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Prebuilt Feature Guide

Features can be called by specifying config dictionaries. Create one dictionary per feature and return them in a dictionary as market features or instrument features.

Feature config Dictionary has the following keys:

    featureId:  a string representing the type of feature you want to use  
    featureKey: {optional} a string representing the key you will use to access the value of this feature  
                  If not present, will just use featureId  
    params: {optional} A dictionary with which contains other optional params if needed by the feature

Code Snippets for all the features are available below

Feature ID Parameters Description
moving_average 'featureName', 'period' calculate rolling average of featureName over period
moving_correlation 'period', 'series1', 'series2' calculate rolling correlation of series1 and series2 over period
moving_max 'featureName', 'period' calculate rolling max of featureName over period
moving_min 'featureName', 'period' calculate rolling min of featureName over period
moving_sdev 'featureName', 'period' calculate moving standard deviation of featureName over period
moving_sum 'featureName', 'period' calculate moving sum of featureName over period
exponential_moving_average 'featureName', 'period' calculate exp. weighted moving average of featureName with period as half life
argmax 'featureName', 'period' Returns the index where featureName is maximum over period
argmin 'featureName', 'period' Returns the index where featureName is minimum over period
delay 'featureName', 'period' Returns the value of featureName with a delay of period
difference 'featureName', 'period' Returns the difference of featureName with it's value period before
rank 'featureName', 'period' Ranks last period values of featureName on a scale of 0 to 1
scale 'featureName', 'period', 'scale' Resale last period values of featureName on a scale of 0 to scale
ratio 'featureName', 'instrumentId1', 'instrumentId2' ratio of feature values of instrumentID1 / instrumentID2
momentum 'featureName', 'period' calculate momentum in featureName over period as featureValue(now) - featureValue(now - period)
bollinger_bands 'featureName', 'period' upper and lower bollinger bands as average(period) - sdev(period), average(period) + sdev(period)
bollinger_bands_lower 'featureName', 'period' lower bollinger bands as average(period) - sdev(period)
bollinger_bands_upper 'featureName', 'period' upper bollinger bands as average(period) + sdev(period)
cross_sectional_momentum 'featureName', 'period', 'instrumentIds' Returns Cross-Section Momentum of 'instrumentIds' in featureName over period
macd 'featureName', 'period1', 'period2' moving average convergence divergence as average(period1) - average(period2)
rsi 'featureName', 'period' Relative Strength Index - ratio of average profits / average losses over period
vwap - calculated from book data as bid price x ask volume + ask price x bid volume / (ask volume + bid volume)
fees - fees to trade, always calculated
position - instrument position, always calculated
pnl - Profit/Loss, always calculated
capital - Spare capital not in use, always calculated
portfolio_value - Total value of trading system, always calculated


moving_avg = {'featureKey': 'ma_5',
                  'featureId': 'moving_average',
                  'params': {'period': 5,
                             'featureName': 'stockTopAskPrice'}}
moving_max = {'featureKey': 'moving_max',
                  'featureId': 'moving_max',
                  'params': {'period': 5,
                             'featureName': 'stockTopAskPrice'}}
moving_min = {'featureKey': 'moving_min',
                  'featureId': 'moving_min',
                  'params': {'period': 5,
                             'featureName': 'basis'}}
moving_sdev = {'featureKey': 'moving_sdev',
                  'featureId': 'moving_sdev',
                  'params': {'period': 5,
                             'featureName': 'basis'}}
moving_sum = {'featureKey': 'moving_sum',
                  'featureId': 'moving_sum',
                  'params': {'period': 5,
                             'featureName': 'basis'}}
ema = {'featureKey': 'exponential_moving_average',
                  'featureId': 'exponential_moving_average',
                  'params': {'period': 5,
                             'featureName': 'basis'}}
argmax = {'featureKey': 'argmax',
                  'featureId': 'argmax',
                  'params': {'period': 5,
                             'featureName': 'basis'}}
argmin = {'featureKey': 'argmin',
                  'featureId': 'argmin',
                  'params': {'period': 5,
                             'featureName': 'basis'}}
delay = {'featureKey': 'delay',
                  'featureId': 'delay',
                  'params': {'period': 5,
                             'featureName': 'basis'}}
diff = {'featureKey': 'difference',
                  'featureId': 'difference',
                  'params': {'period': 5,
                             'featureName': 'basis'}}
rank = {'featureKey': 'rank',
                  'featureId': 'rank',
                  'params': {'period': 5,
                             'featureName': 'basis'}}
scale = {'featureKey': 'scale',
                  'featureId': 'scale',
                  'params': {'period': 5,
                             'featureName': 'basis', 'scale': 3}}
mmt = {'featureKey': 'momentum',
                  'featureId': 'momentum',
                  'params': {'period': 5,
                             'featureName': 'basis'}}
rankDict = {'featureKey': 'rank',
                    'featureId': 'rank',
                    'params': {'period': 5,
                               'featureName': 'stockVWAP'}}
bbandlowerDict = {'featureKey': 'bollinger_bands_lower',
                     'featureId': 'bollinger_bands_lower',
                     'params': {'period': 30,
                               'featureName': 'stockVWAP'}}
bbandupperDict = {'featureKey': 'bollinger_bands_upper',
                     'featureId': 'bollinger_bands_upper',
                     'params': {'period': 30,
                               'featureName': 'stockVWAP'}}
rsi = {'featureKey': 'rsi',
                  'featureId': 'rsi',
                  'params': {'period': 5,
                             'featureName': 'basis'}}
vwap = {'featureKey': 'vwap',
                  'featureId': 'vwap'}
fees = {'featureKey': 'fees',
                  'featureId': 'fees'}
position = {'featureKey': 'position',
                  'featureId': 'position'}
pnl = {'featureKey': 'pnl',
                  'featureId': 'pnl'}
capital = {'featureKey': 'capital',
                  'featureId': 'capital'}
portfolio_value = {'featureKey': 'portfolio_value',
                  'featureId': 'portfolio_value'}
macd = {'featureKey': 'macd',
                  'featureId': 'macd',
                  'params': {'period1': 5,
                     'period2': 10,      
                             'featureName': 'basis'}}
csm = {'featureKey': 'cross_sectional_momentum',
                  'featureId': 'cross_sectional_momentum',
                  'params': {'period': 5,
                             'featureName': 'basis'}}
ratio = {'featureKey': 'ratio',
                  'featureId': 'ratio',
                  'params': {'instrumentId1': "IBM", 'instumentId2': "MSFT"
                             'featureName': 'basis'}}