From Research Papers to Production: ML Features Powering a Crypto Scalping Engine
· 33 min read
Every feature in a production trading system has an origin story — a paper, a theorem, a decades-old insight from probability theory or market microstructure. This post catalogs 14 ML features implemented in a Rust crypto scalping engine, traces each back to its foundational research, shows the actual formulas, and includes real production code. The engine processes limit order book (LOB) snapshots, trade ticks, and funding rate data in real time to generate scalping signals for crypto perpetual futures.