I've found that firefish need holes to dive into. When I kept them i had to get a long 3/4 inch drill bit and start drilling holes in live rock for them to dive into when they're spooked. If you have enough nooks for them you shouldn't have a problem. What kind of live rock do you have?
Also I've found with multiple of the same kind of species, it's not the bullied that you should take out, it's the bullier. The bullied firefish, in this case, will heal fine In your display tank. Take out the aggressor and put him in QT for two or three weeks. In combo with the new holes, the bullied fish will have time to establish territory and hide once the aggressor comes back in the tank.
But yeah, there is nothing wrong with trading the aggressive fish back to the store or trying again with a new one.
Is there a size difference btwn the fish?
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