Stats › Intraday and market microstructure › Session overlap
No free source publishes FX volume by the hour
| Window | What is documented | Source |
|---|---|---|
| 07:00 to 09:00 UK | GBP/USD activity at its morning high | BIS Markets Committee, Jan 2017 |
| 13:00 to 17:00 UK | GBP/USD activity high again, London and New York both open | BIS Markets Committee, Jan 2017 |
| Outside those windows | Volumes and liquidity measures drop off, particularly in early Asian hours | BIS Markets Committee, Jan 2017 |
| Day versus night | 10 pips more intra minute volatility widens the spread by 0.3 pips by day, 2.0 pips at night | BIS Markets Committee, Jan 2017 |
| 00:00 GMT | Significant jump in average volatility at the Tokyo open | Andersen and Bollerslev, 1998 |
| 03:00 to 04:30 GMT | Market typically approaches a standstill, the Tokyo lunch hour | Andersen and Bollerslev, 1998 |
| 12:00 to 15:00 GMT | Volatility notably higher, the two most active centres trading simultaneously | Andersen and Bollerslev, 1998 |
| After the New York close | No sign of elevated volatility, a monotonic decline into the Pacific session | Andersen and Bollerslev, 1998 |
| GMT hours 0, 8 and 13 to 14 | Highest yen/dollar deal activity on EBS, lowest at hours 3, 11 and 22 to 23 | Ito and Hashimoto, EBS 1999 to 2001 |
| Tokyo, London and New York business hours | Three elevated periods in CLS settlement instructions, hourly clustering within them | Hasbrouck and Levich, CLS data |
| 15:57:30 to 16:02:30 UK | The WM/R fixing window, five minutes wide since 15 Feb 2015 | FCA Occasional Paper 46, Oct 2018 |
| Sunday 21:00 to Friday 21:00 UK | The FX trading week as covered by CLS hourly data | IMF Global Financial Stability Report, Oct 2025 |
Note the vintages. The two studies that give a full 24 hour picture use data from 1992 to 1993 and 1999 to 2001. The Hasbrouck and Levich CLS work covers the Aprils of 2010, 2013 and 2016. Nothing here is a current hourly volume profile, because nobody publishes one.
Foreign exchange has no exchange and no consolidated record of trades. No central bank, exchange or clearing house publishes an hourly volume profile, and the one institution that has the data sells it. The London and New York overlap is a shape without a scale.
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