No. If it hurts you, stop doing it. It's one thing to like it rough, even anally, but it's another thing entirely to bleed from the force and friction of it. That means you're not being properly cared for or prepared. If you're not using lubricant, invest in some. There's no such thing as too much lube when it comes to anal, unless you LIKE having your insides torn to shreds like that. Have him use some of that lube to stretch you with his fingers before actual penetration.