Three Fictional Session Replays: Applying Auction Market Theory End to End

Before you read: Overnight Inventory and the Overnight High and Low

What you will learn

• How the ideas from this module describe a whole session, from the overnight range to the close.
• How three different fictional sessions, a balance day, a trend day and a failed breakout, read in the same framework.
• Why a replay describes what happened and never shows what someone should have done.

How does a replay work?

If you could only describe a session after it closed, what would you write down first?

A replay walks through a finished session in order, using the same checklist each time: the overnight inventory and range, the open against prior value, the initial balance, whether there was range extension, where value formed, what delta and volume showed, and how the session closed. How to Replay a Trading Session: A Worked Example walked through one session. The three below are fictional, invented to show how the same checklist reads different days. None of them is a real market or date.

Replay 1: a balance day

If the market opens inside yesterday’s value and never leaves it, what does the profile look like?

• Overnight: a narrow range with balanced inventory, inside the prior value area.
• Open: inside prior value and inside the overnight range.
• First hour: an initial balance roughly as wide as recent sessions. Price tests the upper edge, trades back to the middle, then tests the lower edge.
• Rest of session: no range extension worth noting. Value forms inside the prior value area, so value overlaps. Cumulative delta drifts near zero.
• Close: near the point of control. The profile is bell-shaped, a balanced day.

Replay 2: a trend day

What does a session look like when one side keeps being accepted at new prices all day?

• Overnight: most overnight trade above the prior settlement, which this framework labels net long inventory (a proxy, not measured positions), with the overnight high above the prior value area high.
• Open: above prior value and near the overnight high. Price moves away from the open quickly, an open drive.
• First hour: a narrow initial balance, then range extension above it in the second hour and again in the afternoon.
• Rest of session: value forms well above the prior value area, so value migrates higher. The profile is long and thin with single prints. Cumulative delta rises with price for most of the day.
• Close: near the high. The session is described as a trend day. Price did not return toward the prior settlement, so the net long inventory label was not followed by an inventory correction.

Replay diagram

Illustrative diagram constructed for teaching. Not real market data.

The diagram shows three fictional sessions side by side against the same prior value area: a bell-shaped profile inside it, a long thin profile that migrates above it, and a session that trades briefly above the prior high and closes lower. All values are made up.

Replay 3: a failed breakout

What does the record show when price trades above an obvious level and then returns?

• Overnight: balanced inventory, with the overnight high just under the prior day high.
• Open: inside prior value.
• First hour: price trades a few ticks above the prior day high on a volume spike, then returns into the initial balance. The bid/ask volume chart shows heavy ask volume at the high with little follow-through.
• Rest of session: range extension to the downside in the afternoon. Value forms overlapping to slightly lower. Looking back, cumulative delta was lower at the morning session high than at an earlier, lower price high, a delta divergence.
• Close: in the lower part of the range. Readers would later call the morning move a liquidity sweep. At the time it happened, the first leg had the same shape as the start of replay 2, a quick move up through an obvious level, though replay 2 opened above prior value and replay 3 inside it.

What do the three replays share?

Could you have told the three sessions apart from their first fifteen minutes?

Each replay used the same checklist, and each label (balance, trend, sweep) was settled only once the session was over. The first legs of replays 2 and 3 looked alike in shape, even though the two sessions opened in different places relative to prior value. That is the point of a replay: it trains description, not prediction.

What this does not tell you about session replays

• What a session will look like while it is happening. Labels come at the end.
• Whether a pattern from a fictional replay appears in any real market, or how often.
• What anyone should have done during the session. A replay is a description, not a record of trades.
• Nothing here suggests buying, selling or holding at any point in any session.

Watch the replay

Check yourself

1. Which items on the replay checklist can only be filled in after the session closes? Hint: value, profile shape, close.
2. In replay 2, what showed that the overnight long inventory was not corrected? Hint: where did value form?
3. Why did replays 2 and 3 look alike at first? Hint: what did the first leg do in each?

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