Expose estimaterawfee

Track information the ranges of fee rates that were used to calculate the fee estimates (the last range of fee rates in which the data points met the threshold and the first to fail) and provide an RPC call to return this information.

2 files changed, 115 insertions, 11 deletions

diff --git a/src/policy/fees.cpp b/src/policy/fees.cpp
index a0e56d244b..a9a8335c61 100644
--- a/src/policy/fees.cpp
+++ b/src/policy/fees.cpp
@@ -107,7 +107,8 @@ public:
      * @param nBlockHeight the current block height
      */
     double EstimateMedianVal(int confTarget, double sufficientTxVal,
-                             double minSuccess, bool requireGreater, unsigned int nBlockHeight) const;
+                             double minSuccess, bool requireGreater, unsigned int nBlockHeight,
+                             EstimationResult *result = nullptr) const;
 
     /** Return the max number of confirms we're tracking */
     unsigned int GetMaxConfirms() const { return confAvg.size(); }
@@ -186,7 +187,7 @@ void TxConfirmStats::UpdateMovingAverages()
 // returns -1 on error conditions
 double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal,
                                          double successBreakPoint, bool requireGreater,
-                                         unsigned int nBlockHeight) const
+                                         unsigned int nBlockHeight, EstimationResult *result) const
 {
     // Counters for a bucket (or range of buckets)
     double nConf = 0; // Number of tx's confirmed within the confTarget
@@ -215,6 +216,9 @@ double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal,
     bool foundAnswer = false;
     unsigned int bins = unconfTxs.size();
     bool newBucketRange = true;
+    bool passing = true;
+    EstimatorBucket passBucket;
+    EstimatorBucket failBucket;
 
     // Start counting from highest(default) or lowest feerate transactions
     for (int bucket = startbucket; bucket >= 0 && bucket <= maxbucketindex; bucket += step) {
@@ -237,14 +241,30 @@ double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal,
 
             // Check to see if we are no longer getting confirmed at the success rate
             if ((requireGreater && curPct < successBreakPoint) || (!requireGreater && curPct > successBreakPoint)) {
+                if (passing == true) {
+                    // First time we hit a failure record the failed bucket
+                    unsigned int failMinBucket = std::min(curNearBucket, curFarBucket);
+                    unsigned int failMaxBucket = std::max(curNearBucket, curFarBucket);
+                    failBucket.start = failMinBucket ? buckets[failMinBucket - 1] : 0;
+                    failBucket.end = buckets[failMaxBucket];
+                    failBucket.withinTarget = nConf;
+                    failBucket.totalConfirmed = totalNum;
+                    failBucket.inMempool = extraNum;
+                    passing = false;
+                }
                 continue;
             }
             // Otherwise update the cumulative stats, and the bucket variables
             // and reset the counters
             else {
+                failBucket = EstimatorBucket(); // Reset any failed bucket, currently passing
                 foundAnswer = true;
+                passing = true;
+                passBucket.withinTarget = nConf;
                 nConf = 0;
+                passBucket.totalConfirmed = totalNum;
                 totalNum = 0;
+                passBucket.inMempool = extraNum;
                 extraNum = 0;
                 bestNearBucket = curNearBucket;
                 bestFarBucket = curFarBucket;
@@ -260,8 +280,8 @@ double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal,
     // Find the bucket with the median transaction and then report the average feerate from that bucket
     // This is a compromise between finding the median which we can't since we don't save all tx's
     // and reporting the average which is less accurate
-    unsigned int minBucket = bestNearBucket < bestFarBucket ? bestNearBucket : bestFarBucket;
-    unsigned int maxBucket = bestNearBucket > bestFarBucket ? bestNearBucket : bestFarBucket;
+    unsigned int minBucket = std::min(bestNearBucket, bestFarBucket);
+    unsigned int maxBucket = std::max(bestNearBucket, bestFarBucket);
     for (unsigned int j = minBucket; j <= maxBucket; j++) {
         txSum += txCtAvg[j];
     }
@@ -275,13 +295,37 @@ double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal,
                 break;
             }
         }
+
+        passBucket.start = minBucket ? buckets[minBucket-1] : 0;
+        passBucket.end = buckets[maxBucket];
+    }
+
+    // If we were passing until we reached last few buckets with insufficient data, then report those as failed
+    if (passing && !newBucketRange) {
+        unsigned int failMinBucket = std::min(curNearBucket, curFarBucket);
+        unsigned int failMaxBucket = std::max(curNearBucket, curFarBucket);
+        failBucket.start = failMinBucket ? buckets[failMinBucket - 1] : 0;
+        failBucket.end = buckets[failMaxBucket];
+        failBucket.withinTarget = nConf;
+        failBucket.totalConfirmed = totalNum;
+        failBucket.inMempool = extraNum;
     }
 
-    LogPrint(BCLog::ESTIMATEFEE, "%3d: For conf success %s %4.2f need feerate %s: %12.5g from buckets %8g - %8g  Cur Bucket stats %6.2f%%  %8.1f/(%.1f+%d mempool)\n",
-             confTarget, requireGreater ? ">" : "<", successBreakPoint,
-             requireGreater ? ">" : "<", median, buckets[minBucket], buckets[maxBucket],
-             100 * nConf / (totalNum + extraNum), nConf, totalNum, extraNum);
+    LogPrint(BCLog::ESTIMATEFEE, "FeeEst: %d %s%.0f%% decay %.5f: need feerate: %g from (%g - %g) %.2f%% %.1f/(%.1f+%d mem) Fail: (%g - %g) %.2f%% %.1f/(%.1f+%d mem)\n",
+             confTarget, requireGreater ? ">" : "<", 100.0 * successBreakPoint, decay,
+             median, passBucket.start, passBucket.end,
+             100 * passBucket.withinTarget / (passBucket.totalConfirmed + passBucket.inMempool),
+             passBucket.withinTarget, passBucket.totalConfirmed, passBucket.inMempool,
+             failBucket.start, failBucket.end,
+             100 * failBucket.withinTarget / (failBucket.totalConfirmed + failBucket.inMempool),
+             failBucket.withinTarget, failBucket.totalConfirmed, failBucket.inMempool);
 
+
+    if (result) {
+        result->pass = passBucket;
+        result->fail = failBucket;
+        result->decay = decay;
+    }
     return median;
 }
 
@@ -537,13 +581,44 @@ void CBlockPolicyEstimator::processBlock(unsigned int nBlockHeight,
 
 CFeeRate CBlockPolicyEstimator::estimateFee(int confTarget) const
 {
+    // It's not possible to get reasonable estimates for confTarget of 1
+    if (confTarget <= 1)
+        return CFeeRate(0);
+
+    return estimateRawFee(confTarget, DOUBLE_SUCCESS_PCT, FeeEstimateHorizon::MED_HALFLIFE);
+}
+
+CFeeRate CBlockPolicyEstimator::estimateRawFee(int confTarget, double successThreshold, FeeEstimateHorizon horizon, EstimationResult* result) const
+{
+    TxConfirmStats* stats;
+    double sufficientTxs = SUFFICIENT_FEETXS;
+    switch (horizon) {
+    case FeeEstimateHorizon::SHORT_HALFLIFE: {
+        stats = shortStats;
+        sufficientTxs = SUFFICIENT_TXS_SHORT;
+        break;
+    }
+    case FeeEstimateHorizon::MED_HALFLIFE: {
+        stats = feeStats;
+        break;
+    }
+    case FeeEstimateHorizon::LONG_HALFLIFE: {
+        stats = longStats;
+        break;
+    }
+    default: {
+        return CFeeRate(0);
+    }
+    }
+
     LOCK(cs_feeEstimator);
     // Return failure if trying to analyze a target we're not tracking
-    // It's not possible to get reasonable estimates for confTarget of 1
-    if (confTarget <= 1 || (unsigned int)confTarget > feeStats->GetMaxConfirms())
+    if (confTarget <= 0 || (unsigned int)confTarget > stats->GetMaxConfirms())
+        return CFeeRate(0);
+    if (successThreshold > 1)
         return CFeeRate(0);
 
-    double median = feeStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight);
+    double median = stats->EstimateMedianVal(confTarget, sufficientTxs, successThreshold, true, nBestSeenHeight, result);
 
     if (median < 0)
         return CFeeRate(0);
diff --git a/src/policy/fees.h b/src/policy/fees.h
index c5955d7b04..f42fe7bda7 100644
--- a/src/policy/fees.h
+++ b/src/policy/fees.h
@@ -61,6 +61,28 @@ class TxConfirmStats;
  * they've been outstanding.
  */
 
+enum FeeEstimateHorizon {
+    SHORT_HALFLIFE = 0,
+    MED_HALFLIFE = 1,
+    LONG_HALFLIFE = 2
+};
+
+struct EstimatorBucket
+{
+    double start = -1;
+    double end = -1;
+    double withinTarget = 0;
+    double totalConfirmed = 0;
+    double inMempool = 0;
+};
+
+struct EstimationResult
+{
+    EstimatorBucket pass;
+    EstimatorBucket fail;
+    double decay;
+};
+
 /**
  *  We want to be able to estimate feerates that are needed on tx's to be included in
  * a certain number of blocks.  Every time a block is added to the best chain, this class records
@@ -90,6 +112,8 @@ private:
 
     /** Require an avg of 0.1 tx in the combined feerate bucket per block to have stat significance */
     static constexpr double SUFFICIENT_FEETXS = 0.1;
+    /** Require an avg of 0.5 tx when using short decay since there are fewer blocks considered*/
+    static constexpr double SUFFICIENT_TXS_SHORT = 0.5;
 
     /** Minimum and Maximum values for tracking feerates
      * The MIN_BUCKET_FEERATE should just be set to the lowest reasonable feerate we
@@ -132,6 +156,10 @@ public:
      */
     CFeeRate estimateSmartFee(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool) const;
 
+    /** Return a specific fee estimate calculation with a given success threshold and time horizon.
+     */
+    CFeeRate estimateRawFee(int confTarget, double successThreshold, FeeEstimateHorizon horizon, EstimationResult *result = nullptr) const;
+
     /** Write estimation data to a file */
     bool Write(CAutoFile& fileout) const;
 
@@ -190,4 +218,5 @@ private:
     std::set<double> feeset;
     FastRandomContext insecure_rand;
 };
+
 #endif /*BITCOIN_POLICYESTIMATOR_H */