Liquidity change over years?

Hi,
since I couldn't find it in the forum, I wanted to ask the following quesiton:

Anybody knows if the liquidity distribution between the sessions has changed over the years?

I mean, right now of course the london session is the major liquidity provider.

But what about the last few years? Was there one point where ny session had better liquidity than london session? Or was it always like that?

And please, I don't want assumptions, I want numbers or a document which shows the liquidity distribution over the last few years for the three main sessions.

best regards

BIS has all their triennial surveys going back to 1996, as pdf files. Plus the 1996 survey has data from 1989 and 1992 as well as 1995.

They don't exactly track intraday session liquidity as such, but we can look at the next best thing, "geographical patterns" of average daily fx turnover as a not unreasonable proxy for session liquidity. It's not perfect, because of things like session overlaps.

On that basis, the short answer is that London has always had (at least since 1989) about as much average daily fx turnover as the next 2 (earlier years) to 4 (now) most active trading centers combined, with the gap steadily increasing over this period of time, in part at the expense of Tokyo. This chart is found on p. 17 of the most recent 2010 survey:

http://thumbnails9.imagebam.com/1142...b114268406.jpg

I think you must look at them in 3 sessions.

Session 1 Frankfurt open to NY open (currently 0600 gmt to 1200 gmt)
Session 2 NY open to London Close (currently 1200 gmt to 1600 gmt)
Session 3 London close to NY Close (currently 1600 gmt to 2100 gmt)

IMO I think that Session 2 by far offers the greatest liquidity as well as movement. Some days Session 1 ranges but rarely does session 2 range. If you don't believe me pull up any major pair and compare it's movement. Session 3 is lame. I more or less look at session 3 just like the Asian session.