A session has a schedule: start and end times, as well as stages within the day. Typically, an opening auction is distinguished, during which the starting price is determined based on accumulated orders, main trading, and a closing auction that sets the day's closing price.
Session results are used to calculate closing prices and volume-weighted averages, which are used to evaluate portfolios and calculate indices.
The beginning and end of a session are periods of increased volatility: at the opening, information received after the previous day's close is reflected in prices, and before closing, participant activity increases as they complete transactions.
Practical consequence for instruments with low liquidity: in the first and last minutes, spreads are typically wider and there are fewer orders. Submitting market orders during these periods is riskier, and the gap between the closing price and the opening price of the next day is explained by the fact that intermediate levels were not traded.