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Example Desk: Feature Generator #23

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echavemann opened this issue Oct 15, 2024 · 0 comments
Open

Example Desk: Feature Generator #23

echavemann opened this issue Oct 15, 2024 · 0 comments
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@echavemann
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Prereq: https://github.com/northwesternfintech/desk-monorepo/pull/21/files#diff-9695af6c7b915224fd8b7fbe3267a6a6fd04b0df56b1e7aad856d8fd826efc9c

We need to add example functionality for our own testing. To this end, we will need to implement an example_feature_generator.py, a subclass of the BaseFeatureGenerator.

First:
We need a PR for a feature. I would advise doing an OHLC feature - take in a list of trades, and compute these. Add substantial unit tests to make sure this works.

Second: Now we need to scale this for the feature generator. Add helpers to the BaseFeatureGenerator for computing each symbol - this will help consumers organize by example. Pick (3-5) assets, and then write the on_tick function to compute all of your features for every symbol and then corral them into the dictionary at the end. BE SURE that the order of output features is the same for all of the coins, and that you test this! It is really important. Please also leave a comment indicating the order of features for future work in the on_tick fn.

@jhileman07 jhileman07 self-assigned this Oct 17, 2024
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