Overnight vs. Intraday Return

Decomposes a session's total return into its overnight (close-to-open) and intraday (open-to-close) components. Compounding the two reconstructs the previous-close to latest-close return.

Quick reference

Item	Value
Family	Seasonality & Session
Input type	Candle (uses open, close, timestamp)
Output type	OvernightIntradayReturnOutput { overnight, intraday }
Output range	unbounded (simple returns)
Default parameters	utc_offset_minutes = 0 (UTC)
Warmup period	2
Interpretation	Where the session's return was earned

Formula

overnight = open / previous_close - 1     (fixed at the session open)
intraday  = close / open - 1              (updates each bar)
total     = (1 + overnight)(1 + intraday) - 1

See crates/wickra-core/src/indicators/overnight_intraday_return.rs.

Parameters

Name	Type	Default	Constraint	Source	Description
utc_offset_minutes	i32	0	none	overnight_intraday_return.rs:46	Shifts the instant before deriving the day boundary.

OvernightIntradayReturn::new is infallible.

Inputs / Outputs

const _: fn(&mut wickra::OvernightIntradayReturn, wickra::Candle) -> Option<wickra::OvernightIntradayReturnOutput> =
    <wickra::OvernightIntradayReturn as wickra::Indicator>::update;

• Python. update((o,h,l,c,v,ts)) → (overnight, intraday); batch(...) → (n, 2) array.
• Node. update(...) → { overnight, intraday }; batch(...) → flat number[] length n*2.
• WASM. update(...) → { overnight, intraday } object.

Warmup

warmup_period() == 2. The first session yields None (no prior close); from the second session onward both components are reported every bar.

Edge cases

• First session yields None (test first_session_yields_none).
• Decomposes both legs at the boundary (test decomposes_overnight_and_intraday).
• Intraday updates through the session while overnight stays fixed (test intraday_updates_through_the_session).
• Zero anchors (prior close or open 0) yield 0.0 components (test zero_anchors_yield_zero_components).
• Reset clears all anchors (test reset_clears_state).

Examples

Rust

use wickra::{Candle, Indicator, OvernightIntradayReturn};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let day = 24 * 3_600_000;
    let mut oi = OvernightIntradayReturn::new(0);
    oi.update(Candle::new(99.0, 101.0, 98.0, 100.0, 1.0, 0)?);           // day 1 closes 100
    let v = oi.update(Candle::new(110.0, 122.0, 109.0, 121.0, 1.0, day)?).unwrap();
    println!("{} {}", v.overnight, v.intraday); // 0.10 0.10
    Ok(())
}

Python

import wickra as ta

DAY = 24 * 3_600_000
oi = ta.OvernightIntradayReturn(0)
assert oi.update((99.0, 101.0, 98.0, 100.0, 1.0, 0)) is None
print(oi.update((110.0, 122.0, 109.0, 121.0, 1.0, DAY)))  # (0.10, 0.10)

Node

const wickra = require('wickra');
const DAY = 24 * 3_600_000;
const oi = new wickra.OvernightIntradayReturn(0);
oi.update(99, 101, 98, 100, 1, 0);
console.log(oi.update(110, 122, 109, 121, 1, DAY)); // { overnight: 0.10, intraday: 0.10 }

Streaming

oi = ta.OvernightIntradayReturn(-300)
for o, h, l, c, v, ts in candle_feed:
    legs = oi.update((o, h, l, c, v, ts))
    # attribute the day's P&L to overnight (gap) vs intraday (trading-hours) risk

Interpretation

1. Risk attribution. Many equity indices earn most of their long-run return overnight; this indicator separates the two regimes for analysis.
2. Strategy design. Overnight-only and intraday-only strategies use this split to confirm where their edge lives.

Common pitfalls

• Compounding, not adding. Total return is the product (1+o)(1+i)-1, not the sum — relevant for large moves.
• Session boundary. As with the rest of the family, set utc_offset_minutes to the venue's session.

See also

• OvernightGap — the overnight leg in isolation.
• Indicators-Overview — full taxonomy.