FractionalDifference

A transformer for differencing values within a feature pipeline by a fractional order. It removes the stationarity of the dataset available in realtime. To learn more about why non-stationarity should be converted to stationary information, please look at the blog here.

Class Parameters

• columns
  • A list of column names to difference.
• difference_order
  • The fractional difference order. Defaults to 0.5.
• difference_threshold
  • A type or str corresponding to the dtype of the observation_space.
• inplace
  • If False, a new column will be added to the output for each input column.

Functions

Below are the functions that the FractionalDifference uses to effectively operate.

Private

• _difference_weights
  • Gets the weights for …
• _fractional_difference
  • Computes fractionally differenced series, with an increasing window width.

Public

• transform
  • Apply the pipeline of feature transformations to an observation frame.
• reset
  • Resets the history of the standard scaler.

Use Cases:

Use Case #1: Different Input Spaces

This FeatureTransformer operates differently depending on if we pretransform the observation to an ndarray or keep it as a pandas dataframe.

from tensortrade.features import FeaturePipeline
from tensortrade.features.stationarity import FractionalDifference
price_columns = ["open", "high", "low", "close"]
difference_all = FractionalDifference(difference_order=0.6) # fractional difference is seen here
feature_pipeline = FeaturePipeline(steps=[difference_all])
exchange.feature_pipeline = feature_pipeline