Killzones – the liquidity windows of London and New York

The market is not random with respect to time. Liquidity, volume and volatility have their own windows: the London open, the New York open, the fixes. A killzone is a time window in which the probability of generating the daily range is highest. Not a system, only a time frame for hunting setups.

Lesson goal

• Define killzones for FX instruments, indices and US contracts.
• Measure in which window your market generates the high/low of the day.
• Combine a killzone with ORB and VWAP.
• Write down “no trading outside the killzone” rules to cut overtrading.

Operational definition of a killzone

Killzone = [Start, End] of time in which:
- Avg Range in the window > 40% of the daily ADR
- Probability of the day's High/Low in the window > 35%

London Open KZ: 08:00-11:00 CET (02:00-05:00 ET)
NY Open KZ: 14:30-17:00 CET (08:30-11:00 ET) – the most important one for US
London Close / NY Lunch: 17:00-19:00 CET – rotation

For the GPW (Warsaw Stock Exchange): the killzone is 9:00-11:30 CET.

Why a killzone works

• Overnight order flow is filled at the open.
• VWAP/TWAP algorithms start at the session open.
• Fixes and rollovers happen at fixed hours.
• Macro news is released inside these windows.

It is a concentration of liquidity, not magic.

Killzone table

How to use a killzone with other setups

1. London KZ: mark ON_H/L, trade the 15m ORB if gap_ATR >0.5.
2. Before the NY KZ (13:30-14:30 CET): do not open new positions.
3. NY KZ: the main session – 5m ORB, VWAP bounce, orderflow scalping. After 2 losses or at 17:00 CET – close the monitor.

If time_in NY_KZ and ORB_NY_trigger and VWAP_slope aligned -> size 100%
If time outside KZ -> size 25% or do not trade

Measurement – where the High/Low forms

For the last 60 sessions:
Count the % of days where High_D or Low_D formed in:
A) 09:00-11:30 CET
B) 14:30-17:00 CET
C) outside the KZ

Record ADR inside the KZ vs ADR outside the KZ. If ADR outside the KZ <30% of ADR inside the KZ – trading outside the KZ is not worth it.

A day with 2 killzones – example

GPW: WIG20 opens at 9:00 with a +0.6% gap after the DAX. The London KZ, 9:00-11:00, produces the high of the day at 10:15. Then 11:30-14:30 is rotation, -0.3%. At the NY open, 15:30, volume jumps 2x, but price does not print a new high/low – only a return to VWAP. A day trader who traded only 9:00-11:30 had 2 ORB setups with positive R. The one who traded 9:00-16:00 had 5 extra losses in the rotation.

How to find your own KZ in 30 minutes

Data: 60 sessions, M30 High/Low timestamp
Histogram: count how many High/Low fell into each 30-minute slot
Pick the 2 slots with the highest concentration = your KZ
Calculate ADR_KZ vs ADR_outside
If ADR_KZ > 65% of the daily ADR – trade only the KZ.

KZ + ORB + VWAP combination – playbook

Playbook A – London momentum:
Condition: time 08:00-11:00 CET, DAX gap_ATR 0.5-1.2, 15m ORB breakout aligned with VWAP slope
Entry on the retest, stop OR_low, target PM_H, RR min 1.5
Max 2 trades in this KZ

Playbook B – NY momentum:
Condition: time 14:30-17:00 CET, SPY Vol OR 5m >150% avg, VWAP slope >0
Entry on the 5m ORB breakout + VWAP hold, target 2*OR_N
Max 2 trades
Outside these – size 0

The most common trap

Trading the London KZ on SPY and the NY KZ on DAX without measuring. Markets have their own windows. Outside the NY KZ, SPY has negative expectancy after costs on 70% of days. That is not an opinion, it is a histogram.

When the plan says DO NOT TRADE

• Outside the defined KZ, if the statistics show an edge 50% lower.
• The gap between KZs, 11:30-14:30 CET – waiting.
• After hitting the 150-minute time limit.
• NY lunch 12:00-13:30 ET – false breakouts.
• Friday after 16:00 CET – end-of-week closes.

The mistakes that cost the most

1. Trading the whole 8h session – 3x more trades outside the edge than in a 2h KZ.
2. Ignoring the London KZ on DAX/EUR.
3. Carrying size from the KZ outside the KZ.
4. No hard stop on the clock.
5. All killzones on all markets – pick 1 main one.

Measurable exercise

A map of High/Low over time.

1. Pull D1 + M30 for 1 market over 40 sessions.
2. Mark the hour of High_D and Low_D.
3. Build a histogram: how many highs/lows in 08-11, 14-17, the rest.
4. Calculate the average range in each window: Range_KZ = High_KZ - Low_KZ.
5. Write the rule: “I trade only X and Y, otherwise size 0% because ADR_KZ = …, ADR_outside = …”.

Check yourself

1. Why is the NY Open KZ the most important one for US stocks?
2. What do you do if High_D forms in the London KZ 70% of the time and you trade SPY?
3. How do you combine the KZ filter with a 5m ORB – write the logical condition.
4. Why is the NY lunch off limits for most day traders?

Frequently asked questions

Do I need to know all ICT killzones? No. London and NY are enough.

Does a killzone work on 24/7 crypto? Statistically it does, but weaker than on ES/SPY. Measure it separately.

What about the GPW – trade after 14:30? Only if WIG20 reacts to the US open with volume >150% avg.

Can you trade London from Poland? Yes, 8-11 CET is your morning with high DAX/EUR liquidity.

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Killzones are statistical liquidity windows, not a guarantee of movement. Use them as a time filter.

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