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I believe the CME still has “ pit sessions” for currency futures- 0820-1500 CST. Do any currency futures traders use this as the most important session of the day or do most just use the standard FX hours , essentially 1700-1600 CST?
Hi, in my opinion is better to develop or test a strategy (or just watch the market going) setting the full session, which is as you said correctly 17:00-16:00 from Sunday to Friday Chicago Time. I think that now that these markets are quite fully electronic pit sessions are not so effective, by the way the American session (that is the most liquid and also the most active) starts as you said in that hours (8:30-15:30) so maybe you can find an edge working just in that hours, but you have to test it before trading it.
Euro session is also usually pretty active at the opening (3 AM EST I believe?) Some good trades to be had there. Basically you'll want to focus on the high volume periods (session open/closes, news events, etc.)
I agree with what @Andrea Unger just said, since market are fully electronic pit session vs "overnight session" is not that relevant nowadays. On top of that consider that currency futures are a different beast compared to other futures like ES, YM, NQ or commodities.
First of all the currency futures are a 24 hour market, and depending on the currency pair there might be important moves overnight, simply because of when news are released. For instance a decision of Bank of Japan will move Yen in the afterhours etc...
Another important thing to consider is that most of the volume in currencies is made in the forex market , not in currency futures. So currency futures represent only a small fraction of the "currency world" which is dominated by forex. Of course with current efficiency in markets there is probably little no difference between forex and currency futures (I am no expert though of this sector though), because algorithms and robots arbitrage between the two of them.
The point is that when you trade a currency future you are only seeing the volume of the future product, so you don't see the full picture.
Most of what you wrote is accurate and true, but I would like to provide a few insights gleaned over the years regarding currencies.
One will, at times, find both small and large discrepancies in structure between the futures product and the spot market. Most of the time they move hand in hand, but not all the time and definitely not to the tick.
Also, if volume is a factor in your trading, then futures volume is likely the most accurate measure of it because forex is decentralized. There are many, many forex brokers, and they all provide their own proprietary volume information which presents an incomplete picture at best in the overall scheme of things.
Ciao Andrea, nice to have your expertise here in the forum 
