Trading profits are subject to your local capital gains tax. This means that you must pay the capital gains tax on your trading profit - just like you would if you were trading EUR/USD. You can also deduct any losses you had. All that money you obviously had at MtGox when they closed down would, for example, be a deductible loss. You agree to comply with your local tax laws in the Bitfinex TOS.
It also says that "Suspicious transactions will result in a Suspicious Activity Report being submitted to the relevant regulatory and compliance bodies applicable in the registered members' verified country of origin.". This means that you will be reported if you are the money launderer who is doing the suspicious transactions. You also agree to this in their TOS.
Your question indicates that you do not want to follow your local fascist governments laws. That would be against Bitfinex TOS and you should not use it if that is the case.
Some places you only have to file once a year. Why not just open a new account every tax season, that would solve the bfx tos issue.
Also some countries do not levy tax on currency trading profits, yet others may only consider fiat transactions (how many EUR tax to pay for a CAT vs DOGE trade, how do you pick the rate dates, what happens if there is not enough liquidity to move the tax obligation into fiat, does the taxable profit actually exist then? Questions go on and on, and pretty much none of them have been tried in court in a cryptocurrency context.
Paypal, while not the tax man, prohibit bitcoin and other virtual currency trading. But apparently they are completely fine with virtual world currencies such as the Linden Dollar.. Lawyers make no sense.
Another thing to think of is that at least if you are in the EU, count on each and every major exchange to be hit with requests from your tax man a few years from now. Treat it as you would any semi-legit offshore destination (ie. they're not broadcasting your transaction volume and balances, but may very well be volunteering info on interest paid / per year / account holder, as I believe quite a few of the EU <-> tax haven reporting agreements look like that.
