diff options
| -rw-r--r-- | src/policy/fees.cpp | 97 | ||||
| -rw-r--r-- | src/policy/fees.h | 29 | ||||
| -rw-r--r-- | src/rpc/client.cpp | 3 | ||||
| -rw-r--r-- | src/rpc/mining.cpp | 74 |
4 files changed, 192 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 */ diff --git a/src/rpc/client.cpp b/src/rpc/client.cpp index 941bdd9379..afc1fa1c79 100644 --- a/src/rpc/client.cpp +++ b/src/rpc/client.cpp @@ -106,6 +106,9 @@ static const CRPCConvertParam vRPCConvertParams[] = { "getrawmempool", 0, "verbose" }, { "estimatefee", 0, "nblocks" }, { "estimatesmartfee", 0, "nblocks" }, + { "estimaterawfee", 0, "nblocks" }, + { "estimaterawfee", 1, "threshold" }, + { "estimaterawfee", 2, "horizon" }, { "prioritisetransaction", 1, "fee_delta" }, { "setban", 2, "bantime" }, { "setban", 3, "absolute" }, diff --git a/src/rpc/mining.cpp b/src/rpc/mining.cpp index 4ce52a6c7f..6851f21004 100644 --- a/src/rpc/mining.cpp +++ b/src/rpc/mining.cpp @@ -863,6 +863,78 @@ UniValue estimatesmartfee(const JSONRPCRequest& request) return result; } +UniValue estimaterawfee(const JSONRPCRequest& request) +{ + if (request.fHelp || request.params.size() < 1|| request.params.size() > 3) + throw std::runtime_error( + "estimaterawfee nblocks (threshold horizon)\n" + "\nWARNING: This interface is unstable and may disappear or change!\n" + "\nWARNING: This is an advanced API call that is tightly coupled to the specific\n" + " implementation of fee estimation. The parameters it can be called with\n" + " and the results it returns will change if the internal implementation changes.\n" + "\nEstimates the approximate fee per kilobyte needed for a transaction to begin\n" + "confirmation within nblocks blocks if possible. Uses virtual transaction size as defined\n" + "in BIP 141 (witness data is discounted).\n" + "\nArguments:\n" + "1. nblocks (numeric)\n" + "2. threshold (numeric, optional) The proportion of transactions in a given feerate range that must have been\n" + " confirmed within nblocks in order to consider those feerates as high enough and proceed to check\n" + " lower buckets. Default: 0.95\n" + "3. horizon (numeric, optional) How long a history of estimates to consider. 0=short, 1=medium, 2=long.\n" + " Default: 1\n" + "\nResult:\n" + "{\n" + " \"feerate\" : x.x, (numeric) estimate fee-per-kilobyte (in BTC)\n" + " \"decay\" : x.x, (numeric) exponential decay (per block) for historical moving average of confirmation data\n" + " \"pass.\" information about the lowest range of feerates to succeed in meeting the threshold\n" + " \"fail.\" information about the highest range of feerates to fail to meet the threshold\n" + " \"startrange\" : x.x, (numeric) start of feerate range\n" + " \"endrange\" : x.x, (numeric) end of feerate range\n" + " \"withintarget\" : x.x, (numeric) number of txs over history horizon in the feerate range that were confirmed within target\n" + " \"totalconfirmed\" : x.x, (numeric) number of txs over history horizon in the feerate range that were confirmed at any point\n" + " \"inmempool\" : x.x, (numeric) current number of txs in mempool in the feerate range unconfirmed for at least target blocks\n" + "}\n" + "\n" + "A negative feerate is returned if no answer can be given.\n" + "\nExample:\n" + + HelpExampleCli("estimaterawfee", "6 0.9 1") + ); + + RPCTypeCheck(request.params, boost::assign::list_of(UniValue::VNUM)(UniValue::VNUM)(UniValue::VNUM), true); + RPCTypeCheckArgument(request.params[0], UniValue::VNUM); + int nBlocks = request.params[0].get_int(); + double threshold = 0.95; + if (!request.params[1].isNull()) + threshold = request.params[1].get_real(); + FeeEstimateHorizon horizon = FeeEstimateHorizon::MED_HALFLIFE; + if (!request.params[2].isNull()) { + int horizonInt = request.params[2].get_int(); + if (horizonInt < 0 || horizonInt > 2) { + throw JSONRPCError(RPC_TYPE_ERROR, "Invalid horizon for fee estimates"); + } else { + horizon = (FeeEstimateHorizon)horizonInt; + } + } + UniValue result(UniValue::VOBJ); + CFeeRate feeRate; + EstimationResult buckets; + feeRate = ::feeEstimator.estimateRawFee(nBlocks, threshold, horizon, &buckets); + + result.push_back(Pair("feerate", feeRate == CFeeRate(0) ? -1.0 : ValueFromAmount(feeRate.GetFeePerK()))); + result.push_back(Pair("decay", buckets.decay)); + result.push_back(Pair("pass.startrange", round(buckets.pass.start))); + result.push_back(Pair("pass.endrange", round(buckets.pass.end))); + result.push_back(Pair("pass.withintarget", round(buckets.pass.withinTarget * 100.0) / 100.0)); + result.push_back(Pair("pass.totalconfirmed", round(buckets.pass.totalConfirmed * 100.0) / 100.0)); + result.push_back(Pair("pass.inmempool", round(buckets.pass.inMempool * 100.0) / 100.0)); + result.push_back(Pair("fail.startrange", round(buckets.fail.start))); + result.push_back(Pair("fail.endrange", round(buckets.fail.end))); + result.push_back(Pair("fail.withintarget", round(buckets.fail.withinTarget * 100.0) / 100.0)); + result.push_back(Pair("fail.totalconfirmed", round(buckets.fail.totalConfirmed * 100.0) / 100.0)); + result.push_back(Pair("fail.inmempool", round(buckets.fail.inMempool * 100.0) / 100.0)); + return result; +} + static const CRPCCommand commands[] = { // category name actor (function) okSafeMode // --------------------- ------------------------ ----------------------- ---------- @@ -877,6 +949,8 @@ static const CRPCCommand commands[] = { "util", "estimatefee", &estimatefee, true, {"nblocks"} }, { "util", "estimatesmartfee", &estimatesmartfee, true, {"nblocks"} }, + + { "hidden", "estimaterawfee", &estimaterawfee, true, {"nblocks", "threshold", "horizon"} }, }; void RegisterMiningRPCCommands(CRPCTable &t) |