A very common method is to use the feature importances provided by XGBoost. The importance of a feature at a high-level is just how much that feature contributed to making the model better. Don't worry too much about the actual number. Rather, let us use the importances to rank our features and see relative importances.

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If true, only interaction features are produced: features that are products of at most degree distinct input features (so not x[1] ** 2, x[0] * x[2] ** 3, etc.). include_bias : boolean If True (default), then include a bias column, the feature in which all polynomial powers are zero (i.e. a column of ones - acts as an intercept term in a linear ...

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