Because they are the ones arbitraging the gains away. That's why there's no opportunity left for you average punter to just start his own little script that take orders from one market and put them on another.

All the players that are left are highly sophisticated technologically, but also in terms of ecological position. For instance you have Citadel doing PFOF with Robinhood. Once you lock in a deal like that, you have a special position in the market. Having access to lower fees is also an important part of the game, and it only happens for players who are already in the game.