But Arden team-mate Mitch Evans came within 0.016 seconds of toppling him in the second group.
The sessions were split in two, for odd- and even-numbered cars, to avoid the crashes that have occurred in recent years with all 26 cars on track simultaneously.
The flip-side was that drivers only had 15 minutes to set their times, so had just one run on the Pirelli super-soft tyres.
In Group A, last year's feature race winner Cecotto looked ragged but it was resulting in some fantastic times.
He worked his way down to 1m21.141s, some 0.368 seconds clear of second-quickest driver, and free practice pacesetter, Sam Bird of the Russian Time team.
Trident's Kevin Ceccon and Julian Leal (Racing Engineering) were next up.
In Group B, for even numbered cars, the fastest time swapped hands numerously between Tom Dillmann, Mitch Evans, Jolyon Palmer and Fabio Leimer.
Evans was at the top when the chequered flag fell, but his 1m21.157s was just 0.016s slower than Cecotto's earlier mark.
Cecotto thus earned the Group A runners the cleaner left-hand side of the grid. He will start with Evans alongside him, with row two comprising Bird and Leimer (Racing Engineering).
Ceccon and Palmer (Carlin) will share row three, ahead of Leal and Dillmann (Russian Time).
Frontrunners Felipe Nasr and Robin Frijns will start ninth and 10th, with points leader Stefano Coletti down in 14th.