Add minute bar feature pipeline

pipeline/features/cli.py

@@ -0,0 +1,108 @@
+"""CLI for daily feature computation."""
+
+import os
+
+import click
+import pandas as pd
+
+from pipeline.features.compute import compute_feature
+from pipeline.features.registry import available_features, load_feature_module
+
+
+@click.group(name="feature")
+def feature():
+    """Compute daily feature parquet files from minute bars."""
+
+
+def _coerce(value: str):
+    """Best-effort coercion of a CLI string to int, then float, else str."""
+    for cast in (int, float):
+        try:
+            return cast(value)
+        except ValueError:
+            continue
+    return value
+
+
+def _parse_params(pairs: tuple[str, ...]) -> dict:
+    """Parse repeated ``name=value`` options into a params dict."""
+    params: dict = {}
+    for pair in pairs:
+        if "=" not in pair:
+            raise click.BadParameter(f"--param must be name=value, got '{pair}'")
+        key, value = pair.split("=", 1)
+        params[key.strip()] = _coerce(value.strip())
+    return params
+
+
+@feature.command("list")
+@click.option(
+    "--feature-module", "feature_modules", multiple=True,
+    help="External module(s) to import first (dotted path or .py file)",
+)
+def list_(feature_modules):
+    """List the registered feature types."""
+    for spec in feature_modules:
+        load_feature_module(spec)
+    for name in available_features():
+        click.echo(name)
+
+
+@feature.command("compute")
+@click.option("--minute-path", required=True, help="Path to minute parquet dataset/file")
+@click.option("--daily-path", default=None, help="Optional daily data parquet for alignment")
+@click.option("--feature-type", required=True, help="Registry key of the feature class")
+@click.option("--feature-name", required=True, help="Name for this feature run/output file")
+@click.option("--output-dir", default="features", help="Directory to save feature parquet")
+@click.option(
+    "--feature-module", "feature_modules", multiple=True,
+    help="External module(s) to import so their features register (dotted path or .py file)",
+)
+@click.option(
+    "--param", "extra_params", multiple=True,
+    help="Extra feature constructor param as name=value (repeatable)",
+)
+def compute(
+    minute_path,
+    daily_path,
+    feature_type,
+    feature_name,
+    output_dir,
+    feature_modules,
+    extra_params,
+):
+    """Compute one daily feature file from raw minute bars."""
+    for spec in feature_modules:
+        load_feature_module(spec)
+
+    options = available_features()
+    if feature_type not in options:
+        raise click.BadParameter(
+            f"Unknown feature-type '{feature_type}'. Available: {options}. "
+            f"Use --feature-module to register an external feature.",
+            param_hint="--feature-type",
+        )
+
+    minute = pd.read_parquet(minute_path)
+    click.echo(f"Loaded minute bars: {len(minute):,} rows from {minute_path}")
+
+    daily = None
+    if daily_path:
+        daily = pd.read_parquet(daily_path)
+        click.echo(f"Loaded daily data: {len(daily):,} rows from {daily_path}")
+
+    result = compute_feature(
+        minute=minute,
+        daily=daily,
+        feature_type=feature_type,
+        **_parse_params(extra_params),
+    )
+
+    os.makedirs(output_dir, exist_ok=True)
+    out_path = f"{output_dir}/{feature_name}.pq"
+    result.to_parquet(out_path, index=False)
+    feature_cols = [col for col in result.columns if col not in ("symbol_id", "date")]
+    click.echo(
+        f"Saved feature: {out_path}  ({len(result):,} rows, "
+        f"{len(feature_cols)} columns)"
+    )