I suspect trading firms have already done this to the maximum extent that it's profitable to do so. I think if you were to integrate LLMs into a trading algorithm, you would need to incorporate more than just signals from the market itself. For example, I hazard a guess you could outperform a model that operates purely on market data with a model that also includes a vector embedding of a selection of key social and news media accounts or other information sources that have historically been difficult to encode until LLMs.