Using Lightning to directly buy btc like buying from an exchange

Ultra low lightning fees make a lot of algotrading strategies profitable that aren't otherwise. But I haven't figured out how to use lightning to buy/sell to any of the major exchanges. Is there an exchange that offers this?

The other thing is; if there's not, it could be very attractive and profitable for an exhange to allow this. Tacking on some juice to every exchange would add up.

But I'm obviously missing something. What am I missing?