It definitely depends on the market. Generally speaking, though, the beginning and ending of each session are the most active periods. Volume tends to be U-shaped.
Can you be specific on ES, YM, NQ, CL, TF and GC(the most liquid time in EST)?
Are they tradable for 24 hours like forex?
The beginning of each session mean Asian, London and NY session?
Many/most futures markets trade 24-hours now in some fashion. ES in particular does so. The primary session runs 08:20 to I think 16:00 ET. That's where the bulk of the volume takes place. It's during any given market's primary session where you will generally see the U shape volume distribution.
jjanguda, I find for the futures you have listed the best time is an hour before premarket and up to midday EST. For 6E and other currencies the same goes for the FTSE open, best time is an hour before premarket and through to midday EST. That is when most of my trades start and finish.
First two hours of the cash open is the best time where you see volatility if your scalping the markets. You really start to see the markets slow down after