The disclosed embodiments provide a system for processing data. During operation, the system organizes fact data to be aggregated into sliding time window features and observation data associated with the fact data into a set of partitions based on a join key. Next, the system sorts the fact data and the observation data within the set of partitions by the join key and timestamps associated with the fact data and the observation data. For each observation record in the observation data, the system aggregates fact records in the sorted fact data that share a value of the join key with the observation record and that fall within a first time window associated with the observation record to produce a sliding time window feature. The system then stores the sliding time window feature in association with the observation record.