How to fix a career mistake

Guys,

About 5 months ago I took a job at a management consulting firm outside NYC -- they are decent but not super large. I have to admit I don't like the current job I am in and I feel am not performing at a high level. If I don't quit, I feel my manager is going to fire me soon. I think its only a matter of time before I am let go . I want to return to NYC and go back to working in equities. Do you think I should quit or wait to be fired. If I quit, I have to return my relocation package and I don't receive unemployment assistance. I however if am fired, I retain my relocation package and receive unemployment assistance associated with looking for a new job. Moreover, do you think because I left equities and went into consulting that prospective banks&broker/dealers employers might pass over me? Do you think my short tenure working for this consulting firm will hinder my ability to find a new job? Do you think I should put my current employer on my resume or not even mention it?

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