The majority of session data is collected automatically by your Yandex.Metrica tag. However, you'll likely find that it would benefit you to supplement this data with your own data. For example, you may be interested in statistics on what specific items were purchased or what actions users who were logged in performed.
Yandex.Metrica lets you connect a custom data set to the corresponding session. These sets are called session parameters. This data can be shown in reports, or used in conditions for dimensions and segmentation.