Feature Engine

Thesis contribution: This 43-dim columnar feature table fuses market microstructure (order book, trade flow), derivatives positioning (OI velocity, basis, real-time liquidations), on-chain metrics (MVRV, SOPR, exchange flow), options Greeks (IV, Gamma, Skew), and macro regime (NASDAQ, DXY, VIX, Fear & Greed) 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.