What a session is
By default, a session is the regular trading day: RTH, 9:30 to 16:00 New York time. Everything keys to exchange time (Chicago and New York), whatever your own clock says, so the profile lines up with the market and not your timezone. The overnight (Globex) trade is treated as one separate profile, from 16:00 to the next 9:30. Session highs and lows count regular-hours prints.
Changing the session window
In the settings rail, under TPO periods, the Session window sets the RTH start and end. Narrowing it re-filters what goes into the profile. If you have 24-hour data loaded, you can also widen the window to capture other sessions, like the full Globex day. The Initial Balance (the first hour, two 30-minute periods by default) is set here as well.
Seeing the overnight
Turn on Overnight profile to draw the prior night's Globex profile alongside the day, on the left. It is a quick way to see where the overnight built value relative to where the day opens.
Splitting a day: AM / PM
In the single view, the Split AM / PM switch breaks the session into two sub-profiles, morning and afternoon, side by side. It is a fast way to see whether the two halves of the day built value in the same place or moved, and where the afternoon accepted or rejected the morning's range.
(Split is a reading tool for a completed or developing single day, so the couple of features that need the whole continuous session, replay and the measure tool, switch it off when you start them.)
Custom sessions in the multi view: Profile sets
The multi view can run more than one profile set at a time, and each set builds its own profile per day from its own window. That is how you show, for example, an RTH set and an overnight set together, each with its own colors and style. Add, name, color, and set the window for each one in the Profile sets section. It is the most flexible way to compare sessions side by side.
Merging days: Composite
The Composite view merges a whole date range into one profile, so you can see the longer-term value the individual days are sitting inside. You can limit each day to a time window (uncheck All day) to build, say, an RTH-only composite over a month. Pick the date range, the period, and the tick in the Composite section.