* CBOT wheat retreats from nine-year peak, Euronext sets record

* Soybeans and corn also slide in pre-holiday trade

* Markets closed on Thursday for U.S. Thanksgiving holiday

CHICAGO, Nov 24 (Reuters) - U.S. wheat futures fell from multi-year highs on Wednesday and corn and soybeans eased in a profit-taking and liquidation sell-off ahead of the Thanksgiving holiday.

A firmer U.S. dollar added pressure, but losses in corn and soy were tempered by signs of improved export demand.

Markets will be closed on Thursday for the holiday and Friday's trading session will be abbreviated, prompting funds and other traders to square positions on Wednesday.

"We're seeing some pretty heavy liquidation pressure pre-Thanksgiving," said Mike Zuzolo, president of Global Commodity Analytics. "But we saw the export sales in the corn and soybeans. That underpinned the demand sentiment that was starting to get more negative as the dollar made new highs."

Chicago Board of Trade March wheat fell 17-1/4 cents to $8.50-1/4 a bushel after hitting a contract high of $8.74-3/4 earlier in the session. It was the highest point for a most-active contract since December 2012.

Wheat markets have been propelled higher this week by concerns about global supplies and expectations of rising demand. Paris-based Euronext futures set historic highs on Wednesday as the euro hit a 16-month low against the dollar.

Rains stalled Australia's bumper harvest this week, leading to worries of lower quality supplies.

Meanwhile, prices in top exporter Russia have jumped, shipments from western Canada have been disrupted by flooding and U.S. winter crop conditions have worsened.

CBOT March corn fell 2-3/4 cents to $5.85-1/2 a bushel, retreating from a nearly-five-month high of $5.96-3/4 for a most-active contract notched earlier in the session.

January soybeans fell 6-1/2 cents to $12.66-1/2 a bushel.

In a daily sales announcement on Wednesday, the U.S. Department of Agriculture (USDA) reported 100,000 tonnes of U.S. corn sales to Mexico and 330,000 tonnes of soybean sales to undisclosed buyers. (Additional reporting by Gus Trompiz in Paris and Naveen Thukral in Singapore Editing by Barbara Lewis and Leslie Adler)