dfs() builtin filter function

What if suggest a user an opportunity to filter features in the process of building a feature matrix?

As I noticed, the output of dfs() can be millions of highly correlated useless features. The vast amount of time was wasted on them. Would be great to give a user an opportunity to filter out highly correlated features. As well as features with a big ratio of missing values that will be dropped anyway. I assume it can increase the ratio of useful features, allow use a bigger value of max_depth and other expensive settings of dfs().

I expect this function can be inserted after transformation or the next step.