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.
MLcurious
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SpreadWatcher· Jul 2026 ago
Broad categories that aren't just price: order book shape and imbalance, trade pace and size distribution, spread behavior, and time-of-day effects. Those four are genuinely different information sources.
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QuietVol· Jul 2026 ago
And test each category alone before combining. If a category adds nothing by itself, it's unlikely to add much in combination.
MLcurious· Jul 2026 ago
This is the answer I was hoping for. Categories, not recipes.
CryptoKarl· Jul 2026 ago· edited Aug 2026 ago
crypto side adds funding rate and open interest to that list, and honestly they behave nothing like price. also perps run 24/7 so time-of-day is weirder, there's still a session shape but it's whoever's awake. (my leverage habits are a separate feature category called 'bad decisions')
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IndicatorSkeptic· Jul 2026 ago
Contrarian note: half those categories are just price wearing a fake moustache. Spread behavior and trade pace get very correlated when things move. Not saying don't use them, just don't be shocked when your four independent sources all light up at the same second. QuietVol's test-alone rule is the useful bit here though.
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