Interdealer FX spreads are widest at 18:00 to 22:00 GMT, and wide at the Tokyo open
Ito and Hashimoto measured the interdealer spread on USD/JPY and EUR/USD in one-minute EBS data, 1999 to 2001. Their widest window is 18:00 to 22:00 GMT; the narrowest is the London-New York overlap.
00:00 GMT is the busiest hour in that sample, and the spread there is wide. Activity and a tight spread do not arrive together, which is the detail I had to read twice; in their firm EBS quotes the day has no U-shape, contrary to the older indicative-quote literature.
I keep the shape and drop the percentages, because their size estimates hold in 1999 and lose significance in 2000-2001. A spread difference measured in those years is a 1999-2001 estimate, not a saving on your account now.
Even the shape has a counter-reading. A 2009 Applied Economics abstract finds a U-shape in Tokyo hours and an inverted U in London, so I would not pin an hour filter on either curve.
Retail quotes add the broker's markup on top of the interdealer spread, which the paper does not measure. Pull the spread for the hours you trade from your own broker's ticks and put that number in the session filter.
