Quote from TRADERguy:
If you day trade the majors and there is enough liquidity in the futures for your size, stick with the futures. Switch to forex when you can afford to trade in the interbank ($250,000 for Currenex or UBS electronic platform). If you trade crosses you have to do forex. If you position trade you may want to try retail forex. One advantage of forex is that it is open 24 hrs during the week so that you are not exposed to gap openings when Globex reopens. I have done both and have tried several retail forex brokers and while the best are not bad, futures are still better. If you go retail forex and have an account of enough size to justify it, get EBS data to see how out of line your broker is taking it.
