Actually, they do consolidate your trades into one position, but you can close your trades one by one. You have to Stop thinking in terms of trades and think in terms of positons. If you short 5 lots of GBP/USD you are short $500,000. Regardless of the price. If you short another 5 lots, you are now short $1,000,000 regardless of the entry price. If the first 5 was a long term trade, and the second 5 was a scalp, to exit your scalped position, simply cover 5 lots. Now your position is back to short $500,000. They infact allow an enourmous amount of flexibility to scale in and out of positons, as opposed to bucket shops like FXCM, who do allow only to deal in trades, and not so much in positions.
It depends on what you mean by scalping. If you mean looking at a fast datafeed and trading the oanda data feed off from that hoping to capture some pips (picking) the answer is that Oanda has controls in place in their market making software that will punish you if you try this. Go ahead and try it. You will see extra slippage and poor fills and will quickly find out that this kind of thing is a loser's game. If you outsmart their software, you will find that they won't want your business. If you mean scalping in the sense of taking 5-10 pips here and there based on a strategy other than exploiting the datafeed lag, the answer is yes, they allow it and will welcome your business. But you will also find that Oanda has a less jittery feed than let's say the CME forex futures, so there may be less scalps available and less pips on each scalp.