JSW, it costs the brokers because of the dealing desk. They need time to use a dealing desk so if you are scalping (less than a minute) they dont have the time to deal your money - so basically you are just taking their money. That's why most DD brokers don't allow it. However, if you hold trades for more than a minute you can still find brokers who will allow you to trade this way.
Dealing desk brokers allow the practice but they charge commission and demand a higher minimum deposit.
Regarding a forex scalping strategy,
see here for more information: (see the Logs, FAQs, Forex specific strategy etc...)