Opening Range (OR)

High / low of the first N session bars plus the current bar's breakout distance from the range midpoint. Conceptually identical to InitialBalance but with a shorter default window (6 = 30 min on 5-min bars) and an extra breakout_distance field — the signed distance from the current candle's close to the OR midpoint.

Quick reference

Item	Value
Family	Market Profile
Input type	Candle
Output type	OpeningRangeOutput { high, low, breakout_distance }
Output range	unbounded (price-units, signed distance for breakout field)
Default parameters	period = 6 (30-min OR on 5-min bars)
Warmup period	period
Interpretation	Opening-range breakout system reference

Formula

For the first `period` candles since reset:
  high = running max
  low  = running min
  breakout_distance = 0 (range not yet established)

After bar `period`:
  high, low locked
  mid = (high + low) / 2
  breakout_distance = close - mid       (per bar, updated each call)

The breakout distance is positive when price trades above the OR midpoint, negative below. See crates/wickra-core/src/indicators/opening_range.rs.

Parameters

Name	Type	Default	Constraint	Description
period	usize	6	> 0	Bars defining the OR.

OpeningRange::new returns Error::PeriodZero for period == 0. OpeningRange::classic() returns the 6-bar factory.

Inputs / Outputs

Indicator<Input = Candle, Output = OpeningRangeOutput> with three fields.

• Python. OpeningRange(period).batch(high, low, close) returns an (n, 3) float64 array.
• Node. Flat number[] of length n * 3.

Warmup

warmup_period() == period. First emission lands on bar period.

Edge cases

• Lock-in semantics. OR-high and OR-low lock after the period; breakout_distance continues updating per bar.
• Caller-driven reset. Same as InitialBalance — must call reset() at session boundaries.
• Pre-warmup behaviour. First period - 1 bars return None; bar period emits with breakout_distance = 0.
• Reset. Clears running stats and the lock.

Examples

Rust

use wickra::{BatchExt, Candle, Indicator, OpeningRange};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let candles: Vec<Candle> = (0..10).map(|i| {
        let b = 100.0 + f64::from(i) * 0.5;
        Candle::new(b, b + 1.0, b - 1.0, b, 1.0, i as i64).unwrap()
    }).collect();
    let mut or = OpeningRange::new(3)?;
    if let Some(o) = or.batch(&candles)[5] {
        println!("OR high={}  low={}  bd={}", o.high, o.low, o.breakout_distance);
    }
    Ok(())
}

Python

import numpy as np
import wickra as ta

n = 10
base = 100 + np.arange(n, dtype=float) * 0.5
or_ = ta.OpeningRange(3)
out = or_.batch(base + 1, base - 1, base)
print('row 5:', out[5])  # [high, low, breakout_distance]

Node

const wickra = require('wickra');
const or_ = new wickra.OpeningRange(3);
const base = Array.from({ length: 10 }, (_, i) => 100 + i * 0.5);
console.log(or_.batch(base.map(b => b + 1), base.map(b => b - 1), base));

Streaming

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

let mut or_ = OpeningRange::classic();
let candle_stream: Vec<wickra::Candle> = Vec::new(); // your live OHLCV candle feed
fn is_new_session(_bar: Candle) -> bool { false } // your session-boundary predicate
for bar in candle_stream {
    if is_new_session(bar) { or_.reset(); }
    if let Some(o) = or_.update(bar) {
        if o.breakout_distance > 0.0 && bar.close > o.high {
            /* upside breakout */
        }
        if o.breakout_distance < 0.0 && bar.close < o.low {
            /* downside breakdown */
        }
    }
}

Interpretation

• OR Breakout strategies. Classic Crabel-style — buy a break of OR-high, sell a break of OR-low. The 30-minute OR is the most-studied default.
• Breakout-distance momentum. The breakout_distance field tells you how far above / below the OR midpoint price is — useful for trend strength reading.
• Vs InitialBalance. OR is typically shorter (30 min) than IB (1 hour); OR adds breakout-distance output.

Common pitfalls

• Manual reset required. Same as InitialBalance — explicit session-boundary reset is mandatory.
• Period vs timeframe. period = 6 is "30 minutes on 5-min bars". On 1-min bars, use period = 30; on 15-min bars, use period = 2.
• Mid vs boundary. Some traders use OR high/low as breakout triggers; others use the midpoint. breakout_distance supports the midpoint-based reading directly.

References

• Toby Crabel, Day Trading with Short Term Price Patterns and Opening Range Breakout (1990) — canonical OR-breakout treatment.

See also

• InitialBalance — longer cousin without breakout-distance.
• ValueArea — session-volume distribution.
• Donchian — continuous rolling channel.
• Indicators-Overview — full taxonomy.