Feature Engine

35-dim columnar vector · BTCUSDT · refreshes every 60s

Funding z-score

—

-3 – 3

OB Imbalance

—

-1 – 1

Buy Pressure %

—

0 – 100

Fear & Greed

—

0 – 100

Label +15m

PENDING

forward-looking · non-leaking

Label +1h

PENDING

forward-looking · non-leaking

Thesis contribution: This 35-dim columnar feature table fuses market microstructure (order book, trade flow), derivatives positioning (OI velocity, basis, real-time liquidations), and macro regime (NASDAQ, DXY, VIX) into a single per-minute vector — enabling the GRU sequence model to learn cross-layer temporal dependencies unavailable to single-source models. Labels are assigned non-leakingly from future price data populated during bootstrap or live maturation.