First off, if you don't (or are not willing to), give identifying info, you have to do things old school with the cash and carry, shoe-leather approach.
To leverage the current technology though, you need to let people know who you are. It's just the rules of the game if you want to play that way. Especially if you want the security and efficiency that comes with it.
Anyway, you hit the nail on the head. The real drawback is getting backed off. Cantor swears up and down they won't do that. I've bet $15k they won't. BUT, that was before the recent events. Now, I'm nervous. My plan doesn't work if I can only invest $500 or $1000 per event. I need to get action down to make money. I'll know soon enough, plays start in less than a week. I have a plan B if they have lowered their opening limits.
Ultimately, I see a type of day-trading operation where traders could rent Nevada space and then make their investment decisions legally and safely from anywhere. Then just have their Nevada office execute their investments. The trader is always (and is the only one), in control of his/her bankroll and investment decisions.
Anybody else see the potential there? The numbers could work for even the average day trader.