Create new BlockPolicyEstimator for fee estimates

This class groups transactions that have been confirmed in blocks into buckets, based on either their fee or their priority.  Then for each bucket, the class calculates what percentage of the transactions were confirmed within various numbers of blocks.  It does this by keeping an exponentially decaying moving history for each bucket and confirm block count of the percentage of transactions in that bucket that were confirmed within that number of blocks.

-Eliminate txs which didn't have all inputs available at entry from fee/pri calcs

-Add dynamic breakpoints and tracking of confirmation delays in mempool transactions

-Remove old CMinerPolicyEstimator and CBlockAverage code

-New smartfees.py

-Pass a flag to the estimation code, using IsInitialBlockDownload as a proxy for when we are still catching up and we shouldn't be counting how many blocks it takes for transactions to be included.

-Add a policyestimator unit test

1 files changed, 186 insertions, 0 deletions

diff --git a/src/test/policyestimator_tests.cpp b/src/test/policyestimator_tests.cpp
new file mode 100644
index 0000000000..cb64ee7c69
--- /dev/null
+++ b/src/test/policyestimator_tests.cpp
@@ -0,0 +1,186 @@
+// Copyright (c) 2011-2015 The Bitcoin Core developers
+// Distributed under the MIT software license, see the accompanying
+// file COPYING or http://www.opensource.org/licenses/mit-license.php.
+
+#include "policy/fees.h"
+#include "txmempool.h"
+#include "uint256.h"
+#include "util.h"
+
+#include "test/test_bitcoin.h"
+
+#include <boost/test/unit_test.hpp>
+
+BOOST_FIXTURE_TEST_SUITE(policyestimator_tests, BasicTestingSetup)
+
+BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
+{
+    CTxMemPool mpool(CFeeRate(1000));
+    CAmount basefee(2000);
+    double basepri = 1e6;
+    CAmount deltaFee(100);
+    double deltaPri=5e5;
+    std::vector<CAmount> feeV[2];
+    std::vector<double> priV[2];
+
+    // Populate vectors of increasing fees or priorities
+    for (int j = 0; j < 10; j++) {
+        //V[0] is for fee transactions
+        feeV[0].push_back(basefee * (j+1));
+        priV[0].push_back(0);
+        //V[1] is for priority transactions
+        feeV[1].push_back(CAmount(0));
+        priV[1].push_back(basepri * pow(10, j+1));
+    }
+
+    // Store the hashes of transactions that have been
+    // added to the mempool by their associate fee/pri
+    // txHashes[j] is populated with transactions either of
+    // fee = basefee * (j+1)  OR  pri = 10^6 * 10^(j+1)
+    std::vector<uint256> txHashes[10];
+
+    // Create a transaction template
+    CScript garbage;
+    for (unsigned int i = 0; i < 128; i++)
+        garbage.push_back('X');
+    CMutableTransaction tx;
+    std::list<CTransaction> dummyConflicted;
+    tx.vin.resize(1);
+    tx.vin[0].scriptSig = garbage;
+    tx.vout.resize(1);
+    tx.vout[0].nValue=0LL;
+    CFeeRate baseRate(basefee, ::GetSerializeSize(tx, SER_NETWORK, PROTOCOL_VERSION));
+
+    // Create a fake block
+    std::vector<CTransaction> block;
+    int blocknum = 0;
+
+    // Loop through 200 blocks
+    // At a decay .998 and 4 fee transactions per block
+    // This makes the tx count about 1.33 per bucket, above the 1 threshold
+    while (blocknum < 200) {
+        for (int j = 0; j < 10; j++) { // For each fee/pri multiple
+            for (int k = 0; k < 5; k++) { // add 4 fee txs for every priority tx
+                tx.vin[0].prevout.n = 10000*blocknum+100*j+k; // make transaction unique
+                uint256 hash = tx.GetHash();
+                mpool.addUnchecked(hash, CTxMemPoolEntry(tx, feeV[k/4][j], GetTime(), priV[k/4][j], blocknum, mpool.HasNoInputsOf(tx)));
+                txHashes[j].push_back(hash);
+            }
+        }
+        //Create blocks where higher fee/pri txs are included more often
+        for (int h = 0; h <= blocknum%10; h++) {
+            // 10/10 blocks add highest fee/pri transactions
+            // 9/10 blocks add 2nd highest and so on until ...
+            // 1/10 blocks add lowest fee/pri transactions
+            while (txHashes[9-h].size()) {
+                CTransaction btx;
+                if (mpool.lookup(txHashes[9-h].back(), btx))
+                    block.push_back(btx);
+                txHashes[9-h].pop_back();
+            }
+        }
+        mpool.removeForBlock(block, ++blocknum, dummyConflicted);
+        block.clear();
+        if (blocknum == 30) {
+            // At this point we should need to combine 5 buckets to get enough data points
+            // So estimateFee(1) should fail and estimateFee(2) should return somewhere around
+            // 8*baserate
+            BOOST_CHECK(mpool.estimateFee(1) == CFeeRate(0));
+            BOOST_CHECK(mpool.estimateFee(2).GetFeePerK() < 8*baseRate.GetFeePerK() + deltaFee);
+            BOOST_CHECK(mpool.estimateFee(2).GetFeePerK() > 8*baseRate.GetFeePerK() - deltaFee);
+        }
+    }
+
+    std::vector<CAmount> origFeeEst;
+    std::vector<double> origPriEst;
+    // Highest feerate is 10*baseRate and gets in all blocks,
+    // second highest feerate is 9*baseRate and gets in 9/10 blocks = 90%,
+    // third highest feerate is 8*base rate, and gets in 8/10 blocks = 80%,
+    // so estimateFee(1) should return 9*baseRate.
+    // Third highest feerate has 90% chance of being included by 2 blocks,
+    // so estimateFee(2) should return 8*baseRate etc...
+    for (int i = 1; i < 10;i++) {
+        origFeeEst.push_back(mpool.estimateFee(i).GetFeePerK());
+        origPriEst.push_back(mpool.estimatePriority(i));
+        if (i > 1) { // Fee estimates should be monotonically decreasing
+            BOOST_CHECK(origFeeEst[i-1] <= origFeeEst[i-2]);
+            BOOST_CHECK(origPriEst[i-1] <= origPriEst[i-2]);
+        }
+        BOOST_CHECK(origFeeEst[i-1] < (10-i)*baseRate.GetFeePerK() + deltaFee);
+        BOOST_CHECK(origFeeEst[i-1] > (10-i)*baseRate.GetFeePerK() - deltaFee);
+        BOOST_CHECK(origPriEst[i-1] < pow(10,10-i) * basepri + deltaPri);
+        BOOST_CHECK(origPriEst[i-1] > pow(10,10-i) * basepri - deltaPri);
+    }
+
+    // Mine 50 more blocks with no transactions happening, estimates shouldn't change
+    // We haven't decayed the moving average enough so we still have enough data points in every bucket
+    while (blocknum < 250)
+        mpool.removeForBlock(block, ++blocknum, dummyConflicted);
+
+    for (int i = 1; i < 10;i++) {
+        BOOST_CHECK(mpool.estimateFee(i).GetFeePerK() < origFeeEst[i-1] + deltaFee);
+        BOOST_CHECK(mpool.estimateFee(i).GetFeePerK() > origFeeEst[i-1] - deltaFee);
+        BOOST_CHECK(mpool.estimatePriority(i) < origPriEst[i-1] + deltaPri);
+        BOOST_CHECK(mpool.estimatePriority(i) > origPriEst[i-1] - deltaPri);
+    }
+
+
+    // Mine 15 more blocks with lots of transactions happening and not getting mined
+    // Estimates should go up
+    while (blocknum < 265) {
+        for (int j = 0; j < 10; j++) { // For each fee/pri multiple
+            for (int k = 0; k < 5; k++) { // add 4 fee txs for every priority tx
+                tx.vin[0].prevout.n = 10000*blocknum+100*j+k;
+                uint256 hash = tx.GetHash();
+                mpool.addUnchecked(hash, CTxMemPoolEntry(tx, feeV[k/4][j], GetTime(), priV[k/4][j], blocknum, mpool.HasNoInputsOf(tx)));
+                txHashes[j].push_back(hash);
+            }
+        }
+        mpool.removeForBlock(block, ++blocknum, dummyConflicted);
+    }
+
+    for (int i = 1; i < 10;i++) {
+        BOOST_CHECK(mpool.estimateFee(i).GetFeePerK() > origFeeEst[i-1] - deltaFee);
+        BOOST_CHECK(mpool.estimatePriority(i) > origPriEst[i-1] - deltaPri);
+    }
+
+    // Mine all those transactions
+    // Estimates should still not be below original
+    for (int j = 0; j < 10; j++) {
+        while(txHashes[j].size()) {
+            CTransaction btx;
+            if (mpool.lookup(txHashes[j].back(), btx))
+                block.push_back(btx);
+            txHashes[j].pop_back();
+        }
+    }
+    mpool.removeForBlock(block, 265, dummyConflicted);
+    block.clear();
+    for (int i = 1; i < 10;i++) {
+        BOOST_CHECK(mpool.estimateFee(i).GetFeePerK() > origFeeEst[i-1] - deltaFee);
+        BOOST_CHECK(mpool.estimatePriority(i) > origPriEst[i-1] - deltaPri);
+    }
+
+    // Mine 100 more blocks where everything is mined every block
+    // Estimates should be below original estimates (not possible for last estimate)
+    while (blocknum < 365) {
+        for (int j = 0; j < 10; j++) { // For each fee/pri multiple
+            for (int k = 0; k < 5; k++) { // add 4 fee txs for every priority tx
+                tx.vin[0].prevout.n = 10000*blocknum+100*j+k;
+                uint256 hash = tx.GetHash();
+                mpool.addUnchecked(hash, CTxMemPoolEntry(tx, feeV[k/4][j], GetTime(), priV[k/4][j], blocknum, mpool.HasNoInputsOf(tx)));
+                CTransaction btx;
+                if (mpool.lookup(hash, btx))
+                    block.push_back(btx);
+            }
+        }
+        mpool.removeForBlock(block, ++blocknum, dummyConflicted);
+        block.clear();
+    }
+    for (int i = 1; i < 9; i++) {
+        BOOST_CHECK(mpool.estimateFee(i).GetFeePerK() < origFeeEst[i-1] - deltaFee);
+        BOOST_CHECK(mpool.estimatePriority(i) < origPriEst[i-1] - deltaPri);
+    }
+}
+
+BOOST_AUTO_TEST_SUITE_END()