1. Trade Size - Risk Management
Having the ability to trade small position sizes assists traders to manage risk better for smaller accounts and gives larger clients more granularity when scaling in and out of positions.
E-Micro and E-Mini contracts are available for trading in the futures markets, but liquidity is generally very thin in these markets. The average daily notional E-Micro trading volume makes up only 0.5% of total EUR/USD futures volume and E-Mini trading volume makes up only 0.9% of total EUR/USD futures volume.
The following table displays the average daily notional trading volume for the E-Micro (M6E), E-Mini (E7), and Euro Futures (6E) contract from November 10, 2015 to December 8, 2015.
Source: CME Group  
If you plan on trading a diverse basket of instruments, the challenges of dealing with larger contract sizes become even more difficult. One of the only ways you could reduce risk when trading a large contract is by moving your stops closer, which may not be the best outcome for your strategy.
With equities, you can trade in increments as little as 1 share, so your restraint on trade size there could be the price of the stock you are trading.
2. Ease of going short
When trading equities, you may have a few hurdles to deal with if you plan on going short in your strategy. The first is that you generally must borrow the stock from your broker, if available, potentially at annualized interest rates that can reach up to 100% on some hard to borrow stocks. If you receive a forced buy-in, you may have to cover your short without notice in a short squeeze.
If the SEC mandated circuit breakers ever kicked in, you may not be able to go short in any stock due to the alternative uptick rule.
In both FX and Futures, you can sell short on both an uptick and downtick and there are no interest payments required for going short. The only financing that comes into play with FX is rollover, which is based on the difference in overnight lending rates between the two currencies. For this reason, you can actually earn rollover on some pairs when going short.
3. Instrument Universe
In the US alone, there is somewhere around 25,000 listed and delisted stocks available for analysis. Just focusing on the listed stocks may introduce selection bias to your strategy.
A diversified futures portfolio can trade well over 100 instruments, not to mention the varying contract months available for each instrument. However, in the FX market, 8 pairs make up 72% of all FX volume. This can potentially simplify your strategy development process.
4. Leverage – Position sizing
Let me start by saying that leverage is a double-edged sword which can magnify both your gains AND your losses.
In the equities market, to trade with leverage, you generally must borrow the funds from your broker in the form of a line of credit with annualized rates typically varying based on your balance. In order to trade with leverage in stocks a margin account would be required. Margin accounts may offer clients 2:1 leverage and some may offer 4:1 intraday leverage.
In the futures and FX markets, you pay no interest for leverage as position margins are performance bonds and the leverage available to market participants can be considerably higher.
For the sophisticated algo trader, leverage can be an effective utility that allows you to spread out your risk across more instruments or use risk based position sizing where risk per trade is determined by stop loss placement. When trading equities this way, you may find that you do not have enough purchasing power to purchase the number of shares determined by your strategy.
Consider the following example. You have $10,000 and are willing to risk 10% of that across 5 stocks by setting your stop 5% away from the current market price. In order to do this, you would need to have more than double the purchasing power of the account, which would require a line of credit with your stock broker. The tighter your stops or the higher your risk budget, the more purchasing power that would be required.
5. No Pattern Day Trader Rule
If you plan on trading an intra-day strategy in the US equities market, you will need to have a minimum of $25,000 in your account if your trading falls under the scope of the rule.
There is no similar rule for futures or FX trading.
Liquidity reflects the amount and frequency of trading in an underlying asset class or instrument. According to the Bank for International Settlements’ Triennial Survey, trading in foreign exchange averaged $5.3 Trillion per day in April 2013 . More recent figures are not available as the report is done once every 3 years.
The total 5 day average daily volume for US Stock Exchanges by comparison is $7.9 billion by comparison. One challenge Ernie Chan mentions in his last book is that NBBO (National Best Bid and Offer) quote sizes have become very small. He thinks this is perhaps due to dark pools, iceberg orders by institutional traders, or HFTs. If the NBBO quote is only 100 shares and you are trying to get a fill for 5,000 shares, you might not get the price you expect.
The CME reported an average daily volume of 13.8 million contracts per day in April 2016 across all of their products. The futures market has excellent liquidity in many contracts; however, retail traders must compete against HFTs and institutional traders for the best available pricing. See reason number 8 for more on this.
7. Market Participants
Most participants in the stock market are generally profit seeking, meaning few participants use the stock market to hedge risk related to their underlying business. Investors usually allocate capital to the most promising companies in expectation of benefitting from future cash flows. Speculators also participate, who are profit-seeking, but with a shorter holding period compared to investors.
The FX market is composed of investors and speculators as well, but large banks and corporations can participate as hedgers, with no intention of earning a profit on their trades. Their goal when hedging is to lock in a rate and transfer market risk to speculators. Governments and Central Banks also operate in the FX market, but their goals are not to maximize profits on the trade, rather to stimulate growth in their economies.
The futures markets also have many hedgers as market participants, seeking to lock in a rate for their crop for example, and transfer market risk to speculators in the process.
In summary, the FX and Futures markets generally have a large number of participants seeking to transfer risk instead of using the markets for profit-seeking trades. Speculators provide liquidity and the successful ones can profit from this exchange with the right strategies.
 CME Group, E-micro Euro/American Dollar Volume, http://www.cmegroup.com/trading/fx/e-micros/e-micro-euro_quotes_volume_voi.html (Accessed 9 December 2015)
 CME Group, E-mini Euro FX Volume, http://www.cmegroup.com/trading/fx/g10/e-mini-euro-fx_quotes_volume_voi.html (Accessed 9 December 2015)
 CME Group, Euro FX Volume,http://www.cmegroup.com/trading/fx/g10/euro-fx_quotes_volume_voi.html (Accessed 9 December 2015)
 September 2013 Triennial Central Bank Survey, http://www.bis.org/publ/rpfx13fx.pdf
 Bats 2016 Market Volume Summary, https://www.batstrading.com/market_summary/ (Accessed 4 May 2016)
 Algorithmic Trading: Winning Strategies and Their Rationale, http://www.amazon.com/Algorithmic-Trading-Winning-Strategies-Rationale/dp/1118460146/ref=asap_bc?ie=UTF8 (Accessed 4 May 2016)
 http://seekingalpha.com/news/3178539-strong-volume-numbers-cme-group(Accessed 4 May 2016)