estimatefee / estimatepriority RPC methods

New RPC methods: return an estimate of the fee (or priority) a
transaction needs to be likely to confirm in a given number of
blocks.

Mike Hearn created the first version of this method for estimating fees.
It works as follows:

For transactions that took 1 to N (I picked N=25) blocks to confirm,
keep N buckets with at most 100 entries in each recording the
fees-per-kilobyte paid by those transactions.

(separate buckets are kept for transactions that confirmed because
they are high-priority)

The buckets are filled as blocks are found, and are saved/restored
in a new fee_estiamtes.dat file in the data directory.

A few variations on Mike's initial scheme:

To estimate the fee needed for a transaction to confirm in X buckets,
all of the samples in all of the buckets are used and a median of
all of the data is used to make the estimate. For example, imagine
25 buckets each containing the full 100 entries. Those 2,500 samples
are sorted, and the estimate of the fee needed to confirm in the very
next block is the 50'th-highest-fee-entry in that sorted list; the
estimate of the fee needed to confirm in the next two blocks is the
150'th-highest-fee-entry, etc.

That algorithm has the nice property that estimates of how much fee
you need to pay to get confirmed in block N will always be greater
than or equal to the estimate for block N+1. It would clearly be wrong
to say "pay 11 uBTC and you'll get confirmed in 3 blocks, but pay
12 uBTC and it will take LONGER".

A single block will not contribute more than 10 entries to any one
bucket, so a single miner and a large block cannot overwhelm
the estimates.

13 files changed, 767 insertions, 31 deletions

diff --git a/doc/release-notes.md b/doc/release-notes.md
index f16eec32a2..9272d427cd 100644
--- a/doc/release-notes.md
+++ b/doc/release-notes.md
@@ -1,2 +1,21 @@
 (note: this is a temporary file, to be added-to by anybody, and moved to
 release-notes at release time)
+
+New RPC methods
+===============
+
+Fee/Priority estimation
+-----------------------
+
+estimatefee nblocks : Returns approximate fee-per-1,000-bytes needed for
+a transaction to be confirmed within nblocks. Returns -1 if not enough
+transactions have been observed to compute a good estimate.
+
+estimatepriority nblocks : Returns approximate priority needed for
+a zero-fee transaction to confirm within nblocks. Returns -1 if not
+enough free transactions have been observed to compute a good
+estimate.
+
+Statistics used to estimate fees and priorities are saved in the
+data directory in the 'fee_estimates.dat' file just before
+program shutdown, and are read in at startup.
diff --git a/qa/rpc-tests/smartfees.py b/qa/rpc-tests/smartfees.py
new file mode 100755
index 0000000000..e8abbfba19
--- /dev/null
+++ b/qa/rpc-tests/smartfees.py
@@ -0,0 +1,142 @@
+#!/usr/bin/env python
+
+#
+# Test fee estimation code
+#
+
+# Add python-bitcoinrpc to module search path:
+import os
+import sys
+sys.path.append(os.path.join(os.path.dirname(os.path.abspath(__file__)), "python-bitcoinrpc"))
+
+import json
+import random
+import shutil
+import subprocess
+import tempfile
+import traceback
+
+from bitcoinrpc.authproxy import AuthServiceProxy, JSONRPCException
+from util import *
+
+
+def run_test(nodes, test_dir):
+    nodes.append(start_node(0, test_dir,
+                            ["-debug=mempool", "-debug=estimatefee"]))
+    # Node1 mines small-but-not-tiny blocks, and allows free transactions.
+    # NOTE: the CreateNewBlock code starts counting block size at 1,000 bytes,
+    # so blockmaxsize of 2,000 is really just 1,000 bytes (room enough for
+    # 6 or 7 transactions)
+    nodes.append(start_node(1, test_dir,
+                            ["-blockprioritysize=1500", "-blockmaxsize=2000",
+                             "-debug=mempool", "-debug=estimatefee"]))
+    connect_nodes(nodes[1], 0)
+
+    # Node2 is a stingy miner, that
+    # produces very small blocks (room for only 3 or so transactions)
+    node2args = [ "-blockprioritysize=0", "-blockmaxsize=1500",
+                             "-debug=mempool", "-debug=estimatefee"]
+    nodes.append(start_node(2, test_dir, node2args))
+    connect_nodes(nodes[2], 0)
+
+    sync_blocks(nodes)
+
+    # Prime the memory pool with pairs of transactions
+    # (high-priority, random fee and zero-priority, random fee)
+    min_fee = Decimal("0.001")
+    fees_per_kb = [];
+    for i in range(12):
+        (txid, txhex, fee) = random_zeropri_transaction(nodes, Decimal("1.1"),
+                                                        min_fee, min_fee, 20)
+        tx_kbytes = (len(txhex)/2)/1000.0
+        fees_per_kb.append(float(fee)/tx_kbytes)
+
+    # Mine blocks with node2 until the memory pool clears:
+    count_start = nodes[2].getblockcount()
+    while len(nodes[2].getrawmempool()) > 0:
+        nodes[2].setgenerate(True, 1)
+        sync_blocks(nodes)
+
+    all_estimates = [ nodes[0].estimatefee(i) for i in range(1,20) ]
+    print("Fee estimates, super-stingy miner: "+str([str(e) for e in all_estimates]))
+
+    # Estimates should be within the bounds of what transactions fees actually were:
+    delta = 1.0e-6 # account for rounding error
+    for e in filter(lambda x: x >= 0, all_estimates):
+        if float(e)+delta < min(fees_per_kb) or float(e)-delta > max(fees_per_kb):
+            raise AssertionError("Estimated fee (%f) out of range (%f,%f)"%(float(e), min_fee_kb, max_fee_kb))
+
+    # Generate transactions while mining 30 more blocks, this time with node1:
+    for i in range(30):
+        for j in range(random.randrange(6-4,6+4)):
+            (txid, txhex, fee) = random_transaction(nodes, Decimal("1.1"),
+                                                    Decimal("0.0"), min_fee, 20)
+            tx_kbytes = (len(txhex)/2)/1000.0
+            fees_per_kb.append(float(fee)/tx_kbytes)
+        nodes[1].setgenerate(True, 1)
+        sync_blocks(nodes)
+
+    all_estimates = [ nodes[0].estimatefee(i) for i in range(1,20) ]
+    print("Fee estimates, more generous miner: "+str([ str(e) for e in all_estimates]))
+    for e in filter(lambda x: x >= 0, all_estimates):
+        if float(e)+delta < min(fees_per_kb) or float(e)-delta > max(fees_per_kb):
+            raise AssertionError("Estimated fee (%f) out of range (%f,%f)"%(float(e), min_fee_kb, max_fee_kb))
+
+    # Finish by mining a normal-sized block:
+    while len(nodes[0].getrawmempool()) > 0:
+        nodes[0].setgenerate(True, 1)
+        sync_blocks(nodes)
+
+    final_estimates = [ nodes[0].estimatefee(i) for i in range(1,20) ]
+    print("Final fee estimates: "+str([ str(e) for e in final_estimates]))
+
+def main():
+    import optparse
+
+    parser = optparse.OptionParser(usage="%prog [options]")
+    parser.add_option("--nocleanup", dest="nocleanup", default=False, action="store_true",
+                      help="Leave bitcoinds and test.* datadir on exit or error")
+    parser.add_option("--srcdir", dest="srcdir", default="../../src",
+                      help="Source directory containing bitcoind/bitcoin-cli (default: %default%)")
+    parser.add_option("--tmpdir", dest="tmpdir", default=tempfile.mkdtemp(prefix="test"),
+                      help="Root directory for datadirs")
+    (options, args) = parser.parse_args()
+
+    os.environ['PATH'] = options.srcdir+":"+os.environ['PATH']
+
+    check_json_precision()
+
+    success = False
+    nodes = []
+    try:
+        print("Initializing test directory "+options.tmpdir)
+        print("  node0 running at: 127.0.0.1:%d"%(p2p_port(0)))
+        if not os.path.isdir(options.tmpdir):
+            os.makedirs(options.tmpdir)
+        initialize_chain(options.tmpdir)
+
+        run_test(nodes, options.tmpdir)
+
+        success = True
+
+    except AssertionError as e:
+        print("Assertion failed: "+e.message)
+    except Exception as e:
+        print("Unexpected exception caught during testing: "+str(e))
+        traceback.print_tb(sys.exc_info()[2])
+
+    if not options.nocleanup:
+        print("Cleaning up")
+        stop_nodes(nodes)
+        wait_bitcoinds()
+        shutil.rmtree(options.tmpdir)
+
+    if success:
+        print("Tests successful")
+        sys.exit(0)
+    else:
+        print("Failed")
+        sys.exit(1)
+
+if __name__ == '__main__':
+    main()
diff --git a/qa/rpc-tests/util.py b/qa/rpc-tests/util.py
index eab526daf3..eded098c7c 100644
--- a/qa/rpc-tests/util.py
+++ b/qa/rpc-tests/util.py
@@ -12,6 +12,7 @@ sys.path.append(os.path.join(os.path.dirname(os.path.abspath(__file__)), "python
 
 from decimal import Decimal
 import json
+import random
 import shutil
 import subprocess
 import time
@@ -70,6 +71,7 @@ def initialize_datadir(dir, n):
         f.write("rpcpassword=rt\n");
         f.write("port="+str(p2p_port(n))+"\n");
         f.write("rpcport="+str(rpc_port(n))+"\n");
+    return datadir
 
 def initialize_chain(test_dir):
     """
@@ -82,7 +84,7 @@ def initialize_chain(test_dir):
         devnull = open("/dev/null", "w+")
         # Create cache directories, run bitcoinds:
         for i in range(4):
-            initialize_datadir("cache", i)
+            datadir=initialize_datadir("cache", i)
             args = [ "bitcoind", "-keypool=1", "-datadir="+datadir ]
             if i > 0:
                 args.append("-connect=127.0.0.1:"+str(p2p_port(0)))
@@ -140,25 +142,28 @@ def _rpchost_to_args(rpchost):
         rv += ['-rpcport=' + rpcport]
     return rv
 
-def start_nodes(num_nodes, dir, extra_args=None, rpchost=None):
-    # Start bitcoinds, and wait for RPC interface to be up and running:
+def start_node(i, dir, extra_args=None, rpchost=None):
+    """
+    Start a bitcoind and return RPC connection to it
+    """
+    datadir = os.path.join(dir, "node"+str(i))
+    args = [ "bitcoind", "-datadir="+datadir, "-keypool=1" ]
+    if extra_args is not None: args.extend(extra_args)
+    bitcoind_processes.append(subprocess.Popen(args))
     devnull = open("/dev/null", "w+")
-    for i in range(num_nodes):
-        datadir = os.path.join(dir, "node"+str(i))
-        args = [ "bitcoind", "-datadir="+datadir, "-keypool=1" ]
-        if extra_args is not None:
-            args += extra_args[i]
-        bitcoind_processes.append(subprocess.Popen(args))
-        subprocess.check_call([ "bitcoin-cli", "-datadir="+datadir] +
-                                  _rpchost_to_args(rpchost)  +
-                                  ["-rpcwait", "getblockcount"], stdout=devnull)
+    subprocess.check_call([ "bitcoin-cli", "-datadir="+datadir] +
+                          _rpchost_to_args(rpchost)  +
+                          ["-rpcwait", "getblockcount"], stdout=devnull)
     devnull.close()
-    # Create&return JSON-RPC connections
-    rpc_connections = []
-    for i in range(num_nodes):
-        url = "http://rt:rt@%s:%d" % (rpchost or '127.0.0.1', rpc_port(i))
-        rpc_connections.append(AuthServiceProxy(url))
-    return rpc_connections
+    url = "http://rt:rt@%s:%d" % (rpchost or '127.0.0.1', rpc_port(i))
+    return AuthServiceProxy(url)
+
+def start_nodes(num_nodes, dir, extra_args=None, rpchost=None):
+    """
+    Start multiple bitcoinds, return RPC connections to them
+    """
+    if extra_args is None: extra_args = [ None for i in range(num_nodes) ]
+    return [ start_node(i, dir, extra_args[i], rpchost) for i in range(num_nodes) ]
 
 def debug_log(dir, n_node):
     return os.path.join(dir, "node"+str(n_node), "regtest", "debug.log")
@@ -178,6 +183,108 @@ def connect_nodes(from_connection, node_num):
     ip_port = "127.0.0.1:"+str(p2p_port(node_num))
     from_connection.addnode(ip_port, "onetry")
 
+def find_output(node, txid, amount):
+    """
+    Return index to output of txid with value amount
+    Raises exception if there is none.
+    """
+    txdata = node.getrawtransaction(txid, 1)
+    for i in range(len(txdata["vout"])):
+        if txdata["vout"][i]["value"] == amount:
+            return i
+    raise RuntimeError("find_output txid %s : %s not found"%(txid,str(amount)))
+
+def gather_inputs(from_node, amount_needed):
+    """
+    Return a random set of unspent txouts that are enough to pay amount_needed
+    """
+    utxo = from_node.listunspent(1)
+    random.shuffle(utxo)
+    inputs = []
+    total_in = Decimal("0.00000000")
+    while total_in < amount_needed and len(utxo) > 0:
+        t = utxo.pop()
+        total_in += t["amount"]
+        inputs.append({ "txid" : t["txid"], "vout" : t["vout"], "address" : t["address"] } )
+    if total_in < amount_needed:
+        raise RuntimeError("Insufficient funds: need %d, have %d"%(amount+fee*2, total_in))
+    return (total_in, inputs)
+
+def make_change(from_node, amount_in, amount_out, fee):
+    """
+    Create change output(s), return them
+    """
+    outputs = {}
+    amount = amount_out+fee
+    change = amount_in - amount
+    if change > amount*2:
+        # Create an extra change output to break up big inputs
+        outputs[from_node.getnewaddress()] = float(change/2)
+        change = change/2
+    if change > 0:
+        outputs[from_node.getnewaddress()] = float(change)
+    return outputs
+
+def send_zeropri_transaction(from_node, to_node, amount, fee):
+    """
+    Create&broadcast a zero-priority transaction.
+    Returns (txid, hex-encoded-txdata)
+    Ensures transaction is zero-priority by first creating a send-to-self,
+    then using it's output
+    """
+
+    # Create a send-to-self with confirmed inputs:
+    self_address = from_node.getnewaddress()
+    (total_in, inputs) = gather_inputs(from_node, amount+fee*2)
+    outputs = make_change(from_node, total_in, amount+fee, fee)
+    outputs[self_address] = float(amount+fee)
+
+    self_rawtx = from_node.createrawtransaction(inputs, outputs)
+    self_signresult = from_node.signrawtransaction(self_rawtx)
+    self_txid = from_node.sendrawtransaction(self_signresult["hex"], True)
+
+    vout = find_output(from_node, self_txid, amount+fee)
+    # Now immediately spend the output to create a 1-input, 1-output
+    # zero-priority transaction:
+    inputs = [ { "txid" : self_txid, "vout" : vout } ]
+    outputs = { to_node.getnewaddress() : float(amount) }
+
+    rawtx = from_node.createrawtransaction(inputs, outputs)
+    signresult = from_node.signrawtransaction(rawtx)
+    txid = from_node.sendrawtransaction(signresult["hex"], True)
+
+    return (txid, signresult["hex"])
+
+def random_zeropri_transaction(nodes, amount, min_fee, fee_increment, fee_variants):
+    """
+    Create a random zero-priority transaction.
+    Returns (txid, hex-encoded-transaction-data, fee)
+    """
+    from_node = random.choice(nodes)
+    to_node = random.choice(nodes)
+    fee = min_fee + fee_increment*random.randint(0,fee_variants)
+    (txid, txhex) = send_zeropri_transaction(from_node, to_node, amount, fee)
+    return (txid, txhex, fee)
+
+def random_transaction(nodes, amount, min_fee, fee_increment, fee_variants):
+    """
+    Create a random transaction.
+    Returns (txid, hex-encoded-transaction-data, fee)
+    """
+    from_node = random.choice(nodes)
+    to_node = random.choice(nodes)
+    fee = min_fee + fee_increment*random.randint(0,fee_variants)
+
+    (total_in, inputs) = gather_inputs(from_node, amount+fee)
+    outputs = make_change(from_node, total_in, amount, fee)
+    outputs[to_node.getnewaddress()] = float(amount)
+
+    rawtx = from_node.createrawtransaction(inputs, outputs)
+    signresult = from_node.signrawtransaction(rawtx)
+    txid = from_node.sendrawtransaction(signresult["hex"], True)
+
+    return (txid, signresult["hex"], fee)
+
 def assert_equal(thing1, thing2):
     if thing1 != thing2:
         raise AssertionError("%s != %s"%(str(thing1),str(thing2)))
diff --git a/src/core.h b/src/core.h
index 9fccffc4b2..0e59129349 100644
--- a/src/core.h
+++ b/src/core.h
@@ -120,6 +120,7 @@ class CFeeRate
 private:
     int64_t nSatoshisPerK; // unit is satoshis-per-1,000-bytes
 public:
+    CFeeRate() : nSatoshisPerK(0) { }
     explicit CFeeRate(int64_t _nSatoshisPerK): nSatoshisPerK(_nSatoshisPerK) { }
     CFeeRate(int64_t nFeePaid, size_t nSize);
     CFeeRate(const CFeeRate& other) { nSatoshisPerK = other.nSatoshisPerK; }
@@ -132,6 +133,8 @@ public:
     friend bool operator==(const CFeeRate& a, const CFeeRate& b) { return a.nSatoshisPerK == b.nSatoshisPerK; }
 
     std::string ToString() const;
+
+    IMPLEMENT_SERIALIZE( READWRITE(nSatoshisPerK); )
 };
 
 
diff --git a/src/init.cpp b/src/init.cpp
index 1aad679b3b..aca5e0c9aa 100644
--- a/src/init.cpp
+++ b/src/init.cpp
@@ -59,6 +59,7 @@ enum BindFlags {
     BF_REPORT_ERROR = (1U << 1)
 };
 
+static const char* FEE_ESTIMATES_FILENAME="fee_estimates.dat";
 
 //////////////////////////////////////////////////////////////////////////////
 //
@@ -121,6 +122,14 @@ void Shutdown()
 #endif
     StopNode();
     UnregisterNodeSignals(GetNodeSignals());
+
+    boost::filesystem::path est_path = GetDataDir() / FEE_ESTIMATES_FILENAME;
+    CAutoFile est_fileout = CAutoFile(fopen(est_path.string().c_str(), "wb"), SER_DISK, CLIENT_VERSION);
+    if (est_fileout)
+        mempool.WriteFeeEstimates(est_fileout);
+    else
+        LogPrintf("failed to write fee estimates");
+
     {
         LOCK(cs_main);
 #ifdef ENABLE_WALLET
@@ -933,6 +942,11 @@ bool AppInit2(boost::thread_group& threadGroup)
         return false;
     }
 
+    boost::filesystem::path est_path = GetDataDir() / FEE_ESTIMATES_FILENAME;
+    CAutoFile est_filein = CAutoFile(fopen(est_path.string().c_str(), "rb"), SER_DISK, CLIENT_VERSION);
+    if (est_filein)
+        mempool.ReadFeeEstimates(est_filein);
+
     // ********************************************************* Step 8: load wallet
 #ifdef ENABLE_WALLET
     if (fDisableWallet) {
diff --git a/src/main.cpp b/src/main.cpp
index 9d6c01d64e..429473d8f8 100644
--- a/src/main.cpp
+++ b/src/main.cpp
@@ -851,6 +851,7 @@ bool AcceptToMemoryPool(CTxMemPool& pool, CValidationState &state, const CTransa
         CCoinsView dummy;
         CCoinsViewCache view(dummy);
 
+        int64_t nValueIn = 0;
         {
         LOCK(pool.cs);
         CCoinsViewMemPool viewMemPool(*pcoinsTip, pool);
@@ -879,6 +880,8 @@ bool AcceptToMemoryPool(CTxMemPool& pool, CValidationState &state, const CTransa
         // Bring the best block into scope
         view.GetBestBlock();
 
+        nValueIn = view.GetValueIn(tx);
+
         // we have all inputs cached now, so switch back to dummy, so we don't need to keep lock on mempool
         view.SetBackend(dummy);
         }
@@ -891,7 +894,6 @@ bool AcceptToMemoryPool(CTxMemPool& pool, CValidationState &state, const CTransa
         // you should add code here to check that the transaction does a
         // reasonable number of ECDSA signature verifications.
 
-        int64_t nValueIn = view.GetValueIn(tx);
         int64_t nValueOut = tx.GetValueOut();
         int64_t nFees = nValueIn-nValueOut;
         double dPriority = view.GetPriority(tx, chainActive.Height());
@@ -2017,11 +2019,7 @@ bool static ConnectTip(CValidationState &state, CBlockIndex *pindexNew) {
         return false;
     // Remove conflicting transactions from the mempool.
     list<CTransaction> txConflicted;
-    BOOST_FOREACH(const CTransaction &tx, block.vtx) {
-        list<CTransaction> unused;
-        mempool.remove(tx, unused);
-        mempool.removeConflicts(tx, txConflicted);
-    }
+    mempool.removeForBlock(block.vtx, pindexNew->nHeight, txConflicted);
     mempool.check(pcoinsTip);
     // Update chainActive & related variables.
     UpdateTip(pindexNew);
diff --git a/src/main.h b/src/main.h
index 3fccd32a29..23c8660376 100644
--- a/src/main.h
+++ b/src/main.h
@@ -292,13 +292,6 @@ unsigned int GetLegacySigOpCount(const CTransaction& tx);
 unsigned int GetP2SHSigOpCount(const CTransaction& tx, CCoinsViewCache& mapInputs);
 
 
-inline bool AllowFree(double dPriority)
-{
-    // Large (in bytes) low-priority (new, small-coin) transactions
-    // need a fee.
-    return dPriority > COIN * 144 / 250;
-}
-
 // Check whether all inputs of this transaction are valid (no double spends, scripts & sigs, amounts)
 // This does not modify the UTXO set. If pvChecks is not NULL, script checks are pushed onto it
 // instead of being performed inline.
diff --git a/src/rpcclient.cpp b/src/rpcclient.cpp
index 4f3c39ce9b..b89a95ad11 100644
--- a/src/rpcclient.cpp
+++ b/src/rpcclient.cpp
@@ -176,6 +176,8 @@ Array RPCConvertValues(const std::string &strMethod, const std::vector<std::stri
     if (strMethod == "verifychain"            && n > 1) ConvertTo<int64_t>(params[1]);
     if (strMethod == "keypoolrefill"          && n > 0) ConvertTo<int64_t>(params[0]);
     if (strMethod == "getrawmempool"          && n > 0) ConvertTo<bool>(params[0]);
+    if (strMethod == "estimatefee"            && n > 0) ConvertTo<boost::int64_t>(params[0]);
+    if (strMethod == "estimatepriority"       && n > 0) ConvertTo<boost::int64_t>(params[0]);
 
     return params;
 }
diff --git a/src/rpcmining.cpp b/src/rpcmining.cpp
index 23876c603d..dd148c6af1 100644
--- a/src/rpcmining.cpp
+++ b/src/rpcmining.cpp
@@ -15,6 +15,7 @@
 #endif
 #include <stdint.h>
 
+#include <boost/assign/list_of.hpp>
 #include "json/json_spirit_utils.h"
 #include "json/json_spirit_value.h"
 
@@ -626,3 +627,63 @@ Value submitblock(const Array& params, bool fHelp)
 
     return Value::null;
 }
+
+Value estimatefee(const Array& params, bool fHelp)
+{
+    if (fHelp || params.size() != 1)
+        throw runtime_error(
+            "estimatefee nblocks\n"
+            "\nEstimates the approximate fee per kilobyte\n"
+            "needed for a transaction to get confirmed\n"
+            "within nblocks blocks.\n"
+            "\nArguments:\n"
+            "1. nblocks     (numeric)\n"
+            "\nResult:\n"
+            "n :    (numeric) estimated fee-per-kilobyte\n"
+            "\n"
+            "-1.0 is returned if not enough transactions and\n"
+            "blocks have been observed to make an estimate.\n"
+            "\nExample:\n"
+            + HelpExampleCli("estimatefee", "6")
+            );
+
+    RPCTypeCheck(params, boost::assign::list_of(int_type));
+
+    int nBlocks = params[0].get_int();
+    if (nBlocks < 1)
+        nBlocks = 1;
+
+    CFeeRate feeRate = mempool.estimateFee(nBlocks);
+    if (feeRate == CFeeRate(0))
+        return -1.0;
+
+    return ValueFromAmount(feeRate.GetFeePerK());
+}
+
+Value estimatepriority(const Array& params, bool fHelp)
+{
+    if (fHelp || params.size() != 1)
+        throw runtime_error(
+            "estimatepriority nblocks\n"
+            "\nEstimates the approximate priority\n"
+            "a zero-fee transaction needs to get confirmed\n"
+            "within nblocks blocks.\n"
+            "\nArguments:\n"
+            "1. nblocks     (numeric)\n"
+            "\nResult:\n"
+            "n :    (numeric) estimated priority\n"
+            "\n"
+            "-1.0 is returned if not enough transactions and\n"
+            "blocks have been observed to make an estimate.\n"
+            "\nExample:\n"
+            + HelpExampleCli("estimatepriority", "6")
+            );
+
+    RPCTypeCheck(params, boost::assign::list_of(int_type));
+
+    int nBlocks = params[0].get_int();
+    if (nBlocks < 1)
+        nBlocks = 1;
+
+    return mempool.estimatePriority(nBlocks);
+}
diff --git a/src/rpcserver.cpp b/src/rpcserver.cpp
index 2534a9dcf4..72a7fe83ef 100644
--- a/src/rpcserver.cpp
+++ b/src/rpcserver.cpp
@@ -268,6 +268,8 @@ static const CRPCCommand vRPCCommands[] =
     { "createmultisig",         &createmultisig,         true,      true ,      false },
     { "validateaddress",        &validateaddress,        true,      false,      false }, /* uses wallet if enabled */
     { "verifymessage",          &verifymessage,          false,     false,      false },
+    { "estimatefee",            &estimatefee,            true,      true,       false },
+    { "estimatepriority",       &estimatepriority,       true,      true,       false },
 
 #ifdef ENABLE_WALLET
     /* Wallet */
diff --git a/src/rpcserver.h b/src/rpcserver.h
index e8cd2cd0fc..73e8b9426c 100644
--- a/src/rpcserver.h
+++ b/src/rpcserver.h
@@ -133,6 +133,8 @@ extern json_spirit::Value getmininginfo(const json_spirit::Array& params, bool f
 extern json_spirit::Value getwork(const json_spirit::Array& params, bool fHelp);
 extern json_spirit::Value getblocktemplate(const json_spirit::Array& params, bool fHelp);
 extern json_spirit::Value submitblock(const json_spirit::Array& params, bool fHelp);
+extern json_spirit::Value estimatefee(const json_spirit::Array& params, bool fHelp);
+extern json_spirit::Value estimatepriority(const json_spirit::Array& params, bool fHelp);
 
 extern json_spirit::Value getnewaddress(const json_spirit::Array& params, bool fHelp); // in rpcwallet.cpp
 extern json_spirit::Value getaccountaddress(const json_spirit::Array& params, bool fHelp);
diff --git a/src/txmempool.cpp b/src/txmempool.cpp
index 64c9eac73d..4bf01d4848 100644
--- a/src/txmempool.cpp
+++ b/src/txmempool.cpp
@@ -6,6 +6,8 @@
 #include "core.h"
 #include "txmempool.h"
 
+#include <boost/circular_buffer.hpp>
+
 using namespace std;
 
 CTxMemPoolEntry::CTxMemPoolEntry()
@@ -35,12 +37,311 @@ CTxMemPoolEntry::GetPriority(unsigned int currentHeight) const
     return dResult;
 }
 
+//
+// Keep track of fee/priority for transactions confirmed within N blocks
+//
+class CBlockAverage
+{
+private:
+    boost::circular_buffer<CFeeRate> feeSamples;
+    boost::circular_buffer<double> prioritySamples;
+
+    template<typename T> std::vector<T> buf2vec(boost::circular_buffer<T> buf) const
+    {
+        std::vector<T> vec(buf.begin(), buf.end());
+        return vec;
+    }
+
+public:
+    CBlockAverage() : feeSamples(100), prioritySamples(100) { }
+
+    void RecordFee(const CFeeRate& feeRate) {
+        feeSamples.push_back(feeRate);
+    }
+
+    void RecordPriority(double priority) {
+        prioritySamples.push_back(priority);
+    }
+
+    size_t FeeSamples() const { return feeSamples.size(); }
+    size_t GetFeeSamples(std::vector<CFeeRate>& insertInto) const
+    {
+        BOOST_FOREACH(const CFeeRate& f, feeSamples)
+            insertInto.push_back(f);
+        return feeSamples.size();
+    }
+    size_t PrioritySamples() const { return prioritySamples.size(); }
+    size_t GetPrioritySamples(std::vector<double>& insertInto) const
+    {
+        BOOST_FOREACH(double d, prioritySamples)
+            insertInto.push_back(d);
+        return prioritySamples.size();
+    }
+
+    // Used as belt-and-suspenders check when reading to detect
+    // file corruption
+    bool AreSane(const std::vector<CFeeRate>& vecFee)
+    {
+        BOOST_FOREACH(CFeeRate fee, vecFee)
+        {
+            if (fee < CFeeRate(0))
+                return false;
+            if (fee.GetFee(1000) > CTransaction::minRelayTxFee.GetFee(1000) * 10000)
+                return false;
+        }
+        return true;
+    }
+    bool AreSane(const std::vector<double> vecPriority)
+    {
+        BOOST_FOREACH(double priority, vecPriority)
+        {
+            if (priority < 0)
+                return false;
+        }
+        return true;
+    }
+
+    void Write(CAutoFile& fileout) const
+    {
+        std::vector<CFeeRate> vecFee = buf2vec(feeSamples);
+        fileout << vecFee;
+        std::vector<double> vecPriority = buf2vec(prioritySamples);
+        fileout << vecPriority;
+    }
+
+    void Read(CAutoFile& filein) {
+        std::vector<CFeeRate> vecFee;
+        filein >> vecFee;
+        if (AreSane(vecFee))
+            feeSamples.insert(feeSamples.end(), vecFee.begin(), vecFee.end());
+        else
+            throw runtime_error("Corrupt fee value in estimates file.");
+        std::vector<double> vecPriority;
+        filein >> vecPriority;
+        if (AreSane(vecPriority))
+            prioritySamples.insert(prioritySamples.end(), vecPriority.begin(), vecPriority.end());
+        else
+            throw runtime_error("Corrupt priority value in estimates file.");
+        if (feeSamples.size() + prioritySamples.size() > 0)
+            LogPrint("estimatefee", "Read %d fee samples and %d priority samples\n",
+                     feeSamples.size(), prioritySamples.size());
+    }
+};
+
+class CMinerPolicyEstimator
+{
+private:
+    // Records observed averages transactions that confirmed within one block, two blocks,
+    // three blocks etc.
+    std::vector<CBlockAverage> history;
+    std::vector<CFeeRate> sortedFeeSamples;
+    std::vector<double> sortedPrioritySamples;
+
+    int nBestSeenHeight;
+
+    // nBlocksAgo is 0 based, i.e. transactions that confirmed in the highest seen block are
+    // nBlocksAgo == 0, transactions in the block before that are nBlocksAgo == 1 etc.
+    void seenTxConfirm(CFeeRate feeRate, double dPriority, int nBlocksAgo)
+    {
+        // Last entry records "everything else".
+        int nBlocksTruncated = min(nBlocksAgo, (int) history.size() - 1);
+        assert(nBlocksTruncated >= 0);
+
+        // We need to guess why the transaction was included in a block-- either
+        // because it is high-priority or because it has sufficient fees.
+        bool sufficientFee = (feeRate > CTransaction::minRelayTxFee);
+        bool sufficientPriority = AllowFree(dPriority);
+        const char* assignedTo = "unassigned";
+        if (sufficientFee && !sufficientPriority)
+        {
+            history[nBlocksTruncated].RecordFee(feeRate);
+            assignedTo = "fee";
+        }
+        else if (sufficientPriority && !sufficientFee)
+        {
+            history[nBlocksTruncated].RecordPriority(dPriority);
+            assignedTo = "priority";
+        }
+        else
+        {
+            // Neither or both fee and priority sufficient to get confirmed:
+            // don't know why they got confirmed.
+        }
+        LogPrint("estimatefee", "Seen TX confirm: %s : %s fee/%g priority, took %d blocks\n",
+                 assignedTo, feeRate.ToString(), dPriority, nBlocksAgo);
+    }
+
+public:
+    CMinerPolicyEstimator(int nEntries) : nBestSeenHeight(0)
+    {
+        history.resize(nEntries);
+    }
+
+    void seenBlock(const std::vector<CTxMemPoolEntry>& entries, int nBlockHeight)
+    {
+        if (nBlockHeight <= nBestSeenHeight)
+        {
+            // Ignore side chains and re-orgs; assuming they are random
+            // they don't affect the estimate.
+            // And if an attacker can re-org the chain at will, then
+            // you've got much bigger problems than "attacker can influence
+            // transaction fees."
+            return;
+        }
+        nBestSeenHeight = nBlockHeight;
+
+        // Fill up the history buckets based on how long transactions took
+        // to confirm.
+        std::vector<std::vector<const CTxMemPoolEntry*> > entriesByConfirmations;
+        entriesByConfirmations.resize(history.size());
+        BOOST_FOREACH(const CTxMemPoolEntry& entry, entries)
+        {
+            // How many blocks did it take for miners to include this transaction?
+            int delta = nBlockHeight - entry.GetHeight();
+            if (delta <= 0)
+            {
+                // Re-org made us lose height, this should only happen if we happen
+                // to re-org on a difficulty transition point: very rare!
+                continue;
+            }
+            if ((delta-1) >= (int)history.size())
+                delta = history.size(); // Last bucket is catch-all
+            entriesByConfirmations[delta-1].push_back(&entry);
+        }
+        for (size_t i = 0; i < entriesByConfirmations.size(); i++)
+        {
+            std::vector<const CTxMemPoolEntry*> &e = entriesByConfirmations.at(i);
+            // Insert at most 10 random entries per bucket, otherwise a single block
+            // can dominate an estimate:
+            if (e.size() > 10) {
+                std::random_shuffle(e.begin(), e.end());
+                e.resize(10);
+            }
+            BOOST_FOREACH(const CTxMemPoolEntry* entry, e)
+            {
+                // Fees are stored and reported as BTC-per-kb:
+                CFeeRate feeRate(entry->GetFee(), entry->GetTxSize());
+                double dPriority = entry->GetPriority(entry->GetHeight()); // Want priority when it went IN
+                seenTxConfirm(feeRate, dPriority, i);
+            }
+        }
+        for (size_t i = 0; i < history.size(); i++) {
+            if (history[i].FeeSamples() + history[i].PrioritySamples() > 0)
+                LogPrint("estimatefee", "estimates: for confirming within %d blocks based on %d/%d samples, fee=%s, prio=%g\n", 
+                         i,
+                         history[i].FeeSamples(), history[i].PrioritySamples(),
+                         estimateFee(i+1).ToString(), estimatePriority(i+1));
+        }
+        sortedFeeSamples.clear();
+        sortedPrioritySamples.clear();
+    }
+
+    // Can return CFeeRate(0) if we don't have any data for that many blocks back. nBlocksToConfirm is 1 based.
+    CFeeRate estimateFee(int nBlocksToConfirm)
+    {
+        nBlocksToConfirm--;
+
+        if (nBlocksToConfirm < 0 || nBlocksToConfirm >= (int)history.size())
+            return CFeeRate(0);
+
+        if (sortedFeeSamples.size() == 0)
+        {
+            for (size_t i = 0; i < history.size(); i++)
+                history.at(i).GetFeeSamples(sortedFeeSamples);
+            std::sort(sortedFeeSamples.begin(), sortedFeeSamples.end(),
+                      std::greater<CFeeRate>());
+        }
+        if (sortedFeeSamples.size() == 0)
+            return CFeeRate(0);
+
+        int nBucketSize = history.at(nBlocksToConfirm).FeeSamples();
+
+        // Estimates should not increase as number of confirmations goes up,
+        // but the estimates are noisy because confirmations happen discretely
+        // in blocks. To smooth out the estimates, use all samples in the history
+        // and use the nth highest where n is (number of samples in previous bucket +
+        // half the samples in nBlocksToConfirm bucket):
+        size_t nPrevSize = 0;
+        for (int i = 0; i < nBlocksToConfirm; i++)
+            nPrevSize += history.at(i).FeeSamples();
+        size_t index = min(nPrevSize + nBucketSize/2, sortedFeeSamples.size()-1);
+        return sortedFeeSamples[index];
+    }
+    double estimatePriority(int nBlocksToConfirm)
+    {
+        nBlocksToConfirm--;
+
+        if (nBlocksToConfirm < 0 || nBlocksToConfirm >= (int)history.size())
+            return -1;
+
+        if (sortedPrioritySamples.size() == 0)
+        {
+            for (size_t i = 0; i < history.size(); i++)
+                history.at(i).GetPrioritySamples(sortedPrioritySamples);
+            std::sort(sortedPrioritySamples.begin(), sortedPrioritySamples.end(),
+                      std::greater<double>());
+        }
+        if (sortedPrioritySamples.size() == 0)
+            return -1.0;
+
+        int nBucketSize = history.at(nBlocksToConfirm).PrioritySamples();
+
+        // Estimates should not increase as number of confirmations needed goes up,
+        // but the estimates are noisy because confirmations happen discretely
+        // in blocks. To smooth out the estimates, use all samples in the history
+        // and use the nth highest where n is (number of samples in previous buckets +
+        // half the samples in nBlocksToConfirm bucket).
+        size_t nPrevSize = 0;
+        for (int i = 0; i < nBlocksToConfirm; i++)
+            nPrevSize += history.at(i).PrioritySamples();
+        size_t index = min(nPrevSize + nBucketSize/2, sortedFeeSamples.size()-1);
+        return sortedPrioritySamples[index];
+    }
+
+    void Write(CAutoFile& fileout) const
+    {
+        fileout << nBestSeenHeight;
+        fileout << history.size();
+        BOOST_FOREACH(const CBlockAverage& entry, history)
+        {
+            entry.Write(fileout);
+        }
+    }
+
+    void Read(CAutoFile& filein)
+    {
+        filein >> nBestSeenHeight;
+        size_t numEntries;
+        filein >> numEntries;
+        history.clear();
+        for (size_t i = 0; i < numEntries; i++)
+        {
+            CBlockAverage entry;
+            entry.Read(filein);
+            history.push_back(entry);
+        }
+    }
+};
+
+
 CTxMemPool::CTxMemPool()
 {
     // Sanity checks off by default for performance, because otherwise
     // accepting transactions becomes O(N^2) where N is the number
     // of transactions in the pool
     fSanityCheck = false;
+
+    // 25 blocks is a compromise between using a lot of disk/memory and
+    // trying to give accurate estimates to people who might be willing
+    // to wait a day or two to save a fraction of a penny in fees.
+    // Confirmation times for very-low-fee transactions that take more
+    // than an hour or three to confirm are highly variable.
+    minerPolicyEstimator = new CMinerPolicyEstimator(25);
+}
+
+CTxMemPool::~CTxMemPool()
+{
+    delete minerPolicyEstimator;
 }
 
 void CTxMemPool::pruneSpent(const uint256 &hashTx, CCoins &coins)
@@ -128,6 +429,28 @@ void CTxMemPool::removeConflicts(const CTransaction &tx, std::list<CTransaction>
     }
 }
 
+// Called when a block is connected. Removes from mempool and updates the miner fee estimator.
+void CTxMemPool::removeForBlock(const std::vector<CTransaction>& vtx, unsigned int nBlockHeight,
+                                std::list<CTransaction>& conflicts)
+{
+    LOCK(cs);
+    std::vector<CTxMemPoolEntry> entries;
+    BOOST_FOREACH(const CTransaction& tx, vtx)
+    {
+        uint256 hash = tx.GetHash();
+        if (mapTx.count(hash))
+            entries.push_back(mapTx[hash]);
+    }
+    minerPolicyEstimator->seenBlock(entries, nBlockHeight);
+    BOOST_FOREACH(const CTransaction& tx, vtx)
+    {
+        std::list<CTransaction> dummy;
+        remove(tx, dummy, false);
+        removeConflicts(tx, conflicts);
+    }
+}
+
+
 void CTxMemPool::clear()
 {
     LOCK(cs);
@@ -195,6 +518,53 @@ bool CTxMemPool::lookup(uint256 hash, CTransaction& result) const
     return true;
 }
 
+CFeeRate CTxMemPool::estimateFee(int nBlocks) const
+{
+    LOCK(cs);
+    return minerPolicyEstimator->estimateFee(nBlocks);
+}
+double CTxMemPool::estimatePriority(int nBlocks) const
+{
+    LOCK(cs);
+    return minerPolicyEstimator->estimatePriority(nBlocks);
+}
+
+bool
+CTxMemPool::WriteFeeEstimates(CAutoFile& fileout) const
+{
+    try {
+        LOCK(cs);
+        fileout << 99900; // version required to read: 0.9.99 or later
+        fileout << CLIENT_VERSION; // version that wrote the file
+        minerPolicyEstimator->Write(fileout);
+    }
+    catch (std::exception &e) {
+        LogPrintf("CTxMemPool::WriteFeeEstimates() : unable to write policy estimator data (non-fatal)");
+        return false;
+    }
+    return true;
+}
+
+bool
+CTxMemPool::ReadFeeEstimates(CAutoFile& filein)
+{
+    try {
+        int nVersionRequired, nVersionThatWrote;
+        filein >> nVersionRequired >> nVersionThatWrote;
+        if (nVersionRequired > CLIENT_VERSION)
+            return error("CTxMemPool::ReadFeeEstimates() : up-version (%d) fee estimate file", nVersionRequired);
+
+        LOCK(cs);
+        minerPolicyEstimator->Read(filein);
+    }
+    catch (std::exception &e) {
+        LogPrintf("CTxMemPool::ReadFeeEstimates() : unable to read policy estimator data (non-fatal)");
+        return false;
+    }
+    return true;
+}
+
+
 CCoinsViewMemPool::CCoinsViewMemPool(CCoinsView &baseIn, CTxMemPool &mempoolIn) : CCoinsViewBacked(baseIn), mempool(mempoolIn) { }
 
 bool CCoinsViewMemPool::GetCoins(const uint256 &txid, CCoins &coins) {
diff --git a/src/txmempool.h b/src/txmempool.h
index 4509e95778..b2915aa842 100644
--- a/src/txmempool.h
+++ b/src/txmempool.h
@@ -11,6 +11,13 @@
 #include "core.h"
 #include "sync.h"
 
+inline bool AllowFree(double dPriority)
+{
+    // Large (in bytes) low-priority (new, small-coin) transactions
+    // need a fee.
+    return dPriority > COIN * 144 / 250;
+}
+
 /** Fake height value used in CCoins to signify they are only in the memory pool (since 0.8) */
 static const unsigned int MEMPOOL_HEIGHT = 0x7FFFFFFF;
 
@@ -41,6 +48,8 @@ public:
     unsigned int GetHeight() const { return nHeight; }
 };
 
+class CMinerPolicyEstimator;
+
 /*
  * CTxMemPool stores valid-according-to-the-current-best-chain
  * transactions that may be included in the next block.
@@ -56,6 +65,7 @@ class CTxMemPool
 private:
     bool fSanityCheck; // Normally false, true if -checkmempool or -regtest
     unsigned int nTransactionsUpdated;
+    CMinerPolicyEstimator* minerPolicyEstimator;
 
 public:
     mutable CCriticalSection cs;
@@ -63,6 +73,7 @@ public:
     std::map<COutPoint, CInPoint> mapNextTx;
 
     CTxMemPool();
+    ~CTxMemPool();
 
     /*
      * If sanity-checking is turned on, check makes sure the pool is
@@ -76,6 +87,8 @@ public:
     bool addUnchecked(const uint256& hash, const CTxMemPoolEntry &entry);
     void remove(const CTransaction &tx, std::list<CTransaction>& removed, bool fRecursive = false);
     void removeConflicts(const CTransaction &tx, std::list<CTransaction>& removed);
+    void removeForBlock(const std::vector<CTransaction>& vtx, unsigned int nBlockHeight,
+                        std::list<CTransaction>& conflicts);
     void clear();
     void queryHashes(std::vector<uint256>& vtxid);
     void pruneSpent(const uint256& hash, CCoins &coins);
@@ -95,6 +108,16 @@ public:
     }
 
     bool lookup(uint256 hash, CTransaction& result) const;
+
+    // Estimate fee rate needed to get into the next
+    // nBlocks
+    CFeeRate estimateFee(int nBlocks) const;
+    // Estimate priority needed to get into the next
+    // nBlocks
+    double estimatePriority(int nBlocks) const;
+    // Write/Read estimates to disk
+    bool WriteFeeEstimates(CAutoFile& fileout) const;
+    bool ReadFeeEstimates(CAutoFile& filein);
 };
 
 /** CCoinsView that brings transactions from a memorypool into view.