Features Collected Per Symbol (every 30s)
Futures BBO: bid/ask/size, spread (bps), mid, micro price, L1 imbalance
Spot BBO: bid/ask, mid price
Basis: spot-futures spread (abs, bps, annualised %)
Contract: mark/index price, funding rate, predicted funding, OI, 24h volume/turnover, fees, margins
Funding Signals: regime (neutral/elevated/high/extreme), bias, velocity
Order Book L2 (20 levels): depth at 5/10/20, imbalance gradient, bid/ask slope asymmetry,
depth-weighted mid & skew, absorption ratio, wall detection (count/volume), composite pressure score
Trade CVD: buy/sell volume, CVD, CVD ratio, VWAP, price range, avg/std size