is much much lower if something goes wrong with the tool.
It would be very interesting to see if you could get some heuristics that choose products that are at least moderately useful instead of screen protectors and (exploding) batteries for various mobile phones.
and, oh BTW, people are already doing this ;_;
1) If you make something like 3 intra-day trades (buy and sell on the same day) in some defined period (a week?) the SEC will classify you as a "pattern day trader". To be allowed to do that, you need an account with something like $25k USD min.
2) There are a few items that people often forget in simplified models that will completely eat any theoretical profits: brokerage fees, taxes, and currency-exchange effects (e.g. if you're a Canadian trading US stocks).
3) After all that, you're competing with the big guys who have a deep knowledge of how trading works, and fast access to more information than you do. It's an insider's game.
So, the process of buying or selling moves the price, which is another reason why trading with real money against competitors is different from training against historical data.