diff --git a/pts/feature/__init__.py b/pts/feature/__init__.py
new file mode 100644
index 0000000..76c2123
--- /dev/null
+++ b/pts/feature/__init__.py
@@ -0,0 +1,9 @@
+from pts.feature.time_feature import (
+    MinuteOfHour,
+    HourOfDay,
+    DayOfWeek,
+    DayOfMonth,
+    DayOfYear,
+    MonthOfYear,
+    WeekOfYear,
+)
diff --git a/pts/feature/time_feature.py b/pts/feature/time_feature.py
new file mode 100644
index 0000000..25dbaf0
--- /dev/null
+++ b/pts/feature/time_feature.py
@@ -0,0 +1,98 @@
+import numpy as np
+import pandas as pd
+
+from abc import ABC, abstractmethod
+
+
+class TimeFeature(ABC):
+    def __init__(self, normalized: bool = True):
+        self.normalized = normalized
+
+    @abstractmethod
+    def __call__(self, index: pd.DatetimeIndex) -> np.ndarray:
+        pass
+
+
+class MinuteOfHour(TimeFeature):
+    """
+    Minute of hour encoded as value between [-0.5, 0.5]
+    """
+
+    def __call__(self, index: pd.DatetimeIndex) -> np.ndarray:
+        if self.normalized:
+            return index.minute / 59.0 - 0.5
+        else:
+            return index.minute.map(float)
+
+
+class HourOfDay(TimeFeature):
+    """
+    Hour of day encoded as value between [-0.5, 0.5]
+    """
+
+    def __call__(self, index: pd.DatetimeIndex) -> np.ndarray:
+        if self.normalized:
+            return index.hour / 23.0 - 0.5
+        else:
+            return index.hour.map(float)
+
+
+class DayOfWeek(TimeFeature):
+    """
+    Hour of day encoded as value between [-0.5, 0.5]
+    """
+
+    def __call__(self, index: pd.DatetimeIndex) -> np.ndarray:
+        if self.normalized:
+            return index.dayofweek / 6.0 - 0.5
+        else:
+            return index.dayofweek.map(float)
+
+
+class DayOfMonth(TimeFeature):
+    """
+    Day of month encoded as value between [-0.5, 0.5]
+    """
+
+    def __call__(self, index: pd.DatetimeIndex) -> np.ndarray:
+        if self.normalized:
+            return index.day / 30.0 - 0.5
+        else:
+            return index.day.map(float)
+
+
+class DayOfYear(TimeFeature):
+    """
+    Day of year encoded as value between [-0.5, 0.5]
+    """
+
+    def __call__(self, index: pd.DatetimeIndex) -> np.ndarray:
+        if self.normalized:
+            return index.dayofyear / 364.0 - 0.5
+        else:
+            return index.dayofyear.map(float)
+
+
+class MonthOfYear(TimeFeature):
+    """
+    Month of year encoded as value between [-0.5, 0.5]
+    """
+
+    def __call__(self, index: pd.DatetimeIndex) -> np.ndarray:
+        if self.normalized:
+            return index.month / 11.0 - 0.5
+        else:
+            return index.month.map(float)
+
+
+class WeekOfYear(TimeFeature):
+    """
+    Week of year encoded as value between [-0.5, 0.5]
+    """
+
+    def __call__(self, index: pd.DatetimeIndex) -> np.ndarray:
+        if self.normalized:
+            return index.weekofyear / 51.0 - 0.5
+        else:
+            return index.weekofyear.map(float)
+
diff --git a/pts/feature/transform.py b/pts/feature/transform.py
new file mode 100644
index 0000000..e69de29