Requirement

python3

TestDrive

After cloning the repo, run

chmod +x run.sh
./run.sh

OR

python3 gen_features.py -p -s v1_features.schema SPY.csv

Objective

Build a simple reusable general purpose feature generator for Machine Learning.

Feature Definition

The feature master file is the .schema file which defines the Raw data and the features. This file provides feature generator a map of what is expected raw data and generated features.

Raw Data

1:1 mapping of raw data columns with schema raw columns. Raw Data columns must be declared before any computed feature uses them.

Features

Feature are defined as name value pair. The feature name is one word. Rest of the string(value) describes how to compute the feature. The value could be a python expression or a python function call. Like:-

import feat

# Raw Data -- A comment which will be ignored by the system
S_Open
S_High
S_Low
S_Close
S_Volume

# Features
# Value computed using python expression
 Open                                float(S_Open)
 High                                float(S_High)
 Low                                 float(S_Low)
 Close                               float(S_Close)
 Volume                              float(S_Volume)
 
 # Value computed using an outside function call
 Atr                                 feat.atr(High, Low, Close)

To call external python function, you need to include the file, using import feat in the case above, before any external call is made.