What features actually make sense for intraday? Genuinely asking
I keep reading about feature engineering and every example is either trivially obvious or clearly overfit.
I understand price-derived features are mostly the same information reshaped. What I don't understand is what people use that's actually independent, order book state? Time of day? Something about the pace of trades rather than their price?
Would rather learn what categories exist than get handed one specific feature that worked for someone once.