options-chain-features 1.0.0

Deterministic feature engineering for options chain data

Options Chain Features (OCF)

Options Chain Features (OCF) is a modular, research-grade Python library for building model-ready features from options chain data.

OCF provides a deterministic, schema-driven pipeline that converts raw vendor data (e.g. Bloomberg-style extracts) into structured, machine-learning-friendly feature tables without imposing trading logic, forecasting assumptions, or model constraints.

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Installation

Install via pip:

pip install options-chain-features

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What OCF Provides

At a high level, the library includes:

• Canonical schemas for underlying data and option chains
• Normalization layers for vendor-style raw inputs
• Deterministic feature blocks operating on aligned daily data
• Implied volatility surface & term-structure features
• Liquidity and positioning features
• Option-level Greeks and aggregate exposure representations
• End-to-end pipelines with strict validation and explicit configuration

All components are usable independently or as part of a full pipeline.

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Design Principles

OCF is built around a few core principles:

• No hidden state - All transformations are explicit and deterministic.

• No implicit joins or IO - File handling is separated from computation.

• Schema-first design - Every stage operates on clearly defined canonical tables.

• Feature isolation - Each feature block can be tested, enabled, or disabled independently.

• Research-friendly - Outputs are flat, numeric, and directly consumable by ML models.

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Documentation

Detailed documentation is available here, including data schemas, feature definitions, pipeline architecture, Greeks and exposure construction, and configuration options.

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Release Status

Current release: v1.0.0

This project follows Semantic Versioning (MAJOR.MINOR.PATCH).

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License

This project is released under the MIT License. See LICENSE for details.

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Citation

If you use OCF in research or production systems, attribution is appreciated.

@software{setpalocf2026,
  author = {Vansh Ashok Setpal},
  title  = {Options Chain Features (OCF)},
  year   = {2026},
  url    = {https://github.com/vansh0016/options-chain-features}
}