How to Replay a Trading Session: A Worked Example

Before you read: Order Flow Basics: DOM, Time and Sales, Delta

ILLUSTRATIVE · Constructed for teaching · Not real market data · Not a recommendation or signal

What you will learn

• How to combine structure, levels, volume, VWAP, profile and order flow into one description of a session.
• A repeatable checklist for replaying your own past sessions.
• How to keep a replay descriptive, so it builds understanding instead of hindsight stories.

What is this worked example?

What would make a replay a description rather than a story told with hindsight?

The session below is ILLUSTRATIVE. It was constructed for teaching. It is not a real date, a real market, or real prices. The prices are on a made-up scale around 100 so that no one mistakes them for real data.

This lesson is strictly descriptive. It contains no entries, exits, stops, targets, or profit and loss. The goal is to practice describing what happened, in the vocabulary of the earlier lessons, from market structure through order flow basics.

What do we know before the open?

Before the first trade of the day, what do you already know?

Our constructed market is an index futures contract (front month). Before the regular session:

• Prior session: high 102.00, low 98.00. Value area high (VAH) 101.00, value area low (VAL) 99.50, point of control (POC) 100.25. The profile was bell-shaped, a balanced day.
• Prior days: three overlapping value areas in a row. In auction terms, a multi-day balance between roughly 98 and 102.
• Structure (hourly chart): a range. Swing highs near 102, swing lows near 98, no clear sequence of higher highs or lower lows.
• Overnight: price drifted up to 101.40 on light volume.
• Scheduled news: none during the session in this example (see economic events and headlines).

Index futures are leveraged products. Leverage can cause losses larger than the amount invested.

What happened, period by period?

At each step, what was knowable then, without looking ahead?

Period 1: the open. The session opens at 101.30. That is above prior value but inside the prior range (see opening types). Session VWAP starts at the first bar and moves a lot in the first minutes because there is little volume behind it yet (see VWAP).

Period 2: the opening auction. Price rotates between 100.90 and 101.60 for the first half hour. The opening type is best described as an open auction: back-and-forth, no drive. Relative volume is about normal for that time of day (see relative volume).

Period 3: test of the prior high. Price moves up to 102.00, the prior session high and the top of the multi-day range. Ask volume rises on the way up. At 101.90 to 102.00, a lot of volume trades at the ask but price barely moves for several minutes. In order flow language, some traders would describe that as possible absorption at the range high. Cumulative delta is rising while price is flat. This is a description of the data; it says nothing certain about who was trading.

Period 4: rotation back. Price fails to get past 102.00 and rotates back down through session VWAP to 100.40, near the prior POC. In auction terms, some traders would describe the attempt at the range high as rejected: a few minutes near 102.00, then a quick exit (see Auction Market Theory). That is a reading of time and price, not a measurement of anyone’s intent. The initial balance for the session (the first hour) ends up as 100.40 to 102.00.

Period 5: the middle of the day. Volume dries up. Price rotates between 100.40 and 101.20 around session VWAP, which flattens out. The developing session profile becomes bell-shaped, with a developing POC near 100.75.

Period 6: the late session. Price makes a small push below the initial balance low to 100.20 on light volume and returns to the middle. The session closes at 100.80.

How does the session read in one paragraph?

Can you summarize a whole session in a few sentences without saying what anyone should have done?

A balanced, rotational day inside a multi-day balance. The market opened above prior value, tested the top of the range at the prior high, met heavy volume there with little price progress, rotated back into prior value and spent the rest of the session around VWAP. Today’s value area overlaps yesterday’s heavily, so value has not migrated. The day type, known only at the close, is best described as a balanced day with a small range extension down.

Notice what is missing: no “should have”, no “would have made”, no “next time it will”. Those turn a replay into a hindsight story.

Session replay diagram

Illustrative diagram constructed for teaching. Not real market data.

The diagram shows a schematic of this constructed session: the prior range and value area as shaded bands, the price path through the six periods, and session VWAP. It is schematic only.

How do you replay a trading session?

What would you write down, step by step, to review a session you traded or watched?

Some traders use a checklist like this on their own past sessions and keep the notes in a trading journal. Short written answers tend to surface details that a quick look misses.

Before the open

1. Prior session: high, low, value area, POC, and profile shape.
2. Multi-day context: are value areas overlapping (balance) or moving (migration)?
3. Structure on a higher timeframe: trend, range, recent breaks.
4. Key levels as zones: prior highs and lows, round numbers, prior value area boundaries.
5. Scheduled news times.

During the session (replayed bar by bar) 6. Where did it open relative to prior value and range? 7. How did the opening period unfold (drive, test, rejection, auction)? 8. What happened at each level price reached: time spent, volume, quick rejection or acceptance? 9. Where was price relative to session VWAP, and was VWAP rising, falling or flat? 10. Was volume normal, heavy or light for the time of day? 11. Did order flow show anything notable at key moments (delta, absorption, imbalance), with the caveats from order flow basics?

After the close 12. Final profile shape and day type. 13. Value migration versus the prior session. 14. One sentence on what you understand better now.

Replay rules

• Hide the right side of the chart and step forward bar by bar, so you describe what was knowable at each point.
• Write down your description at each step before you look ahead.
• Note where your in-session label turned out wrong at the close. That is the most useful part of the exercise.
• The exercise does not involve computing what a trade “would have made”. It is about reading the market, not grading a strategy.

What this does not tell you about a session replay

• One session teaches vocabulary, not patterns. A single example proves nothing about what usually happens.
• Hindsight makes everything look obvious. A replay can only describe, never predict.
• Different traders will describe the same session differently, and that is fine.

Watch the replay

Check yourself

Reflect on these; there is no score.

1. In the example, why is the open described as “above value but inside the range”? Hint: compare 101.30 with the prior VAH and prior high.
2. What evidence in Period 3 might some traders describe as absorption, and why is that only an interpretation? Hint: heavy ask volume, little price progress; you cannot see who traded.
3. Why does the checklist ask you to hide the right side of the chart? Hint: what was knowable at the time.
4. Why does the lesson leave out “what a trade would have made”? Hint: the difference between describing and grading.

Last reviewed November 8, 2026. Spotted a mistake? Report an error.