Yuxuan Yan
35 lines
984 B
Python
35 lines
984 B
Python
"""Base class for daily feature plugins."""
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from abc import ABC, abstractmethod
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import pandas as pd
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class BaseFeature(ABC):
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"""Aggregate raw minute bars into daily, symbol-keyed feature columns."""
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#: Unique registry key. Every concrete feature must set this to a non-empty str.
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name: str = ""
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@abstractmethod
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def compute(
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self,
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minute: pd.DataFrame,
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daily: pd.DataFrame | None = None,
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) -> pd.DataFrame:
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"""Compute daily features.
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Args:
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minute: Raw minute bars with ``symbol_id`` and ``date`` keys.
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daily: Optional daily data frame for calendar alignment or
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reference daily columns.
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Returns:
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DataFrame with ``symbol_id``, ``date``, and one or more numeric
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feature columns.
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"""
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def __repr__(self) -> str:
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params = ", ".join(f"{k}={v!r}" for k, v in vars(self).items())
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return f"{type(self).__name__}({params})"
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