{"repo":"ml4t/engineer","free":true,"listed":false,"github":"https://github.com/ml4t/engineer","clone":"git clone https://github.com/ml4t/engineer.git","description":"Feature engineering, labeling, alternative bars, and leakage-safe datasets for financial ML.","language":"Python","stars":20,"topics":["algorithmic-trading","feature-engineering","finance","financial-ml","labeling","machine-learning-for-trading","microstructure","ml4t","python","quantitative-finance"],"license":"MIT","category":"trading","readme_excerpt":"ml4t-engineer Feature engineering for financial machine learning: validated features, labeling methods, alternative bars, and leakage-safe dataset preparation. Part of the ML4T Library Ecosystem This library is one of six interconnected libraries supporting the machine learning for trading workflow described in Machine Learning for Trading: Together they cover data infrastructure, feature engineering, modeling, signal evaluation, strategy backtesting, and live deployment. What This Library Does Transforming raw price data into predictive features is a core task in quantitative research. ml4t-engineer provides: - 120 registry features across 11 categories (momentum, volatility, trend, microstructure, and more) - Triple-barrier, ATR-based, percentile, trend-scanning, and meta-labeling methods from Advances in Financial Machine Learning - Alternative bar sampling (volume bars, dollar bars, tick imbalance bars) - Dataset building, preprocessing, and feature discovery for leakage-safe ML workflows The library is built on Polars with Numba JIT compilation for numerical operations. 60 features are validated against TA-Lib at 1e-6 tolerance. Installation Optional dependencies: Quick Start Feature Registry Feature Categories Category Count Examples ---------- ------- ---------- Momentum 31 RSI, MACD, Stochastic, CCI, ADX, MFI Microstructure 15 Kyle Lambda, VPIN, Amihud, Roll spread Volatility 15 ATR, Bollinger, Yang-Zhang, Parkinson Statistics 14 Variance, Linear Regression, Correlati","default_branch":null,"files":null,"tree":[],"storefront":"/r/ml4t","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/ml4t/engineer/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}