Merge #10199: Better fee estimates

38bc1ec Make more json-like output from estimaterawfee (Alex Morcos)
2d2e170 Comments and improved documentation (Alex Morcos)
ef589f8 minor cleanup: remove unnecessary variable (Alex Morcos)
3ee76d6 Introduce a scale factor (Alex Morcos)
5f1f0c6 Historical block span (Alex Morcos)
aa19b8e Clean up fee estimate debug printing (Alex Morcos)
10f7cbd Track first recorded height (Alex Morcos)
3810e97 Rewrite estimateSmartFee (Alex Morcos)
c7447ec Track failures in fee estimation. (Alex Morcos)
4186d3f Expose estimaterawfee (Alex Morcos)
2681153 minor refactor: explicitly track start of new bucket range and don't update curNearBucket on final loop. (Alex Morcos)
1ba43cc Make EstimateMedianVal smarter about small failures. (Alex Morcos)
d3e30bc Refactor to update moving average on fly (Alex Morcos)
e5007ba Change parameters for fee estimation and estimates on all 3 time horizons. (Alex Morcos)
c0a273f Change file format for fee estimates. (Alex Morcos)

Tree-SHA512: 186e7508d86a1f351bb656edcd84ee9091f5f2706331eda9ee29da9c8eb5bf67b8c1f2abf6662835560e7f613b1377099054f20767f41ddcdbc89c4f9e78946d

1 files changed, 20 insertions, 27 deletions

diff --git a/src/test/policyestimator_tests.cpp b/src/test/policyestimator_tests.cpp
index ed6782ea34..6bfd315647 100644
--- a/src/test/policyestimator_tests.cpp
+++ b/src/test/policyestimator_tests.cpp
@@ -50,8 +50,8 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
     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
+    // At a decay .9952 and 4 fee transactions per block
+    // This makes the tx count about 2.5 per bucket, well above the 0.1 threshold
     while (blocknum < 200) {
         for (int j = 0; j < 10; j++) { // For each fee
             for (int k = 0; k < 4; k++) { // add 4 fee txs
@@ -75,20 +75,14 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
         }
         mpool.removeForBlock(block, ++blocknum);
         block.clear();
-        if (blocknum == 30) {
-            // At this point we should need to combine 5 buckets to get enough data points
-            // So estimateFee(1,2,3) should fail and estimateFee(4) should return somewhere around
-            // 8*baserate.  estimateFee(4) %'s are 100,100,100,100,90 = average 98%
+        // Check after just a few txs that combining buckets works as expected
+        if (blocknum == 3) {
+            // At this point we should need to combine 3 buckets to get enough data points
+            // So estimateFee(1) should fail and estimateFee(2) should return somewhere around
+            // 9*baserate.  estimateFee(2) %'s are 100,100,90 = average 97%
             BOOST_CHECK(feeEst.estimateFee(1) == CFeeRate(0));
-            BOOST_CHECK(feeEst.estimateFee(2) == CFeeRate(0));
-            BOOST_CHECK(feeEst.estimateFee(3) == CFeeRate(0));
-            BOOST_CHECK(feeEst.estimateFee(4).GetFeePerK() < 8*baseRate.GetFeePerK() + deltaFee);
-            BOOST_CHECK(feeEst.estimateFee(4).GetFeePerK() > 8*baseRate.GetFeePerK() - deltaFee);
-            int answerFound;
-            BOOST_CHECK(feeEst.estimateSmartFee(1, &answerFound, mpool) == feeEst.estimateFee(4) && answerFound == 4);
-            BOOST_CHECK(feeEst.estimateSmartFee(3, &answerFound, mpool) == feeEst.estimateFee(4) && answerFound == 4);
-            BOOST_CHECK(feeEst.estimateSmartFee(4, &answerFound, mpool) == feeEst.estimateFee(4) && answerFound == 4);
-            BOOST_CHECK(feeEst.estimateSmartFee(8, &answerFound, mpool) == feeEst.estimateFee(8) && answerFound == 8);
+            BOOST_CHECK(feeEst.estimateFee(2).GetFeePerK() < 9*baseRate.GetFeePerK() + deltaFee);
+            BOOST_CHECK(feeEst.estimateFee(2).GetFeePerK() > 9*baseRate.GetFeePerK() - deltaFee);
         }
     }
 
@@ -105,13 +99,14 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
             BOOST_CHECK(origFeeEst[i-1] <= origFeeEst[i-2]);
         }
         int mult = 11-i;
-        if (i > 1) {
+        if (i % 2 == 0) { //At scale 2, test logic is only correct for even targets
             BOOST_CHECK(origFeeEst[i-1] < mult*baseRate.GetFeePerK() + deltaFee);
             BOOST_CHECK(origFeeEst[i-1] > mult*baseRate.GetFeePerK() - deltaFee);
         }
-        else {
-            BOOST_CHECK(origFeeEst[i-1] == CFeeRate(0).GetFeePerK());
-        }
+    }
+    // Fill out rest of the original estimates
+    for (int i = 10; i <= 48; i++) {
+        origFeeEst.push_back(feeEst.estimateFee(i).GetFeePerK());
     }
 
     // Mine 50 more blocks with no transactions happening, estimates shouldn't change
@@ -140,10 +135,8 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
         mpool.removeForBlock(block, ++blocknum);
     }
 
-    int answerFound;
     for (int i = 1; i < 10;i++) {
         BOOST_CHECK(feeEst.estimateFee(i) == CFeeRate(0) || feeEst.estimateFee(i).GetFeePerK() > origFeeEst[i-1] - deltaFee);
-        BOOST_CHECK(feeEst.estimateSmartFee(i, &answerFound, mpool).GetFeePerK() > origFeeEst[answerFound-1] - deltaFee);
     }
 
     // Mine all those transactions
@@ -156,16 +149,16 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
             txHashes[j].pop_back();
         }
     }
-    mpool.removeForBlock(block, 265);
+    mpool.removeForBlock(block, 266);
     block.clear();
     BOOST_CHECK(feeEst.estimateFee(1) == CFeeRate(0));
     for (int i = 2; i < 10;i++) {
-        BOOST_CHECK(feeEst.estimateFee(i).GetFeePerK() > origFeeEst[i-1] - deltaFee);
+        BOOST_CHECK(feeEst.estimateFee(i) == CFeeRate(0) || feeEst.estimateFee(i).GetFeePerK() > origFeeEst[i-1] - deltaFee);
     }
 
-    // Mine 200 more blocks where everything is mined every block
+    // Mine 400 more blocks where everything is mined every block
     // Estimates should be below original estimates
-    while (blocknum < 465) {
+    while (blocknum < 665) {
         for (int j = 0; j < 10; j++) { // For each fee multiple
             for (int k = 0; k < 4; k++) { // add 4 fee txs
                 tx.vin[0].prevout.n = 10000*blocknum+100*j+k;
@@ -181,7 +174,7 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
         block.clear();
     }
     BOOST_CHECK(feeEst.estimateFee(1) == CFeeRate(0));
-    for (int i = 2; i < 10; i++) {
+    for (int i = 2; i < 9; i++) { // At 9, the original estimate was already at the bottom (b/c scale = 2)
         BOOST_CHECK(feeEst.estimateFee(i).GetFeePerK() < origFeeEst[i-1] - deltaFee);
     }
 
@@ -191,7 +184,7 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
     mpool.TrimToSize(1);
     BOOST_CHECK(mpool.GetMinFee(1).GetFeePerK() > feeV[5]);
     for (int i = 1; i < 10; i++) {
-        BOOST_CHECK(feeEst.estimateSmartFee(i, NULL, mpool).GetFeePerK() >= feeEst.estimateFee(i).GetFeePerK());
+        BOOST_CHECK(feeEst.estimateSmartFee(i, NULL, mpool).GetFeePerK() >= feeEst.estimateRawFee(i, 0.85, FeeEstimateHorizon::MED_HALFLIFE).GetFeePerK());
         BOOST_CHECK(feeEst.estimateSmartFee(i, NULL, mpool).GetFeePerK() >= mpool.GetMinFee(1).GetFeePerK());
     }
 }