This phrase uses 'burning oil' metaphorically to mean working hard late at night. During the project, we had to burn the midnight oil to meet the deadline.
Pro Tip 2/3
Figurative Expression
It's a figurative way to say someone is staying up late, not literally burning oil. She burned the midnight oil to finish her thesis.
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Intensity Implied
Implies intense focus or effort, not just being awake at night. He's burning the midnight oil every night to become a top athlete.