Live Preview option helps you stream live data from your application. As per the documentation:
For Java and .NET environments, you can use interactive live preview tools to find business transaction entry points:
Business transaction discovery sessions stream live data from the node to the Controller UI to help you make instrumentation decisions. These sessions display transactions based on all transaction detection rules active for the node.
For certain types of entry points, custom match rule live preview enables you to preview transactions based on applying a single transaction detection rule on a node.