Merge pull request #5159

b649e03 Create new BlockPolicyEstimator for fee estimates (Alex Morcos)

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()