75 lines
3.0 KiB
Rust
75 lines
3.0 KiB
Rust
//! Feature Engineering for Foxhunt ML models
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//!
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//! Core feature extractors: technical indicators, price patterns, volume analysis,
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//! microstructure proxies, OFI (Order Flow Imbalance), normalization, and more.
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#![allow(clippy::module_name_repetitions)]
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#![allow(clippy::integer_division)]
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#![deny(
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clippy::unwrap_used,
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clippy::expect_used,
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clippy::panic
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)]
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#![allow(clippy::shadow_reuse, clippy::shadow_same, clippy::shadow_unrelated)] // Tensor ops: let x = x.relu() is idiomatic
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#![allow(clippy::non_ascii_literal)] // Math symbols in ML documentation and error messages
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#![allow(clippy::partial_pub_fields)] // ML config structs: some fields are pub API, some internal
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#![allow(clippy::same_name_method)] // Intentional: inherent methods shadow trait defaults for ML-specific behavior
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#![allow(clippy::indexing_slicing)] // Tensor/matrix indexing with bounds guaranteed by construction
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#![allow(clippy::similar_names)] // ML naming: min_val/max_val, state/states are conventional
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// Re-export core types at crate root for internal use
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pub use ml_core::MLError;
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pub use ml_core::types::OHLCVBar;
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// Public modules (21 total)
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pub mod adx_features;
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pub mod alternative_bars;
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pub mod bar_resampler;
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pub mod barrier_optimization;
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pub mod config;
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pub mod ewma;
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pub mod feature_extraction;
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pub mod mbp10_loader;
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pub mod microstructure;
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pub mod microstructure_features;
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pub mod normalization;
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pub mod ofi_calculator;
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pub mod pipeline;
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pub mod position_features;
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pub mod price_features;
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pub mod regime_adx;
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pub mod statistical_features;
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pub mod time_features;
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pub mod trades_loader;
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pub mod types;
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pub mod volume_features;
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// Re-exports
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pub use config::{FeatureConfig, FeatureGroup, FeatureIndices, FeaturePhase};
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pub use alternative_bars::{
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DollarBarSampler, ImbalanceBarSampler, RunBarSampler, TickBarSampler, VolumeBarSampler,
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};
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pub use barrier_optimization::{BarrierOptimizer, BarrierParams, OptimizationResult};
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pub use ewma::{AdaptiveThreshold, EWMACalculator};
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pub use price_features::PriceFeatureExtractor;
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pub use volume_features::VolumeFeatureExtractor;
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pub use adx_features::AdxFeatureExtractor;
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pub use regime_adx::RegimeADXFeatures;
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pub use microstructure_features::{
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BuySellImbalance, HighLowSpread, InterArrivalTime, KyleLambda, MicrostructureFeature,
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PriceImpact, TickCount, VarianceRatio, VolumeWeightedSpread,
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};
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pub use time_features::TimeFeatureExtractor;
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pub use statistical_features::StatisticalFeatureExtractor;
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pub use normalization::{FeatureNormalizer, NormalizationStats, RingBuffer};
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pub use pipeline::{FeatureExtractionPipeline, PipelinePerformance};
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pub use position_features::PositionFeatures;
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pub use ofi_calculator::{OFICalculator, OFIFeatures};
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pub use mbp10_loader::{
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extract_trades_from_dbn_file, extract_trades_from_snapshots, get_recent_snapshots,
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get_snapshots_for_timestamp, load_mbp10_snapshots_sync, mbp10_to_imbalance_bars,
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Mbp10Trade,
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};
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pub use trades_loader::{build_volume_bars, filter_front_month, get_trades_for_bar, load_trades_sync, DbnTrade, DEFAULT_VOLUME_BAR_SIZE};
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pub use bar_resampler::BarResampler;
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