Stats › Intraday and market microstructure › Session overlap
The London New York overlap
Every FX education page says the same thing. London and New York are both open for about four hours, that window is the most liquid part of the day, trade it. I've read that claim for twenty years and I've repeated it myself.
So I went looking for who measured it. Not who says it. Who measured it, with what data, over what period, and where you can go and check the numbers. That turned out to be a much shorter list than I expected.
This page is what I found. The short version is that the shape of the FX day is documented by central banks and academics, but the actual hourly volume profile is not published for free by anybody. The charts you see with a nice hump over the overlap are almost always vendor charts with no scale and no method. What is properly documented, in enormous detail, is one particular four minute stretch of that window: the 16:00 London benchmark fix.
No exchange, central bank or clearing house publishes a free hourly FX volume profile. The BIS Triennial reports daily averages for one month every three years, never by hour. CLS has hourly executed volume in 40 currency pairs back to 2011, and sells it as a subscription product. The strongest public statement I could find is a BIS Markets Committee report: GBP/USD activity is highest 07:00 to 09:00 and 13:00 to 17:00 UK time, and drops off outside those windows, with the supporting charts printed without scale for confidentiality reasons. Meanwhile the same night hours it calls thin show spreads reacting 6 to 7 times as hard to volatility as during the day. The one intraday event with a full paper trail is the 16:00 London fix, which moved from a one minute to a five minute window on 15 Feb 2015 after £1.11bn of FCA fines.
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