Time & Price Algorithmic Trading: Sessions of Interest

Summary

This lecture from the 2025 Trading Protocol series explains “sessions of interest” — specific daily time windows that produce higher-probability setups. Positioned in the environment selection stage, it argues traders should only engage during low-resistance liquidity runs to reduce noise and improve data consistency. The instructor defines trading sessions and 90-minute cycles, then introduces 30-minute macro windows (xx:45–xx:15) and selects focused SOIs: London 2:45–4:15 AM (NY), New York AM 9:45–11:15 AM, and New York PM 12:45–3:15 PM. Homework: collect 10 examples of each session and compare before/during/after delivery to observe cleaner price action.

Takeaways

• 🕒 Trading success depends heavily on **time**, and certain daily windows offer significantly higher-probability trade setups.
• 🧭 The lecture focuses on the **Environment Selection** stage of the trading protocol, which identifies when low-resistance liquidity runs are most likely.
• 📉 Trading during **high-resistance liquidity environments** increases the chance of losing previously gained profits.
• 🎯 A key goal is to **minimize variables**—especially time—because executing in consistent time windows produces cleaner, more reliable data.
• 🔍 Each trading day is divided into four sessions: **Asia, London, New York AM, and New York PM**, but the emphasis here is on London and New York sessions.
• ⏱️ Each session contains three **90-minute cycles**, which structure how price tends to move and reverse.
• 📆 The concept of **macro windows** (xx:45–xx:15) represents 30-minute windows in which price typically either reverses or expands.
• 🏁 Sessions of Interest (SOI) are defined as high-probability time periods: **London 2:45–4:15**, **New York AM 9:45–11:15**, and **New York PM 12:45–3:15**.
• 📈 Trading setups must occur **within** these Sessions of Interest; setups outside these windows are lower probability even if they appear technically identical.
• 🧪 Cleaner price delivery consistently appears **during** these SOI windows compared to before or after, improving data quality and trading consistency.
• 📚 Homework involves collecting and comparing **10 examples** of delivery for each SOI window to observe the difference in price action behavior.

Q & A

What is the main purpose of discussing 'sessions of interest' in this lecture?

The main purpose is to identify specific windows within each trading day where high-probability trading setups are likely to occur. By focusing on these time periods, traders can filter out bad trades and increase the chances of successful trades.

Why is it important to focus only on specific time windows during a trading day?

Focusing on specific time windows allows traders to engage during low-resistance liquidity run environments, which have a higher probability of success. This reduces the chances of being taken out by market noise and increases the overall effectiveness of the trading strategy.

What are 'macro windows' and why are they important in trading?

Macro windows are 30-minute time periods, occurring every hour between the 45th and 15th minute of each hour. These windows are important because, during these periods, price action is more likely to either reverse or expand, providing potential trading opportunities.

What is the significance of executing trades consistently at the same time each day?

Consistently executing trades at the same time helps collect cleaner and more reliable data, minimizing noise and randomness. This enables more effective optimization of the trading protocol over time.

What are the four main trading sessions in a trading day, and how are they defined?

The four main trading sessions are: 1) Asia (6:00 p.m. to 2:30 a.m. New York time), 2) London (2:30 a.m. to 7:00 a.m. New York time), 3) New York AM (7:00 a.m. to 11:30 a.m. New York time), and 4) New York PM (11:30 a.m. to 4:00 p.m. New York time). Each session is based on different time zones.

What does the term 'high-resistance liquidity run environment' refer to in trading?

A high-resistance liquidity run environment refers to a market condition where there is more market noise and less predictability, making it harder for traders to execute successful trades. These environments are riskier, and it is advisable to avoid trading during these times.

Why are London AM and PM sessions highlighted in the lecture?

London AM and PM sessions are highlighted because they are key windows of interest where price movements are cleaner and more predictable, making them ideal times for trading. The lecture focuses on these sessions to maximize trading success.

How do macro windows relate to price movement?

During macro windows, price is either likely to reverse if no reversal has occurred before, or to expand if a reversal has already happened. These time periods are important for identifying potential price movements that can lead to profitable trades.

What is the recommended homework for the students after this lecture?

The homework is to collect 10 examples of price delivery during the London, New York AM, and New York PM sessions within the defined time windows, and compare the price action before, during, and after the sessions. This will help students understand the cleaner price movements within these time periods.

What does the term 'session of interest' (SOI) mean in the context of this lecture?

A 'session of interest' refers to specific time periods within each trading session where price action is most likely to be clean and conducive to high-probability trading setups. These periods are defined by macro windows and are the focus of the lecture for maximizing trade success.