Output Fee Estimation Calculations in CreateTransaction

7 files changed, 134 insertions, 44 deletions

diff --git a/src/policy/fees.cpp b/src/policy/fees.cpp
index 7a9af5edc2..58a2f6da73 100644
--- a/src/policy/fees.cpp
+++ b/src/policy/fees.cpp
@@ -16,6 +16,26 @@
 
 static constexpr double INF_FEERATE = 1e99;
 
+std::string StringForFeeReason(FeeReason reason) {
+    static const std::map<FeeReason, std::string> fee_reason_strings = {
+        {FeeReason::NONE, "None"},
+        {FeeReason::HALF_ESTIMATE, "Half Target 60% Threshold"},
+        {FeeReason::FULL_ESTIMATE, "Target 85% Threshold"},
+        {FeeReason::DOUBLE_ESTIMATE, "Double Target 95% Threshold"},
+        {FeeReason::CONSERVATIVE, "Conservative Double Target longer horizon"},
+        {FeeReason::MEMPOOL_MIN, "Mempool Min Fee"},
+        {FeeReason::PAYTXFEE, "PayTxFee set"},
+        {FeeReason::FALLBACK, "Fallback fee"},
+        {FeeReason::REQUIRED, "Minimum Required Fee"},
+        {FeeReason::MAXTXFEE, "MaxTxFee limit"}
+    };
+    auto reason_string = fee_reason_strings.find(reason);
+
+    if (reason_string == fee_reason_strings.end()) return "Unknown";
+
+    return reason_string->second;
+}
+
 /**
  * We will instantiate an instance of this class to track transactions that were
  * included in a block. We will lump transactions into a bucket according to their
@@ -698,31 +718,36 @@ unsigned int CBlockPolicyEstimator::MaxUsableEstimate() const
  * time horizon which tracks confirmations up to the desired target.  If
  * checkShorterHorizon is requested, also allow short time horizon estimates
  * for a lower target to reduce the given answer */
-double CBlockPolicyEstimator::estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon) const
+double CBlockPolicyEstimator::estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon, EstimationResult *result) const
 {
     double estimate = -1;
     if (confTarget >= 1 && confTarget <= longStats->GetMaxConfirms()) {
         // Find estimate from shortest time horizon possible
         if (confTarget <= shortStats->GetMaxConfirms()) { // short horizon
-            estimate = shortStats->EstimateMedianVal(confTarget, SUFFICIENT_TXS_SHORT, successThreshold, true, nBestSeenHeight);
+            estimate = shortStats->EstimateMedianVal(confTarget, SUFFICIENT_TXS_SHORT, successThreshold, true, nBestSeenHeight, result);
         }
         else if (confTarget <= feeStats->GetMaxConfirms()) { // medium horizon
-            estimate = feeStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight);
+            estimate = feeStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight, result);
         }
         else { // long horizon
-            estimate = longStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight);
+            estimate = longStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight, result);
         }
         if (checkShorterHorizon) {
+            EstimationResult tempResult;
             // If a lower confTarget from a more recent horizon returns a lower answer use it.
             if (confTarget > feeStats->GetMaxConfirms()) {
-                double medMax = feeStats->EstimateMedianVal(feeStats->GetMaxConfirms(), SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight);
-                if (medMax > 0 && (estimate == -1 || medMax < estimate))
+                double medMax = feeStats->EstimateMedianVal(feeStats->GetMaxConfirms(), SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight, &tempResult);
+                if (medMax > 0 && (estimate == -1 || medMax < estimate)) {
                     estimate = medMax;
+                    if (result) *result = tempResult;
+                }
             }
             if (confTarget > shortStats->GetMaxConfirms()) {
-                double shortMax = shortStats->EstimateMedianVal(shortStats->GetMaxConfirms(), SUFFICIENT_TXS_SHORT, successThreshold, true, nBestSeenHeight);
-                if (shortMax > 0 && (estimate == -1 || shortMax < estimate))
+                double shortMax = shortStats->EstimateMedianVal(shortStats->GetMaxConfirms(), SUFFICIENT_TXS_SHORT, successThreshold, true, nBestSeenHeight, &tempResult);
+                if (shortMax > 0 && (estimate == -1 || shortMax < estimate)) {
                     estimate = shortMax;
+                    if (result) *result = tempResult;
+                }
             }
         }
     }
@@ -732,16 +757,18 @@ double CBlockPolicyEstimator::estimateCombinedFee(unsigned int confTarget, doubl
 /** Ensure that for a conservative estimate, the DOUBLE_SUCCESS_PCT is also met
  * at 2 * target for any longer time horizons.
  */
-double CBlockPolicyEstimator::estimateConservativeFee(unsigned int doubleTarget) const
+double CBlockPolicyEstimator::estimateConservativeFee(unsigned int doubleTarget, EstimationResult *result) const
 {
     double estimate = -1;
+    EstimationResult tempResult;
     if (doubleTarget <= shortStats->GetMaxConfirms()) {
-        estimate = feeStats->EstimateMedianVal(doubleTarget, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight);
+        estimate = feeStats->EstimateMedianVal(doubleTarget, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight, result);
     }
     if (doubleTarget <= feeStats->GetMaxConfirms()) {
-        double longEstimate = longStats->EstimateMedianVal(doubleTarget, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight);
+        double longEstimate = longStats->EstimateMedianVal(doubleTarget, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight, &tempResult);
         if (longEstimate > estimate) {
             estimate = longEstimate;
+            if (result) *result = tempResult;
         }
     }
     return estimate;
@@ -754,12 +781,15 @@ double CBlockPolicyEstimator::estimateConservativeFee(unsigned int doubleTarget)
  * estimates, however, required the 95% threshold at 2 * target be met for any
  * longer time horizons also.
  */
-CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool, bool conservative) const
+CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, FeeCalculation *feeCalc, const CTxMemPool& pool, bool conservative) const
 {
-    if (answerFoundAtTarget)
-        *answerFoundAtTarget = confTarget;
+    if (feeCalc) {
+        feeCalc->desiredTarget = confTarget;
+        feeCalc->returnedTarget = confTarget;
+    }
 
     double median = -1;
+    EstimationResult tempResult;
     {
         LOCK(cs_feeEstimator);
 
@@ -780,7 +810,6 @@ CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoun
         }
 
         assert(confTarget > 0); //estimateCombinedFee and estimateConservativeFee take unsigned ints
-
         /** true is passed to estimateCombined fee for target/2 and target so
          * that we check the max confirms for shorter time horizons as well.
          * This is necessary to preserve monotonically increasing estimates.
@@ -791,32 +820,49 @@ CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoun
          * the purpose of conservative estimates is not to let short term
          * fluctuations lower our estimates by too much.
          */
-        double halfEst = estimateCombinedFee(confTarget/2, HALF_SUCCESS_PCT, true);
-        double actualEst = estimateCombinedFee(confTarget, SUCCESS_PCT, true);
-        double doubleEst = estimateCombinedFee(2 * confTarget, DOUBLE_SUCCESS_PCT, !conservative);
+        double halfEst = estimateCombinedFee(confTarget/2, HALF_SUCCESS_PCT, true, &tempResult);
+        if (feeCalc) {
+            feeCalc->est = tempResult;
+            feeCalc->reason = FeeReason::HALF_ESTIMATE;
+        }
         median = halfEst;
+        double actualEst = estimateCombinedFee(confTarget, SUCCESS_PCT, true, &tempResult);
         if (actualEst > median) {
             median = actualEst;
+            if (feeCalc) {
+                feeCalc->est = tempResult;
+                feeCalc->reason = FeeReason::FULL_ESTIMATE;
+            }
         }
+        double doubleEst = estimateCombinedFee(2 * confTarget, DOUBLE_SUCCESS_PCT, !conservative, &tempResult);
         if (doubleEst > median) {
             median = doubleEst;
+            if (feeCalc) {
+                feeCalc->est = tempResult;
+                feeCalc->reason = FeeReason::DOUBLE_ESTIMATE;
+            }
         }
 
         if (conservative || median == -1) {
-            double consEst =  estimateConservativeFee(2 * confTarget);
+            double consEst =  estimateConservativeFee(2 * confTarget, &tempResult);
             if (consEst > median) {
                 median = consEst;
+                if (feeCalc) {
+                    feeCalc->est = tempResult;
+                    feeCalc->reason = FeeReason::CONSERVATIVE;
+                }
             }
         }
     } // Must unlock cs_feeEstimator before taking mempool locks
 
-    if (answerFoundAtTarget)
-        *answerFoundAtTarget = confTarget;
+    if (feeCalc) feeCalc->returnedTarget = confTarget;
 
     // If mempool is limiting txs , return at least the min feerate from the mempool
     CAmount minPoolFee = pool.GetMinFee(GetArg("-maxmempool", DEFAULT_MAX_MEMPOOL_SIZE) * 1000000).GetFeePerK();
-    if (minPoolFee > 0 && minPoolFee > median)
+    if (minPoolFee > 0 && minPoolFee > median) {
+        if (feeCalc) feeCalc->reason = FeeReason::MEMPOOL_MIN;
         return CFeeRate(minPoolFee);
+    }
 
     if (median < 0)
         return CFeeRate(0);
diff --git a/src/policy/fees.h b/src/policy/fees.h
index e99fec2c39..7125a74f03 100644
--- a/src/policy/fees.h
+++ b/src/policy/fees.h
@@ -74,6 +74,22 @@ enum FeeEstimateHorizon {
     LONG_HALFLIFE = 2
 };
 
+/* Enumeration of reason for returned fee estimate */
+enum class FeeReason {
+    NONE,
+    HALF_ESTIMATE,
+    FULL_ESTIMATE,
+    DOUBLE_ESTIMATE,
+    CONSERVATIVE,
+    MEMPOOL_MIN,
+    PAYTXFEE,
+    FALLBACK,
+    REQUIRED,
+    MAXTXFEE,
+};
+
+std::string StringForFeeReason(FeeReason reason);
+
 /* Used to return detailed information about a feerate bucket */
 struct EstimatorBucket
 {
@@ -90,8 +106,16 @@ struct EstimationResult
 {
     EstimatorBucket pass;
     EstimatorBucket fail;
-    double decay;
-    unsigned int scale;
+    double decay = 0;
+    unsigned int scale = 0;
+};
+
+struct FeeCalculation
+{
+    EstimationResult est;
+    FeeReason reason = FeeReason::NONE;
+    int desiredTarget = 0;
+    int returnedTarget = 0;
 };
 
 /**
@@ -173,7 +197,7 @@ public:
      *  the closest target where one can be given.  'conservative' estimates are
      *  valid over longer time horizons also.
      */
-    CFeeRate estimateSmartFee(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool, bool conservative = true) const;
+    CFeeRate estimateSmartFee(int confTarget, FeeCalculation *feeCalc, const CTxMemPool& pool, bool conservative = true) const;
 
     /** Return a specific fee estimate calculation with a given success
      * threshold and time horizon, and optionally return detailed data about
@@ -223,9 +247,9 @@ private:
     bool processBlockTx(unsigned int nBlockHeight, const CTxMemPoolEntry* entry);
 
     /** Helper for estimateSmartFee */
-    double estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon) const;
+    double estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon, EstimationResult *result) const;
     /** Helper for estimateSmartFee */
-    double estimateConservativeFee(unsigned int doubleTarget) const;
+    double estimateConservativeFee(unsigned int doubleTarget, EstimationResult *result) const;
     /** Number of blocks of data recorded while fee estimates have been running */
     unsigned int BlockSpan() const;
     /** Number of blocks of recorded fee estimate data represented in saved data file */
diff --git a/src/qt/sendcoinsdialog.cpp b/src/qt/sendcoinsdialog.cpp
index 272ab9486a..ea5b5221cd 100644
--- a/src/qt/sendcoinsdialog.cpp
+++ b/src/qt/sendcoinsdialog.cpp
@@ -651,8 +651,8 @@ void SendCoinsDialog::updateSmartFeeLabel()
         return;
 
     int nBlocksToConfirm = ui->sliderSmartFee->maximum() - ui->sliderSmartFee->value() + 2;
-    int estimateFoundAtBlocks = nBlocksToConfirm;
-    CFeeRate feeRate = ::feeEstimator.estimateSmartFee(nBlocksToConfirm, &estimateFoundAtBlocks, ::mempool);
+    FeeCalculation feeCalc;
+    CFeeRate feeRate = ::feeEstimator.estimateSmartFee(nBlocksToConfirm, &feeCalc, ::mempool);
     if (feeRate <= CFeeRate(0)) // not enough data => minfee
     {
         ui->labelSmartFee->setText(BitcoinUnits::formatWithUnit(model->getOptionsModel()->getDisplayUnit(),
@@ -670,7 +670,7 @@ void SendCoinsDialog::updateSmartFeeLabel()
         ui->labelSmartFee->setText(BitcoinUnits::formatWithUnit(model->getOptionsModel()->getDisplayUnit(),
                                                                 std::max(feeRate.GetFeePerK(), CWallet::GetRequiredFee(1000))) + "/kB");
         ui->labelSmartFee2->hide();
-        ui->labelFeeEstimation->setText(tr("Estimated to begin confirmation within %n block(s).", "", estimateFoundAtBlocks));
+        ui->labelFeeEstimation->setText(tr("Estimated to begin confirmation within %n block(s).", "", feeCalc.returnedTarget));
         ui->fallbackFeeWarningLabel->setVisible(false);
     }
 
diff --git a/src/rpc/mining.cpp b/src/rpc/mining.cpp
index cfe42ec7d8..5b999ec158 100644
--- a/src/rpc/mining.cpp
+++ b/src/rpc/mining.cpp
@@ -870,10 +870,10 @@ UniValue estimatesmartfee(const JSONRPCRequest& request)
     }
 
     UniValue result(UniValue::VOBJ);
-    int answerFound;
-    CFeeRate feeRate = ::feeEstimator.estimateSmartFee(nBlocks, &answerFound, ::mempool, conservative);
+    FeeCalculation feeCalc;
+    CFeeRate feeRate = ::feeEstimator.estimateSmartFee(nBlocks, &feeCalc, ::mempool, conservative);
     result.push_back(Pair("feerate", feeRate == CFeeRate(0) ? -1.0 : ValueFromAmount(feeRate.GetFeePerK())));
-    result.push_back(Pair("blocks", answerFound));
+    result.push_back(Pair("blocks", feeCalc.returnedTarget));
     return result;
 }
 
diff --git a/src/wallet/feebumper.cpp b/src/wallet/feebumper.cpp
index 46ef87b7b1..6a9e6cf9ff 100644
--- a/src/wallet/feebumper.cpp
+++ b/src/wallet/feebumper.cpp
@@ -165,7 +165,7 @@ CFeeBumper::CFeeBumper(const CWallet *pWallet, const uint256 txidIn, int newConf
         nNewFee = totalFee;
         nNewFeeRate = CFeeRate(totalFee, maxNewTxSize);
     } else {
-        nNewFee = CWallet::GetMinimumFee(maxNewTxSize, newConfirmTarget, mempool, ::feeEstimator, ignoreGlobalPayTxFee);
+        nNewFee = CWallet::GetMinimumFee(maxNewTxSize, newConfirmTarget, mempool, ::feeEstimator, nullptr, ignoreGlobalPayTxFee);
         nNewFeeRate = CFeeRate(nNewFee, maxNewTxSize);
 
         // New fee rate must be at least old rate + minimum incremental relay rate
diff --git a/src/wallet/wallet.cpp b/src/wallet/wallet.cpp
index b2706d09f6..796580728e 100644
--- a/src/wallet/wallet.cpp
+++ b/src/wallet/wallet.cpp
@@ -2524,7 +2524,8 @@ bool CWallet::CreateTransaction(const std::vector<CRecipient>& vecSend, CWalletT
 
     assert(txNew.nLockTime <= (unsigned int)chainActive.Height());
     assert(txNew.nLockTime < LOCKTIME_THRESHOLD);
-
+    FeeCalculation feeCalc;
+    unsigned int nBytes;
     {
         std::set<CInputCoin> setCoins;
         LOCK2(cs_main, cs_wallet);
@@ -2696,7 +2697,7 @@ bool CWallet::CreateTransaction(const std::vector<CRecipient>& vecSend, CWalletT
                     return false;
                 }
 
-                unsigned int nBytes = GetVirtualTransactionSize(txNew);
+                nBytes = GetVirtualTransactionSize(txNew);
 
                 CTransaction txNewConst(txNew);
 
@@ -2711,7 +2712,7 @@ bool CWallet::CreateTransaction(const std::vector<CRecipient>& vecSend, CWalletT
                 if (coinControl && coinControl->nConfirmTarget > 0)
                     currentConfirmationTarget = coinControl->nConfirmTarget;
 
-                CAmount nFeeNeeded = GetMinimumFee(nBytes, currentConfirmationTarget, ::mempool, ::feeEstimator);
+                CAmount nFeeNeeded = GetMinimumFee(nBytes, currentConfirmationTarget, ::mempool, ::feeEstimator, &feeCalc);
                 if (coinControl && coinControl->fOverrideFeeRate)
                     nFeeNeeded = coinControl->nFeeRate.GetFee(nBytes);
 
@@ -2808,6 +2809,15 @@ bool CWallet::CreateTransaction(const std::vector<CRecipient>& vecSend, CWalletT
             return false;
         }
     }
+
+    LogPrintf("Fee Calculation: Fee:%d Bytes:%u Tgt:%d (requested %d) Reason:\"%s\" Decay %.5f: Estimation: (%g - %g) %.2f%% %.1f/(%.1f %d mem %.1f out) Fail: (%g - %g) %.2f%% %.1f/(%.1f %d mem %.1f out)\n",
+              nFeeRet, nBytes, feeCalc.returnedTarget, feeCalc.desiredTarget, StringForFeeReason(feeCalc.reason), feeCalc.est.decay,
+              feeCalc.est.pass.start, feeCalc.est.pass.end,
+              100 * feeCalc.est.pass.withinTarget / (feeCalc.est.pass.totalConfirmed + feeCalc.est.pass.inMempool + feeCalc.est.pass.leftMempool),
+              feeCalc.est.pass.withinTarget, feeCalc.est.pass.totalConfirmed, feeCalc.est.pass.inMempool, feeCalc.est.pass.leftMempool,
+              feeCalc.est.fail.start, feeCalc.est.fail.end,
+              100 * feeCalc.est.fail.withinTarget / (feeCalc.est.fail.totalConfirmed + feeCalc.est.fail.inMempool + feeCalc.est.fail.leftMempool),
+              feeCalc.est.fail.withinTarget, feeCalc.est.fail.totalConfirmed, feeCalc.est.fail.inMempool, feeCalc.est.fail.leftMempool);
     return true;
 }
 
@@ -2882,23 +2892,32 @@ CAmount CWallet::GetRequiredFee(unsigned int nTxBytes)
     return std::max(minTxFee.GetFee(nTxBytes), ::minRelayTxFee.GetFee(nTxBytes));
 }
 
-CAmount CWallet::GetMinimumFee(unsigned int nTxBytes, unsigned int nConfirmTarget, const CTxMemPool& pool, const CBlockPolicyEstimator& estimator, bool ignoreGlobalPayTxFee)
+CAmount CWallet::GetMinimumFee(unsigned int nTxBytes, unsigned int nConfirmTarget, const CTxMemPool& pool, const CBlockPolicyEstimator& estimator, FeeCalculation *feeCalc, bool ignoreGlobalPayTxFee)
 {
     // payTxFee is the user-set global for desired feerate
     CAmount nFeeNeeded = payTxFee.GetFee(nTxBytes);
     // User didn't set: use -txconfirmtarget to estimate...
     if (nFeeNeeded == 0 || ignoreGlobalPayTxFee) {
-        int estimateFoundTarget = nConfirmTarget;
-        nFeeNeeded = estimator.estimateSmartFee(nConfirmTarget, &estimateFoundTarget, pool).GetFee(nTxBytes);
+        nFeeNeeded = estimator.estimateSmartFee(nConfirmTarget, feeCalc, pool, true).GetFee(nTxBytes);
         // ... unless we don't have enough mempool data for estimatefee, then use fallbackFee
-        if (nFeeNeeded == 0)
+        if (nFeeNeeded == 0) {
             nFeeNeeded = fallbackFee.GetFee(nTxBytes);
+            if (feeCalc) feeCalc->reason = FeeReason::FALLBACK;
+        }
+    } else {
+        if (feeCalc) feeCalc->reason = FeeReason::PAYTXFEE;
     }
     // prevent user from paying a fee below minRelayTxFee or minTxFee
-    nFeeNeeded = std::max(nFeeNeeded, GetRequiredFee(nTxBytes));
+    CAmount requiredFee = GetRequiredFee(nTxBytes);
+    if (requiredFee > nFeeNeeded) {
+        nFeeNeeded = requiredFee;
+        if (feeCalc) feeCalc->reason = FeeReason::REQUIRED;
+    }
     // But always obey the maximum
-    if (nFeeNeeded > maxTxFee)
+    if (nFeeNeeded > maxTxFee) {
         nFeeNeeded = maxTxFee;
+        if (feeCalc) feeCalc->reason = FeeReason::MAXTXFEE;
+    }
     return nFeeNeeded;
 }
 
diff --git a/src/wallet/wallet.h b/src/wallet/wallet.h
index a9c50aee4d..f0bf2c5afb 100644
--- a/src/wallet/wallet.h
+++ b/src/wallet/wallet.h
@@ -76,6 +76,7 @@ class CScheduler;
 class CTxMemPool;
 class CBlockPolicyEstimator;
 class CWalletTx;
+class FeeCalculation;
 
 /** (client) version numbers for particular wallet features */
 enum WalletFeature
@@ -956,7 +957,7 @@ public:
      * Estimate the minimum fee considering user set parameters
      * and the required fee
      */
-    static CAmount GetMinimumFee(unsigned int nTxBytes, unsigned int nConfirmTarget, const CTxMemPool& pool, const CBlockPolicyEstimator& estimator, bool ignoreGlobalPayTxFee = false);
+    static CAmount GetMinimumFee(unsigned int nTxBytes, unsigned int nConfirmTarget, const CTxMemPool& pool, const CBlockPolicyEstimator& estimator, FeeCalculation *feeCalc = nullptr, bool ignoreGlobalPayTxFee = false);
     /**
      * Return the minimum required fee taking into account the
      * floating relay fee and user set minimum transaction fee