Handling Time#

When performing feature engineering with temporal data, carefully selecting the data that is used for any calculation is paramount. By annotating dataframes with a Woodwork time index column and providing a cutoff time during feature calculation, Featuretools will automatically filter out any data after the cutoff time before running any calculations.

Note

This guide focuses on performing feature engineering on temporal data, but it is not specific to feature engineering for time series problems, which are their own class of machine learning problems. A guide on using Featuretools for time series feature engineering can be found here.

What is the Time Index?#

The time index is the column in the data that specifies when the data in each row became known. For example, let’s examine a table of customer transactions:

[2]:
import featuretools as ft

es = ft.demo.load_mock_customer(return_entityset=True, random_seed=0)
es["transactions"].head()
[2]:
transaction_id session_id transaction_time product_id amount _ft_last_time
298 298 1 2014-01-01 00:00:00 5 127.64 2014-01-01 00:00:00
2 2 1 2014-01-01 00:01:05 2 109.48 2014-01-01 00:01:05
308 308 1 2014-01-01 00:02:10 3 95.06 2014-01-01 00:02:10
116 116 1 2014-01-01 00:03:15 4 78.92 2014-01-01 00:03:15
371 371 1 2014-01-01 00:04:20 3 31.54 2014-01-01 00:04:20

In this table, there is one row for every transaction and a transaction_time column that specifies when the transaction took place. This means that transaction_time is the time index because it indicates when the information in each row became known and available for feature calculations. For now, ignore the _ft_last_time column. That is a featuretools-generated column that will be discussed later on.

However, not every datetime column is a time index. Consider the customers dataframe:

[3]:
es["customers"]
[3]:
customer_id zip_code join_date birthday _ft_last_time
5 5 60091 2010-07-17 05:27:50 1984-07-28 2014-01-01 08:09:40
4 4 60091 2011-04-08 20:08:14 2006-08-15 2014-01-01 05:31:30
1 1 60091 2011-04-17 10:48:33 1994-07-18 2014-01-01 07:26:20
3 3 13244 2011-08-13 15:42:34 2003-11-21 2014-01-01 09:00:35
2 2 13244 2012-04-15 23:31:04 1986-08-18 2014-01-01 08:23:45

Here, we have two time columns, join_date and birthday. While either column might be useful for making features, the join_date should be used as the time index because it indicates when that customer first became available in the dataset.

Important

The time index is defined as the first time that any information from a row can be used. If a cutoff time is specified when calculating features, rows that have a later value for the time index are automatically ignored.

What is the Cutoff Time?#

The cutoff_time specifies the last point in time that a row’s data can be used for a feature calculation. Any data after this point in time will be filtered out before calculating features.

For example, let’s consider a dataset of timestamped customer transactions, where we want to predict whether customers 1, 2 and 3 will spend $500 between 04:00 on January 1 and the end of the day. When building features for this prediction problem, we need to ensure that no data after 04:00 is used in our calculations.

retail cutoff time diagram

We pass the cutoff time to featuretools.dfs() or featuretools.calculate_feature_matrix() using the cutoff_time argument like this:

[4]:
fm, features = ft.dfs(
    entityset=es,
    target_dataframe_name="customers",
    cutoff_time=pd.Timestamp("2014-1-1 04:00"),
    instance_ids=[1, 2, 3],
    cutoff_time_in_index=True,
)
fm
[4]:
zip_code COUNT(sessions) MODE(sessions.device) NUM_UNIQUE(sessions.device) COUNT(transactions) MAX(transactions.amount) MEAN(transactions.amount) MIN(transactions.amount) MODE(transactions.product_id) NUM_UNIQUE(transactions.product_id) SKEW(transactions.amount) STD(transactions.amount) SUM(transactions.amount) DAY(birthday) DAY(join_date) MONTH(birthday) MONTH(join_date) WEEKDAY(birthday) WEEKDAY(join_date) YEAR(birthday) YEAR(join_date) MAX(sessions.COUNT(transactions)) MAX(sessions.MEAN(transactions.amount)) MAX(sessions.MIN(transactions.amount)) MAX(sessions.NUM_UNIQUE(transactions.product_id)) MAX(sessions.SKEW(transactions.amount)) MAX(sessions.STD(transactions.amount)) MAX(sessions.SUM(transactions.amount)) MEAN(sessions.COUNT(transactions)) MEAN(sessions.MAX(transactions.amount)) MEAN(sessions.MEAN(transactions.amount)) MEAN(sessions.MIN(transactions.amount)) MEAN(sessions.NUM_UNIQUE(transactions.product_id)) MEAN(sessions.SKEW(transactions.amount)) MEAN(sessions.STD(transactions.amount)) MEAN(sessions.SUM(transactions.amount)) MIN(sessions.COUNT(transactions)) MIN(sessions.MAX(transactions.amount)) MIN(sessions.MEAN(transactions.amount)) MIN(sessions.NUM_UNIQUE(transactions.product_id)) MIN(sessions.SKEW(transactions.amount)) MIN(sessions.STD(transactions.amount)) MIN(sessions.SUM(transactions.amount)) MODE(sessions.DAY(session_start)) MODE(sessions.MODE(transactions.product_id)) MODE(sessions.MONTH(session_start)) MODE(sessions.WEEKDAY(session_start)) MODE(sessions.YEAR(session_start)) NUM_UNIQUE(sessions.DAY(session_start)) NUM_UNIQUE(sessions.MODE(transactions.product_id)) NUM_UNIQUE(sessions.MONTH(session_start)) NUM_UNIQUE(sessions.WEEKDAY(session_start)) NUM_UNIQUE(sessions.YEAR(session_start)) SKEW(sessions.COUNT(transactions)) SKEW(sessions.MAX(transactions.amount)) SKEW(sessions.MEAN(transactions.amount)) SKEW(sessions.MIN(transactions.amount)) SKEW(sessions.NUM_UNIQUE(transactions.product_id)) SKEW(sessions.STD(transactions.amount)) SKEW(sessions.SUM(transactions.amount)) STD(sessions.COUNT(transactions)) STD(sessions.MAX(transactions.amount)) STD(sessions.MEAN(transactions.amount)) STD(sessions.MIN(transactions.amount)) STD(sessions.NUM_UNIQUE(transactions.product_id)) STD(sessions.SKEW(transactions.amount)) STD(sessions.SUM(transactions.amount)) SUM(sessions.MAX(transactions.amount)) SUM(sessions.MEAN(transactions.amount)) SUM(sessions.MIN(transactions.amount)) SUM(sessions.NUM_UNIQUE(transactions.product_id)) SUM(sessions.SKEW(transactions.amount)) SUM(sessions.STD(transactions.amount)) MODE(transactions.sessions.device) NUM_UNIQUE(transactions.sessions.device)
customer_id time
1 2014-01-01 04:00:00 60091 4 tablet 3 67 139.23 74.002836 5.81 4 5 -0.006928 42.309717 4958.19 18 17 7 4 0 6 1994 2011 25.0 85.469167 8.74 5.0 0.234349 46.905665 1613.93 16.75 135.0100 76.150425 6.905 5.0 -0.126261 42.393218 1239.5475 12.0 129.00 64.557200 5.0 -0.830975 39.825249 1025.63 1 4 1 2 2014 1 3 1 1 1 1.614843 -0.451371 -0.233453 1.452325 0.0 1.235445 1.197406 5.678908 5.027226 10.426572 1.285833 0.0 0.500353 271.917637 540.04 304.601700 27.62 20.0 -0.505043 169.572874 tablet 3
2 2014-01-01 04:00:00 13244 4 desktop 2 49 146.81 84.700000 12.07 4 5 -0.134786 39.289512 4150.30 18 15 8 4 0 6 1986 2012 16.0 96.581000 56.46 5.0 0.295458 47.935920 1320.64 12.25 142.3225 85.197948 26.310 5.0 0.011293 39.315685 1037.5750 8.0 138.38 76.813125 5.0 -0.455197 27.839228 634.84 1 2 1 2 2014 1 3 1 1 1 -0.169238 0.459305 0.651941 1.815491 0.0 -0.966834 -0.823347 3.862210 3.470527 8.983533 20.424007 0.0 0.324809 307.743859 569.29 340.791792 105.24 20.0 0.045171 157.262738 desktop 2
3 2014-01-01 04:00:00 13244 1 tablet 1 15 146.31 62.791333 8.19 1 5 0.618455 47.264797 941.87 21 13 11 8 4 5 2003 2011 15.0 62.791333 8.19 5.0 0.618455 47.264797 941.87 15.00 146.3100 62.791333 8.190 5.0 0.618455 47.264797 941.8700 15.0 146.31 62.791333 5.0 0.618455 47.264797 941.87 1 1 1 2 2014 1 1 1 1 1 NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN 146.31 62.791333 8.19 5.0 0.618455 47.264797 tablet 1

Even though the entityset contains the complete transaction history for each customer, only data with a time index up to and including the cutoff time was used to calculate the features above.

Using a Cutoff Time DataFrame#

Oftentimes, the training examples for machine learning will come from different points in time. To specify a unique cutoff time for each row of the resulting feature matrix, we can pass a dataframe which includes one column for the instance id and another column for the corresponding cutoff time. These columns can be in any order, but they must be named properly. The column with the instance ids must either be named instance_id or have the same name as the target dataframe index. The column with the cutoff time values must either be named time or have the same name as the target dataframe time_index.

The column names for the instance ids and the cutoff time values should be unambiguous. Passing a dataframe that contains both a column with the same name as the target dataframe index and a column named instance_id will result in an error. Similarly, if the cutoff time dataframe contains both a column with the same name as the target dataframe time_index and a column named time an error will be raised.

Note

Only the columns corresponding to the instance ids and the cutoff times are used to calculate features. Any additional columns passed through are appended to the resulting feature matrix. This is typically used to pass through machine learning labels to ensure that they stay aligned with the feature matrix.

[5]:
cutoff_times = pd.DataFrame()
cutoff_times["customer_id"] = [1, 2, 3, 1]
cutoff_times["time"] = pd.to_datetime(
    ["2014-1-1 04:00", "2014-1-1 05:00", "2014-1-1 06:00", "2014-1-1 08:00"]
)
cutoff_times["label"] = [True, True, False, True]
cutoff_times
fm, features = ft.dfs(
    entityset=es,
    target_dataframe_name="customers",
    cutoff_time=cutoff_times,
    cutoff_time_in_index=True,
)
fm
[5]:
zip_code COUNT(sessions) MODE(sessions.device) NUM_UNIQUE(sessions.device) COUNT(transactions) MAX(transactions.amount) MEAN(transactions.amount) MIN(transactions.amount) MODE(transactions.product_id) NUM_UNIQUE(transactions.product_id) SKEW(transactions.amount) STD(transactions.amount) SUM(transactions.amount) DAY(birthday) DAY(join_date) MONTH(birthday) MONTH(join_date) WEEKDAY(birthday) WEEKDAY(join_date) YEAR(birthday) YEAR(join_date) MAX(sessions.COUNT(transactions)) MAX(sessions.MEAN(transactions.amount)) MAX(sessions.MIN(transactions.amount)) MAX(sessions.NUM_UNIQUE(transactions.product_id)) MAX(sessions.SKEW(transactions.amount)) MAX(sessions.STD(transactions.amount)) MAX(sessions.SUM(transactions.amount)) MEAN(sessions.COUNT(transactions)) MEAN(sessions.MAX(transactions.amount)) MEAN(sessions.MEAN(transactions.amount)) MEAN(sessions.MIN(transactions.amount)) MEAN(sessions.NUM_UNIQUE(transactions.product_id)) MEAN(sessions.SKEW(transactions.amount)) MEAN(sessions.STD(transactions.amount)) MEAN(sessions.SUM(transactions.amount)) MIN(sessions.COUNT(transactions)) MIN(sessions.MAX(transactions.amount)) MIN(sessions.MEAN(transactions.amount)) MIN(sessions.NUM_UNIQUE(transactions.product_id)) MIN(sessions.SKEW(transactions.amount)) MIN(sessions.STD(transactions.amount)) MIN(sessions.SUM(transactions.amount)) MODE(sessions.DAY(session_start)) MODE(sessions.MODE(transactions.product_id)) MODE(sessions.MONTH(session_start)) MODE(sessions.WEEKDAY(session_start)) MODE(sessions.YEAR(session_start)) NUM_UNIQUE(sessions.DAY(session_start)) NUM_UNIQUE(sessions.MODE(transactions.product_id)) NUM_UNIQUE(sessions.MONTH(session_start)) NUM_UNIQUE(sessions.WEEKDAY(session_start)) NUM_UNIQUE(sessions.YEAR(session_start)) SKEW(sessions.COUNT(transactions)) SKEW(sessions.MAX(transactions.amount)) SKEW(sessions.MEAN(transactions.amount)) SKEW(sessions.MIN(transactions.amount)) SKEW(sessions.NUM_UNIQUE(transactions.product_id)) SKEW(sessions.STD(transactions.amount)) SKEW(sessions.SUM(transactions.amount)) STD(sessions.COUNT(transactions)) STD(sessions.MAX(transactions.amount)) STD(sessions.MEAN(transactions.amount)) STD(sessions.MIN(transactions.amount)) STD(sessions.NUM_UNIQUE(transactions.product_id)) STD(sessions.SKEW(transactions.amount)) STD(sessions.SUM(transactions.amount)) SUM(sessions.MAX(transactions.amount)) SUM(sessions.MEAN(transactions.amount)) SUM(sessions.MIN(transactions.amount)) SUM(sessions.NUM_UNIQUE(transactions.product_id)) SUM(sessions.SKEW(transactions.amount)) SUM(sessions.STD(transactions.amount)) MODE(transactions.sessions.device) NUM_UNIQUE(transactions.sessions.device) label
customer_id time
1 2014-01-01 04:00:00 60091 4 tablet 3 67 139.23 74.002836 5.81 4 5 -0.006928 42.309717 4958.19 18 17 7 4 0 6 1994 2011 25.0 85.469167 8.74 5.0 0.234349 46.905665 1613.93 16.75 135.01000 76.150425 6.90500 5.0 -0.126261 42.393218 1239.5475 12.0 129.00 64.557200 5.0 -0.830975 39.825249 1025.63 1 4 1 2 2014 1 3 1 1 1 1.614843 -0.451371 -0.233453 1.452325 0.0 1.235445 1.197406 5.678908 5.027226 10.426572 1.285833 0.0 0.500353 271.917637 540.04 304.601700 27.62 20.0 -0.505043 169.572874 tablet 3 True
2 2014-01-01 05:00:00 13244 5 desktop 2 62 146.81 83.149355 12.07 4 5 -0.121811 38.047944 5155.26 18 15 8 4 0 6 1986 2012 16.0 96.581000 56.46 5.0 0.295458 47.935920 1320.64 12.40 137.62800 83.619281 25.41200 5.0 -0.053949 38.197555 1031.0520 8.0 118.85 76.813125 5.0 -0.455197 27.839228 634.84 1 2 1 2 2014 1 4 1 1 1 -0.379092 -1.814717 1.082192 1.959531 0.0 -0.213518 -0.667256 3.361547 10.919023 8.543351 17.801322 0.0 0.316873 266.912832 688.14 418.096407 127.06 25.0 -0.269747 190.987775 desktop 2 True
3 2014-01-01 06:00:00 13244 4 desktop 2 44 146.31 65.174773 6.65 1 5 0.318315 40.349758 2867.69 21 13 11 8 4 5 2003 2011 17.0 91.760000 91.76 5.0 0.618455 47.264797 944.85 11.00 123.26750 72.742004 31.66500 4.0 0.286859 39.712232 716.9225 1.0 91.76 55.579412 1.0 -0.289466 35.704680 91.76 1 1 1 2 2014 1 2 1 1 1 -1.330938 -1.060639 0.201588 1.874170 -2.0 1.722323 -1.977878 7.118052 22.808351 16.540737 40.508892 2.0 0.500999 417.557763 493.07 290.968018 126.66 16.0 0.860577 119.136697 desktop 2 False
1 2014-01-01 08:00:00 60091 8 mobile 3 126 139.43 71.631905 5.81 4 5 0.019698 40.442059 9025.62 18 17 7 4 0 6 1994 2011 25.0 88.755625 26.36 5.0 0.640252 46.905665 1613.93 15.75 132.24625 72.774140 9.82375 5.0 -0.059515 39.093244 1128.2025 12.0 118.90 50.623125 5.0 -1.038434 30.450261 809.97 1 4 1 2 2014 1 4 1 1 1 1.946018 -0.780493 -0.424949 2.440005 0.0 -0.312355 0.778170 4.062019 7.322191 13.759314 6.954507 0.0 0.589386 279.510713 1057.97 582.193117 78.59 40.0 -0.476122 312.745952 mobile 3 True

We can now see that every row of the feature matrix is calculated at the corresponding time in the cutoff time dataframe. Because we calculate each row at a different time, it is possible to have a repeat customer. In this case, we calculated the feature vector for customer 1 at both 04:00 and 08:00.

Training Window#

By default, all data up to and including the cutoff time is used. We can restrict the amount of historical data that is selected for calculations using a “training window.”

Here’s an example of using a two hour training window:

[6]:
window_fm, window_features = ft.dfs(
    entityset=es,
    target_dataframe_name="customers",
    cutoff_time=cutoff_times,
    cutoff_time_in_index=True,
    training_window="2 hour",
)

window_fm
[6]:
zip_code COUNT(sessions) MODE(sessions.device) NUM_UNIQUE(sessions.device) COUNT(transactions) MAX(transactions.amount) MEAN(transactions.amount) MIN(transactions.amount) MODE(transactions.product_id) NUM_UNIQUE(transactions.product_id) SKEW(transactions.amount) STD(transactions.amount) SUM(transactions.amount) DAY(birthday) DAY(join_date) MONTH(birthday) MONTH(join_date) WEEKDAY(birthday) WEEKDAY(join_date) YEAR(birthday) YEAR(join_date) MAX(sessions.COUNT(transactions)) MAX(sessions.MEAN(transactions.amount)) MAX(sessions.MIN(transactions.amount)) MAX(sessions.NUM_UNIQUE(transactions.product_id)) MAX(sessions.SKEW(transactions.amount)) MAX(sessions.STD(transactions.amount)) MAX(sessions.SUM(transactions.amount)) MEAN(sessions.COUNT(transactions)) MEAN(sessions.MAX(transactions.amount)) MEAN(sessions.MEAN(transactions.amount)) MEAN(sessions.MIN(transactions.amount)) MEAN(sessions.NUM_UNIQUE(transactions.product_id)) MEAN(sessions.SKEW(transactions.amount)) MEAN(sessions.STD(transactions.amount)) MEAN(sessions.SUM(transactions.amount)) MIN(sessions.COUNT(transactions)) MIN(sessions.MAX(transactions.amount)) MIN(sessions.MEAN(transactions.amount)) MIN(sessions.NUM_UNIQUE(transactions.product_id)) MIN(sessions.SKEW(transactions.amount)) MIN(sessions.STD(transactions.amount)) MIN(sessions.SUM(transactions.amount)) MODE(sessions.DAY(session_start)) MODE(sessions.MODE(transactions.product_id)) MODE(sessions.MONTH(session_start)) MODE(sessions.WEEKDAY(session_start)) MODE(sessions.YEAR(session_start)) NUM_UNIQUE(sessions.DAY(session_start)) NUM_UNIQUE(sessions.MODE(transactions.product_id)) NUM_UNIQUE(sessions.MONTH(session_start)) NUM_UNIQUE(sessions.WEEKDAY(session_start)) NUM_UNIQUE(sessions.YEAR(session_start)) SKEW(sessions.COUNT(transactions)) SKEW(sessions.MAX(transactions.amount)) SKEW(sessions.MEAN(transactions.amount)) SKEW(sessions.MIN(transactions.amount)) SKEW(sessions.NUM_UNIQUE(transactions.product_id)) SKEW(sessions.STD(transactions.amount)) SKEW(sessions.SUM(transactions.amount)) STD(sessions.COUNT(transactions)) STD(sessions.MAX(transactions.amount)) STD(sessions.MEAN(transactions.amount)) STD(sessions.MIN(transactions.amount)) STD(sessions.NUM_UNIQUE(transactions.product_id)) STD(sessions.SKEW(transactions.amount)) STD(sessions.SUM(transactions.amount)) SUM(sessions.MAX(transactions.amount)) SUM(sessions.MEAN(transactions.amount)) SUM(sessions.MIN(transactions.amount)) SUM(sessions.NUM_UNIQUE(transactions.product_id)) SUM(sessions.SKEW(transactions.amount)) SUM(sessions.STD(transactions.amount)) MODE(transactions.sessions.device) NUM_UNIQUE(transactions.sessions.device) label
customer_id time
1 2014-01-01 04:00:00 60091 2 desktop 2 27 139.09 76.950370 5.81 4 5 -0.187686 43.772157 2077.66 18 17 7 4 0 6 1994 2011 15.0 85.469167 6.78 5.0 0.226337 46.905665 1052.03 13.500000 135.905000 77.802250 6.295000 5.000000 -0.302319 43.365457 1038.830000 12.0 132.72 70.135333 5.0 -0.830975 39.825249 1025.63 1 1 1 2 2014 1 2 1 1 1 NaN NaN NaN NaN NaN NaN NaN 2.121320 4.504270 10.842658 0.685894 0.000000 0.747633 18.667619 271.81 155.604500 12.59 10.0 -0.604638 86.730914 desktop 2 True
2 2014-01-01 05:00:00 13244 3 desktop 2 31 146.81 84.051935 12.07 4 5 -0.198611 36.077146 2605.61 18 15 8 4 0 6 1986 2012 13.0 96.581000 56.46 5.0 0.130019 47.935920 1004.96 10.333333 134.680000 84.413538 30.116667 5.000000 -0.036670 36.500062 868.536667 8.0 118.85 77.304615 5.0 -0.314918 27.839228 634.84 1 1 1 2 2014 1 3 1 1 1 0.585583 -1.083626 1.659252 1.397956 0.000000 1.121470 -1.660092 2.516611 14.342521 10.587085 23.329038 0.000000 0.242542 203.331699 404.04 253.240615 90.35 15.0 -0.110009 109.500185 desktop 2 True
3 2014-01-01 06:00:00 13244 3 desktop 1 29 128.26 66.407586 6.65 1 5 0.110145 37.130891 1925.82 21 13 11 8 4 5 2003 2011 17.0 91.760000 91.76 5.0 0.531588 36.167220 944.85 9.666667 115.586667 76.058895 39.490000 3.666667 0.121061 35.935950 641.940000 1.0 91.76 55.579412 1.0 -0.289466 35.704680 91.76 1 1 1 2 2014 1 2 1 1 1 -0.722109 -1.721498 -1.081879 1.566223 -1.732051 NaN -1.705607 8.082904 20.648490 18.557570 45.761028 2.309401 0.580573 477.281339 346.76 228.176684 118.47 11.0 0.242122 71.871900 desktop 1 False
1 2014-01-01 08:00:00 60091 3 mobile 2 47 139.43 66.471277 5.91 4 5 0.047120 38.952172 3124.15 18 17 7 4 0 6 1994 2011 16.0 88.755625 11.62 5.0 0.640252 44.354104 1420.09 15.666667 128.146667 66.328250 8.203333 5.000000 -0.001146 35.709633 1041.383333 15.0 118.90 50.623125 5.0 -1.038434 30.450261 809.97 1 1 1 2 2014 1 3 1 1 1 -1.732051 0.846298 1.344879 1.443486 0.000000 1.612576 1.606791 0.577350 10.415432 19.935229 3.016195 0.000000 0.906666 330.655558 384.44 198.984750 24.61 15.0 -0.003438 107.128899 mobile 2 True

We can see that that the counts for the same feature are lower after we shorten the training window:

[7]:
fm[["COUNT(transactions)"]]

window_fm[["COUNT(transactions)"]]
[7]:
COUNT(transactions)
customer_id time
1 2014-01-01 04:00:00 27
2 2014-01-01 05:00:00 31
3 2014-01-01 06:00:00 29
1 2014-01-01 08:00:00 47

Setting a Last Time Index#

The training window in Featuretools limits the amount of past data that can be used while calculating a particular feature vector. A row in the dataframe is filtered out if the value of its time index is either before or after the training window. This works for dataframes where a row occurs at a single point in time. However, a row can sometimes exist for a duration.

For example, a customer’s session has multiple transactions which can happen at different points in time. If we are trying to count the number of sessions a user has in a given time period, we often want to count all the sessions that had any transaction during the training window. To accomplish this, we need to not only know when a session starts, but also when it ends. The last time that an instance appears in the data is stored in the _ft_last_time column on the dataframe. We can compare the time index and the last time index of the sessions dataframe above:

[8]:
last_time_index_col = es["sessions"].ww.metadata.get("last_time_index")
es["sessions"][["session_start", last_time_index_col]].head()
[8]:
session_start _ft_last_time
1 2014-01-01 00:00:00 2014-01-01 00:16:15
2 2014-01-01 00:17:20 2014-01-01 00:27:05
3 2014-01-01 00:28:10 2014-01-01 00:43:20
4 2014-01-01 00:44:25 2014-01-01 01:10:25
5 2014-01-01 01:11:30 2014-01-01 01:22:20

Featuretools can automatically add last time indexes to every DataFrame in an Entityset by running EntitySet.add_last_time_indexes(). When using a training window, if a last_time_index has been set, Featuretools will check to see if the last_time_index is after the start of the training window. That, combined with the cutoff time, allows DFS to discover which data is relevant for a given training window.

Excluding data at cutoff times#

The cutoff_time is the last point in time where data can be used for feature calculation. If you don’t want to use the data at the cutoff time in feature calculation, you can exclude that data by setting include_cutoff_time to False in featuretools.dfs() or featuretools.calculate_feature_matrix(). If you set it to True (the default behavior), data from the cutoff time point will be used.

Setting include_cutoff_time to False also impacts how data at the edges of training windows are included or excluded. Take this slice of data as an example:

[9]:
df = es["transactions"]
df[df["session_id"] == 1].head()
[9]:
transaction_id session_id transaction_time product_id amount _ft_last_time
298 298 1 2014-01-01 00:00:00 5 127.64 2014-01-01 00:00:00
2 2 1 2014-01-01 00:01:05 2 109.48 2014-01-01 00:01:05
308 308 1 2014-01-01 00:02:10 3 95.06 2014-01-01 00:02:10
116 116 1 2014-01-01 00:03:15 4 78.92 2014-01-01 00:03:15
371 371 1 2014-01-01 00:04:20 3 31.54 2014-01-01 00:04:20

Looking at the data, transactions occur every 65 seconds. To check how include_cutoff_time effects training windows, we can calculate features at the time of a transaction while using a 65 second training window. This creates a training window with a transaction at both endpoints of the window. For this example, we’ll find the sum of all transactions for session id 1 that are in the training window.

[10]:
from featuretools.primitives import Sum

sum_log = ft.Feature(
    es["transactions"].ww["amount"],
    parent_dataframe_name="sessions",
    primitive=Sum,
)
cutoff_time = pd.DataFrame(
    {
        "session_id": [1],
        "time": ["2014-01-01 00:04:20"],
    }
).astype({"time": "datetime64[ns]"})

With include_cutoff_time=True, the oldest point in the training window (2014-01-01 00:03:15) is excluded and the cutoff time point is included. This means only transaction 371 is in the training window, so the sum of all transaction amounts is 31.54

[11]:
# Case1. include_cutoff_time = True
actual = ft.calculate_feature_matrix(
    features=[sum_log],
    entityset=es,
    cutoff_time=cutoff_time,
    cutoff_time_in_index=True,
    training_window="65 seconds",
    include_cutoff_time=True,
)
actual
[11]:
SUM(transactions.amount)
session_id time
1 2014-01-01 00:04:20 31.54

Whereas with include_cutoff_time=False, the oldest point in the window is included and the cutoff time point is excluded. So in this case transaction 116 is included and transaction 371 is exluded, and the sum is 78.92

[12]:
# Case2. include_cutoff_time = False
actual = ft.calculate_feature_matrix(
    features=[sum_log],
    entityset=es,
    cutoff_time=cutoff_time,
    cutoff_time_in_index=True,
    training_window="65 seconds",
    include_cutoff_time=False,
)
actual
[12]:
SUM(transactions.amount)
session_id time
1 2014-01-01 00:04:20 78.92

Approximating Features by Rounding Cutoff Times#

For each unique cutoff time, Featuretools must perform operations to select the data that’s valid for computations. If there are a large number of unique cutoff times relative to the number of instances for which we are calculating features, the time spent filtering data can add up. By reducing the number of unique cutoff times, we minimize the overhead from searching for and extracting data for feature calculations.

One way to decrease the number of unique cutoff times is to round cutoff times to an earlier point in time. An earlier cutoff time is always valid for predictive modeling — it just means we’re not using some of the data we could potentially use while calculating that feature. So, we gain computational speed by losing a small amount of information.

To understand when an approximation is useful, consider calculating features for a model to predict fraudulent credit card transactions. In this case, an important feature might be, “the average transaction amount for this card in the past”. While this value can change every time there is a new transaction, updating it less frequently might not impact accuracy.

Note

The bank BBVA used approximation when building a predictive model for credit card fraud using Featuretools. For more details, see the “Real-time deployment considerations” section of the white paper describing the work involved.

The frequency of approximation is controlled using the approximate parameter to featuretools.dfs() or featuretools.calculate_feature_matrix(). For example, the following code would approximate aggregation features at 1 day intervals:

..
fm = ft.calculate_feature_matrix(features=features,
                                 entityset=es_transactions,
                                 cutoff_time=ct_transactions,
                                 approximate="1 day")

In this computation, features that can be approximated will be calculated at 1 day intervals, while features that cannot be approximated (e.g “where did this transaction occur?”) will be calculated at the exact cutoff time.

Secondary Time Index#

It is sometimes the case that information in a dataset is updated or added after a row has been created. This means that certain columns may actually become known after the time index for a row. Rather than drop those columns to avoid leaking information, we can create a secondary time index to indicate when those columns become known.

The Flights entityset is a good example of a dataset where column values in a row become known at different times. Each trip is recorded in the trip_logs dataframe, and has many times associated with it.

[14]:
es_flight = ft.demo.load_flight(nrows=100)
es_flight
es_flight["trip_logs"].head(3)
Downloading data ...
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-featuretools/envs/stable/lib/python3.8/site-packages/featuretools/demo/flight.py:187: FutureWarning: In a future version, `df.iloc[:, i] = newvals` will attempt to set the values inplace instead of always setting a new array. To retain the old behavior, use either `df[df.columns[i]] = newvals` or, if columns are non-unique, `df.isetitem(i, newvals)`
  clean_data.loc[:, "scheduled_dep_time"] = pd.to_datetime(
[14]:
trip_log_id flight_id date_scheduled scheduled_dep_time scheduled_arr_time dep_time arr_time dep_delay taxi_out taxi_in arr_delay diverted scheduled_elapsed_time air_time distance carrier_delay weather_delay national_airspace_delay security_delay late_aircraft_delay canceled
30 30 AA-494:RSW->CLT 2016-09-03 2017-01-01 13:14:00 2017-01-01 15:05:00 2017-01-01 13:03:00 2017-01-01 14:53:00 -11.0 12.0 10.0 -12.0 False 0 days 01:51:00 88.0 600.0 0.0 0.0 0.0 0.0 0.0 False
38 38 AA-495:ATL->PHX 2016-09-03 2017-01-01 11:30:00 2017-01-01 15:40:00 2017-01-01 11:24:00 2017-01-01 15:41:00 -6.0 28.0 5.0 1.0 False 0 days 04:10:00 224.0 1587.0 0.0 0.0 0.0 0.0 0.0 False
46 46 AA-495:CLT->ATL 2016-09-03 2017-01-01 09:25:00 2017-01-01 10:42:00 2017-01-01 09:23:00 2017-01-01 10:39:00 -2.0 18.0 8.0 -3.0 False 0 days 01:17:00 50.0 226.0 0.0 0.0 0.0 0.0 0.0 False

For every trip log, the time index is date_scheduled, which is when the airline decided on the scheduled departure and arrival times, as well as what route will be flown. We don’t know the rest of the information about the actual departure/arrival times and the details of any delay at this time. However, it is possible to know everything about how a trip went after it has arrived, so we can use that information at any time after the flight lands.

Using a secondary time index, we can indicate to Featuretools which columns in our flight logs are known at the time the flight is scheduled, plus which are known at the time the flight lands.

flight secondary time index diagram

In Featuretools, when adding the dataframe to the EntitySet, we set the secondary time index to be the arrival time like this:

es = ft.EntitySet('Flight Data')
arr_time_columns = ['arr_delay', 'dep_delay', 'carrier_delay', 'weather_delay',
                    'national_airspace_delay', 'security_delay',
                    'late_aircraft_delay', 'canceled', 'diverted',
                    'taxi_in', 'taxi_out', 'air_time', 'dep_time']

es.add_dataframe(
    dataframe_name='trip_logs',
    dataframe=data,
    index='trip_log_id',
    make_index=True,
    time_index='date_scheduled',
    secondary_time_index={'arr_time': arr_time_columns})

By setting a secondary time index, we can still use the delay information from a row, but only when it becomes known.

Hint

It’s often a good idea to use a secondary time index if your entityset has inline labels. If you know when the label would be valid for use, it’s possible to automatically create very predictive features using historical labels.

Flight Predictions#

Let’s make some features at varying times using the flight example described above. Trip 14 is a flight from CLT to PHX on January 31, 2017 and trip 92 is a flight from PIT to DFW on January 1. We can set any cutoff time before the flight is scheduled to depart, emulating how we would make the prediction at that point in time.

We set two cutoff times for trip 14 at two different times: one which is more than a month before the flight and another which is only 5 days before. For trip 92, we’ll only set one cutoff time, three days before it is scheduled to leave.

flight cutoff time diagram

Our cutoff time dataframe looks like this:

[15]:
ct_flight = pd.DataFrame()
ct_flight["trip_log_id"] = [14, 14, 92]
ct_flight["time"] = pd.to_datetime(["2016-12-28", "2017-1-25", "2016-12-28"])
ct_flight["label"] = [True, True, False]
ct_flight
[15]:
trip_log_id time label
0 14 2016-12-28 True
1 14 2017-01-25 True
2 92 2016-12-28 False

Now, let’s calculate the feature matrix:

[16]:
fm, features = ft.dfs(
    entityset=es_flight,
    target_dataframe_name="trip_logs",
    cutoff_time=ct_flight,
    cutoff_time_in_index=True,
    agg_primitives=["max"],
    trans_primitives=["month"],
)
fm[
    [
        "flights.origin",
        "flights.dest",
        "label",
        "flights.MAX(trip_logs.arr_delay)",
        "MONTH(scheduled_dep_time)",
    ]
]
[16]:
flights.origin flights.dest label flights.MAX(trip_logs.arr_delay) MONTH(scheduled_dep_time)
trip_log_id time
14 2016-12-28 CLT PHX True NaN 1
2017-01-25 CLT PHX True 33.0 1
92 2016-12-28 PIT DFW False NaN 1

Let’s understand the output:

  1. A row was made for every id-time pair in ct_flight, which is returned as the index of the feature matrix.

  2. The output was sorted by cutoff time. Because of the sorting, it’s often helpful to pass in a label with the cutoff time dataframe so that it will remain sorted in the same fashion as the feature matrix. Any additional columns beyond id and cutoff_time will not be used for making features.

  3. The column flights.MAX(trip_logs.arr_delay) is not always defined. It can only have any real values when there are historical flights to aggregate. Notice that, for trip 14, there wasn’t any historical data when we made the feature a month in advance, but there were flights to aggregate when we shortened it to 5 days. These are powerful features that are often excluded in manual processes because of how hard they are to make.

Creating and Flattening a Feature Tensor#

The featuretools.make_temporal_cutoffs() function generates a series of equally spaced cutoff times from a given set of cutoff times and instance ids.

This function can be paired with DFS to create and flatten a feature tensor rather than making multiple feature matrices at different delays.

The function takes in the the following parameters:

  • instance_ids (list, pd.Series, or np.ndarray): A list of instances.

  • cutoffs (list, pd.Series, or np.ndarray): An associated list of cutoff times.

  • window_size (str or pandas.DateOffset): The amount of time between each cutoff time in the created time series.

  • start (datetime.datetime or pd.Timestamp): The first cutoff time in the created time series.

  • num_windows (int): The number of cutoff times to create in the created time series.

Only two of the three options window_size, start, and num_windows need to be specified to uniquely determine an equally-spaced set of cutoff times at which to compute each instance.

If your cutoff times are the ones used above:

[17]:
cutoff_times
[17]:
customer_id time label
0 1 2014-01-01 04:00:00 True
1 2 2014-01-01 05:00:00 True
2 3 2014-01-01 06:00:00 False
3 1 2014-01-01 08:00:00 True

Then passing in window_size='1h' and num_windows=2 makes one row an hour over the last two hours to produce the following new dataframe. The result can be directly passed into DFS to make features at the different time points.

[18]:
temporal_cutoffs = ft.make_temporal_cutoffs(
    cutoff_times["customer_id"], cutoff_times["time"], window_size="1h", num_windows=2
)
temporal_cutoffs
fm, features = ft.dfs(
    entityset=es,
    target_dataframe_name="customers",
    cutoff_time=temporal_cutoffs,
    cutoff_time_in_index=True,
)
fm
[18]:
zip_code COUNT(sessions) MODE(sessions.device) NUM_UNIQUE(sessions.device) COUNT(transactions) MAX(transactions.amount) MEAN(transactions.amount) MIN(transactions.amount) MODE(transactions.product_id) NUM_UNIQUE(transactions.product_id) SKEW(transactions.amount) STD(transactions.amount) SUM(transactions.amount) DAY(birthday) DAY(join_date) MONTH(birthday) MONTH(join_date) WEEKDAY(birthday) WEEKDAY(join_date) YEAR(birthday) YEAR(join_date) MAX(sessions.COUNT(transactions)) MAX(sessions.MEAN(transactions.amount)) MAX(sessions.MIN(transactions.amount)) MAX(sessions.NUM_UNIQUE(transactions.product_id)) MAX(sessions.SKEW(transactions.amount)) MAX(sessions.STD(transactions.amount)) MAX(sessions.SUM(transactions.amount)) MEAN(sessions.COUNT(transactions)) MEAN(sessions.MAX(transactions.amount)) MEAN(sessions.MEAN(transactions.amount)) MEAN(sessions.MIN(transactions.amount)) MEAN(sessions.NUM_UNIQUE(transactions.product_id)) MEAN(sessions.SKEW(transactions.amount)) MEAN(sessions.STD(transactions.amount)) MEAN(sessions.SUM(transactions.amount)) MIN(sessions.COUNT(transactions)) MIN(sessions.MAX(transactions.amount)) MIN(sessions.MEAN(transactions.amount)) MIN(sessions.NUM_UNIQUE(transactions.product_id)) MIN(sessions.SKEW(transactions.amount)) MIN(sessions.STD(transactions.amount)) MIN(sessions.SUM(transactions.amount)) MODE(sessions.DAY(session_start)) MODE(sessions.MODE(transactions.product_id)) MODE(sessions.MONTH(session_start)) MODE(sessions.WEEKDAY(session_start)) MODE(sessions.YEAR(session_start)) NUM_UNIQUE(sessions.DAY(session_start)) NUM_UNIQUE(sessions.MODE(transactions.product_id)) NUM_UNIQUE(sessions.MONTH(session_start)) NUM_UNIQUE(sessions.WEEKDAY(session_start)) NUM_UNIQUE(sessions.YEAR(session_start)) SKEW(sessions.COUNT(transactions)) SKEW(sessions.MAX(transactions.amount)) SKEW(sessions.MEAN(transactions.amount)) SKEW(sessions.MIN(transactions.amount)) SKEW(sessions.NUM_UNIQUE(transactions.product_id)) SKEW(sessions.STD(transactions.amount)) SKEW(sessions.SUM(transactions.amount)) STD(sessions.COUNT(transactions)) STD(sessions.MAX(transactions.amount)) STD(sessions.MEAN(transactions.amount)) STD(sessions.MIN(transactions.amount)) STD(sessions.NUM_UNIQUE(transactions.product_id)) STD(sessions.SKEW(transactions.amount)) STD(sessions.SUM(transactions.amount)) SUM(sessions.MAX(transactions.amount)) SUM(sessions.MEAN(transactions.amount)) SUM(sessions.MIN(transactions.amount)) SUM(sessions.NUM_UNIQUE(transactions.product_id)) SUM(sessions.SKEW(transactions.amount)) SUM(sessions.STD(transactions.amount)) MODE(transactions.sessions.device) NUM_UNIQUE(transactions.sessions.device)
customer_id time
1 2014-01-01 03:00:00 60091 3 desktop 3 55 139.23 71.501091 5.81 1 5 0.140387 42.769602 3932.56 18 17 7 4 0 6 1994 2011 25.0 84.440000 8.74 5.0 0.234349 46.905665 1613.93 18.333333 133.650000 73.044178 6.946667 5.0 0.108644 43.249208 1310.853333 15.0 129.00 64.557200 5.0 -0.134754 40.187205 1052.03 1 1 1 2 2014 1 3 1 1 1 1.732051 0.782152 1.173675 1.552040 0.0 0.763052 0.685199 5.773503 5.178021 10.255607 1.571507 0.0 0.210827 283.551883 400.95 219.132533 20.84 15.0 0.325932 129.747625 mobile 3
2014-01-01 04:00:00 60091 4 tablet 3 67 139.23 74.002836 5.81 4 5 -0.006928 42.309717 4958.19 18 17 7 4 0 6 1994 2011 25.0 85.469167 8.74 5.0 0.234349 46.905665 1613.93 16.750000 135.010000 76.150425 6.905000 5.0 -0.126261 42.393218 1239.547500 12.0 129.00 64.557200 5.0 -0.830975 39.825249 1025.63 1 4 1 2 2014 1 3 1 1 1 1.614843 -0.451371 -0.233453 1.452325 0.0 1.235445 1.197406 5.678908 5.027226 10.426572 1.285833 0.0 0.500353 271.917637 540.04 304.601700 27.62 20.0 -0.505043 169.572874 tablet 3
2 2014-01-01 04:00:00 13244 4 desktop 2 49 146.81 84.700000 12.07 4 5 -0.134786 39.289512 4150.30 18 15 8 4 0 6 1986 2012 16.0 96.581000 56.46 5.0 0.295458 47.935920 1320.64 12.250000 142.322500 85.197948 26.310000 5.0 0.011293 39.315685 1037.575000 8.0 138.38 76.813125 5.0 -0.455197 27.839228 634.84 1 2 1 2 2014 1 3 1 1 1 -0.169238 0.459305 0.651941 1.815491 0.0 -0.966834 -0.823347 3.862210 3.470527 8.983533 20.424007 0.0 0.324809 307.743859 569.29 340.791792 105.24 20.0 0.045171 157.262738 desktop 2
2014-01-01 05:00:00 13244 5 desktop 2 62 146.81 83.149355 12.07 4 5 -0.121811 38.047944 5155.26 18 15 8 4 0 6 1986 2012 16.0 96.581000 56.46 5.0 0.295458 47.935920 1320.64 12.400000 137.628000 83.619281 25.412000 5.0 -0.053949 38.197555 1031.052000 8.0 118.85 76.813125 5.0 -0.455197 27.839228 634.84 1 2 1 2 2014 1 4 1 1 1 -0.379092 -1.814717 1.082192 1.959531 0.0 -0.213518 -0.667256 3.361547 10.919023 8.543351 17.801322 0.0 0.316873 266.912832 688.14 418.096407 127.06 25.0 -0.269747 190.987775 desktop 2
3 2014-01-01 05:00:00 13244 2 desktop 2 32 146.31 58.960000 6.65 1 5 0.637074 41.199361 1886.72 21 13 11 8 4 5 2003 2011 17.0 62.791333 8.19 5.0 0.618455 47.264797 944.85 16.000000 136.525000 59.185373 7.420000 5.0 0.575022 41.716008 943.360000 15.0 126.74 55.579412 5.0 0.531588 36.167220 941.87 1 1 1 2 2014 1 1 1 1 1 NaN NaN NaN NaN NaN NaN NaN 1.414214 13.838080 5.099599 1.088944 0.0 0.061424 2.107178 273.05 118.370745 14.84 10.0 1.150043 83.432017 desktop 2
2014-01-01 06:00:00 13244 4 desktop 2 44 146.31 65.174773 6.65 1 5 0.318315 40.349758 2867.69 21 13 11 8 4 5 2003 2011 17.0 91.760000 91.76 5.0 0.618455 47.264797 944.85 11.000000 123.267500 72.742004 31.665000 4.0 0.286859 39.712232 716.922500 1.0 91.76 55.579412 1.0 -0.289466 35.704680 91.76 1 1 1 2 2014 1 2 1 1 1 -1.330938 -1.060639 0.201588 1.874170 -2.0 1.722323 -1.977878 7.118052 22.808351 16.540737 40.508892 2.0 0.500999 417.557763 493.07 290.968018 126.66 16.0 0.860577 119.136697 desktop 2
1 2014-01-01 07:00:00 60091 7 tablet 3 110 139.43 69.141182 5.81 4 5 0.149908 41.018896 7605.53 18 17 7 4 0 6 1994 2011 25.0 85.469167 26.36 5.0 0.640252 46.905665 1613.93 15.714286 133.122857 70.491070 9.567143 5.0 0.080330 40.060203 1086.504286 12.0 118.90 50.623125 5.0 -0.830975 30.450261 809.97 1 1 1 2 2014 1 4 1 1 1 1.927658 -1.277394 -0.282093 2.552328 0.0 -0.755846 1.377768 4.386125 7.441648 13.123365 7.470707 0.0 0.471955 273.713405 931.86 493.437492 66.97 35.0 0.562312 280.421418 tablet 3
2014-01-01 08:00:00 60091 8 mobile 3 126 139.43 71.631905 5.81 4 5 0.019698 40.442059 9025.62 18 17 7 4 0 6 1994 2011 25.0 88.755625 26.36 5.0 0.640252 46.905665 1613.93 15.750000 132.246250 72.774140 9.823750 5.0 -0.059515 39.093244 1128.202500 12.0 118.90 50.623125 5.0 -1.038434 30.450261 809.97 1 4 1 2 2014 1 4 1 1 1 1.946018 -0.780493 -0.424949 2.440005 0.0 -0.312355 0.778170 4.062019 7.322191 13.759314 6.954507 0.0 0.589386 279.510713 1057.97 582.193117 78.59 40.0 -0.476122 312.745952 mobile 3