Answer
Your tax reporting for dealing with a US broker is the same as dealing with a cdn broker in that the income reporting and transactions should be translated in Cdn $. Regarding your quesion whether your loss should be a capital loss depends on whether your "playing" in the fx market constiute an investment or a business. There are no provisions in the Act which specify whether a foreign exchange gain or loss is on account of income or capital. An investment is generally in a situation of buy and hold, while a business is in a situation when you are knowledgeable and maybe with insider information, lots of daily time spent and numerous buys and sells during the day or week, etc. Please see the CRA’s IT-95R “Foreign Exchange Gains and Losses”. http://www.cra-arc.gc.ca/E/pub/tp/it95r/it95r-e.txt