You need an EDAT broker: http://daytrading.about.com/cs/educationtraining/a/be_a_trader5.htm Many people here use IB (http://www.interactivebrokers.com/), but most daytrading brokers will do.
It has more to do with the trading software than the brokerage firm. Are you looking for a retail or prop firm?
thanks, I have used tradestatioin and terra nova and they both dont let you trade until 8am...I think there are man trades missed between 7-8..I looked at IB and i wasnt comfortable with their platform, seemed to be missing things and couldnt seem to link windows..any other ideas?