Setup the Profile Indicator with "Time Per Profile" preferences seen below. Notice that "Custom" is checked, with "3 Sessions" selected from the list box to the right. In this example, we will only be using 2 sessions but 3 sessions is possible. Just under "Per 1" is where we specify the 1st period (or first session) in minutes while Period 2 minutes input is just located on the right part of the checkup
Quick reminder / Globex session hours : for many years (from 2012 onwards), the globex day session ran from 9.30 am to 4.15 am ET, followed by a 15 minutes break, with the ETH or Overnight session running from 4.30 pm to 930am ET. At that time, Day session and Overnight session were adding up to the full globex session. Cash session (for stocks) was closing at 4 pm and the equity index futures settlement prices was based on the VWAP of the last 30 seconds prior to the day session close (at 4.15 pm.). That Day session period was based on the former old Pit hours. At that time, IRT full globex session (session 31 is usually used for this full globex session) was therefore defined as 4.30 pm ET to 4.15 pm ET
From 2020 onwards, with the pits having fully disappeared, the globex session hours changed, with a 60 minute break now scheduled between 5.00 and 6.00 pm ET. The timing of the settlement price was also changed, with the settle price being now based on the 30 seconds VWAP between 3.59.30 and 4 pm ET. That change created a lot of confusion with the creation of a "weird" 3rd session, starting from 4 to 5 pm ET, as, officially, the CME new trading day was still starting after the 60 minute trading interruption break (ie from 6 pm ET..).
How to display volume profile for both day sessions and overnight session ?
The concept is simple: Use the "Period 1" box to enter the number of minutes you'd like for the first profile. Use the "Period 2" box to enter the number of minutes you'd like in your second profile. If Periods 1 & 2 add up to the total number of minutes in the overall instrument session, then you will get two profiles. If Periods 1 & 2 fall short of the total number of minutes in the overall session, IRT will add a third Profile for the remaining minutes.
Until 2020, the situation was simple as the majority of users shared the same "definition" for the full globex session (4.30 pm to 4.15 pm ET), day session (9.30am to 4.15 pm) and overnight session (4.30 pm to 930 am ET)
At that time, you had to use 1020 as input for Period 1 (1020 = number of minutes for the overnight session) and 465 as input for period 2 (number of minutes in the day session), resulting in a non-existent third period
From 2020 onwards, the situation became much more complex and led to several scenarios
a) some users kept the same exact settings as before 2020 - Big benefit : they don't have to handle that "3rd session" / Big issue : they do not keep in their database the trades data taking now place from 4.15 to 4.30 pm ET
b) most of the users modified their full instrument settings (usually session 31) to the new Globex session hours, ie 6pm to 5pm ET, but some still kept the day session definition unchanged (9.30 to 4.15 pm) while some also adjusted that day session to 9.30 to 4.00 pm ET, as the meaning of the 4.15 time time fully disappeared with the official settlement time moving 4.00 pm...
In that second case, your period 1 input, needed to display the Overnight profile, becomes 930 (minutes), and your period 2 input will be either 405 (if your day session still ends at 4.15 pm ET) or 390 minutes (if it ends at 4.00 pm ET)
Reminder : if you want to display on your chart only the Day session profile (and not the overnight one or the 3rd session one), just check the "2nd session only" box. In all cases, the number of minutes depends on how you defined your instrument settings
Note : Investor/RT session settings are available on the menu File > Preference > Session. The default generic session number for CME futures is typically Session 31. The number itself is not important, but the session starts and end time (used for the instrument definition) are important (as tick data are only stored inside Investor/RT database within that particular period)