you are right. Most commission rates I see are prohibitive for this kind of trading.

We trade through ProActive futures. Eminis for me are about $4 RT. Trades on the Eurex markets are a whopping $2.50. (The exchange fees are much lower in Europe). I believe Rob's commissions are lower due to the # of trades he does. Another great thing is the live streaming data is free. We use Sierra Charts ($10 per month) and the ProActive Direct platform to trade.
It's a pretty sweet setup.

Hope that helps.

Now, let's see if I can beat Rob today.

Great Trades to you,
-TraderBetts