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    Select 
      case
        when session_category = 2 and y.SessionId is not null 
        then 3	
    	when session_category = 2 
    	then 2
    	else 1
      end session_category
      , count(distinct x.UserId) user_count
    from
      (
        select 
          [SessionId]  
          ,[UserId] 
    	  ,case 
    	     when sum(case when [Action]  = 'action_1' then 1 else 0 end) = count(*) 
    		 then 1
    	     else 2
    	   end as session_category  	
        from
          [Test].[dbo].[UserAction] (nolock) 
        where
          [Action] in ('action_1', 'action_2')
        group by
          [SessionId]
    	  , [UserId]
      )x
      left outer join
      (
        SELECT 
    	  [SessionId]  
          ,[UserId]  
        FROM 
    	  [Test].[dbo].[UserPlay]  (nolock)  
        WHERE 
    	  [Play] = 'I want to play more'
    	/*
    	  You might not need this
    	  GROUP BY if a user can choose
    	  'I want to play more' only 
    	  once per session
    	*/
    	GROUP BY  
    	  [SessionId]  
          ,[UserId]  
      )y
      on
        x.SessionId = y.SessionId
    	and
    	x.UserId = y.UserId
    group by
      case
        when session_category = 2 and y.SessionId is not null 
        then 3	
    	when session_category = 2 
    	then 2
    	else 1
      end