There Is No Central Clearing House For Currency

With shares, the price of a particular stock is the same regardless of the broker you use. Because there's a central clearing house. You send the order to your broker, they then send it to the central clearing house. Buyers and sellers are matched up, and shares transferred. The price at which the transaction took place is reported back to all brokers.

You paid brokerage/commission to your stock broker. That's how they make money.

With currency, each broker is its own clearing house. You send the order to your broker, and they go off to the wholesale market and buy what you asked for.

You may not have paid any brokerage nor commission to your forex broker. The question is then, how do they make money?

And the answer is perhaps three-fold (although I'm happy to be corrected):

1. Forex is always quoted in terms of the bid and the ask. There is always a couple of pips difference. Just how big a difference often depends on which currency and how volatile it is at the moment.

   You have to buy at the highest price (the ask), and sell at the lowest price (the bid). The difference, which is called the spread, is what the forex broker gets.

   What keeps this spread low is competition. If one broker has high spreads, and another low spreads, generally people flock to the one with lower spreads.
    

2. Forex brokers buy on the wholesale market, and sell to us on the retail market. In all businesses, there is always a mark-up when they buy wholesale and sell retail.

   What keeps this mark-up low is the competition between forex brokers.
    

3. Forex brokers that use a traditional dealing desk arrangement often take the opposite position against you. What that means is if you win, they lose. And vice versa.

   There are often stories of disgruntled customers who say they won big initially before their broker "noticed them" and started trading against them. What this suggests is that winning traders make the broker lose money, so they are targeted. Because the broker knows the customers' stop loss, and because the broker essentially sets the currency prices, they can manipulate the price to take out somebody's stop loss. (But I have to think that there is more to it than that, surely? Otherwise these brokers would be relying on a constant influx of new customers).

   This verges on conspiracy theory stuff, so don't take it as gospel. But the issue is big enough for some brokers to offer no dealing desk, or straight-through, or ECN trading. They all mean the same thing - that orders are routed directly to the wholesale market so there is no chance (little chance?) of manipulation by the broker. You would probably pay brokerage/commission to such forex brokers, just like when you buy shares.

Hopefully you can see, especially from points #1 and #2, why the price of a currency might be different at different brokers. It's just like the price of lettuce between one grocery store and another - the prices will be roughly the same, and often exactly the same, but sometimes there will be differences.

Some people try to take advantage of these minor differences. This is called scalping.
 

Scalping

Actually, scalping has two definitions.

One is where you try to take advantage of the minor differences in the prices of the same currency between two or more brokers.

This is expressly disallowed by all brokers (I'm pretty sure). It's written in their terms and conditions.

The other definition is where, using the one broker, you try to take advantages of small movements in the price of a currency. As far as I know, this practice is fine. The only downside to it is that you are trying to capture a movement of a couple of pips, and each time you open a trade you have to at least beat the spread, which is also a couple of pips.