diff options
| -rw-r--r-- | src/policy/fees.cpp | 10 | ||||
| -rw-r--r-- | src/policy/fees.h | 72 | ||||
| -rw-r--r-- | src/rpc/mining.cpp | 2 |
3 files changed, 56 insertions, 28 deletions
diff --git a/src/policy/fees.cpp b/src/policy/fees.cpp index 97e9536867..35e2857399 100644 --- a/src/policy/fees.cpp +++ b/src/policy/fees.cpp @@ -729,6 +729,9 @@ double CBlockPolicyEstimator::estimateCombinedFee(unsigned int confTarget, doubl return estimate; } +/** 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 estimate = -1; @@ -744,6 +747,13 @@ double CBlockPolicyEstimator::estimateConservativeFee(unsigned int doubleTarget) return estimate; } +/** estimateSmartFee returns the max of the feerates calculated with a 60% + * threshold required at target / 2, an 85% threshold required at target and a + * 95% threshold required at 2 * target. Each calculation is performed at the + * shortest time horizon which tracks the required target. Conservative + * 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 { if (answerFoundAtTarget) diff --git a/src/policy/fees.h b/src/policy/fees.h index aa179cfddd..d5b63823ad 100644 --- a/src/policy/fees.h +++ b/src/policy/fees.h @@ -41,32 +41,39 @@ class TxConfirmStats; * within your desired 5 blocks. * * Here is a brief description of the implementation: - * When a transaction enters the mempool, we - * track the height of the block chain at entry. Whenever a block comes in, - * we count the number of transactions in each bucket and the total amount of feerate - * paid in each bucket. Then we calculate how many blocks Y it took each - * transaction to be mined and we track an array of counters in each bucket - * for how long it to took transactions to get confirmed from 1 to a max of 25 - * and we increment all the counters from Y up to 25. This is because for any - * number Z>=Y the transaction was successfully mined within Z blocks. We - * want to save a history of this information, so at any time we have a - * counter of the total number of transactions that happened in a given feerate - * bucket and the total number that were confirmed in each number 1-25 blocks - * or less for any bucket. We save this history by keeping an exponentially - * decaying moving average of each one of these stats. Furthermore we also - * keep track of the number unmined (in mempool) transactions in each bucket - * and for how many blocks they have been outstanding and use that to increase - * the number of transactions we've seen in that feerate bucket when calculating - * an estimate for any number of confirmations below the number of blocks - * they've been outstanding. + * When a transaction enters the mempool, we track the height of the block chain + * at entry. All further calculations are conducted only on this set of "seen" + * transactions. Whenever a block comes in, we count the number of transactions + * in each bucket and the total amount of feerate paid in each bucket. Then we + * calculate how many blocks Y it took each transaction to be mined. We convert + * from a number of blocks to a number of periods Y' each encompassing "scale" + * blocks. This is is tracked in 3 different data sets each up to a maximum + * number of periods. Within each data set we have an array of counters in each + * feerate bucket and we increment all the counters from Y' up to max periods + * representing that a tx was successfullly confirmed in less than or equal to + * that many periods. We want to save a history of this information, so at any + * time we have a counter of the total number of transactions that happened in a + * given feerate bucket and the total number that were confirmed in each of the + * periods or less for any bucket. We save this history by keeping an + * exponentially decaying moving average of each one of these stats. This is + * done for a different decay in each of the 3 data sets to keep relevant data + * from different time horizons. Furthermore we also keep track of the number + * unmined (in mempool or left mempool without being included in a block) + * transactions in each bucket and for how many blocks they have been + * outstanding and use both of these numbers to increase the number of transactions + * we've seen in that feerate bucket when calculating an estimate for any number + * of confirmations below the number of blocks they've been outstanding. */ +/* Identifier for each of the 3 different TxConfirmStats which will track + * history over different time horizons. */ enum FeeEstimateHorizon { SHORT_HALFLIFE = 0, MED_HALFLIFE = 1, LONG_HALFLIFE = 2 }; +/* Used to return detailed information about a feerate bucket */ struct EstimatorBucket { double start = -1; @@ -77,6 +84,7 @@ struct EstimatorBucket double leftMempool = 0; }; +/* Used to return detailed information about a fee estimate calculation */ struct EstimationResult { EstimatorBucket pass; @@ -93,13 +101,13 @@ struct EstimationResult class CBlockPolicyEstimator { private: - /** Track confirm delays up to 12 blocks medium decay */ + /** Track confirm delays up to 12 blocks for short horizon */ static constexpr unsigned int SHORT_BLOCK_PERIODS = 12; static constexpr unsigned int SHORT_SCALE = 1; - /** Track confirm delays up to 48 blocks medium decay */ + /** Track confirm delays up to 48 blocks for medium horizon */ static constexpr unsigned int MED_BLOCK_PERIODS = 24; static constexpr unsigned int MED_SCALE = 2; - /** Track confirm delays up to 1008 blocks for longer decay */ + /** Track confirm delays up to 1008 blocks for long horizon */ static constexpr unsigned int LONG_BLOCK_PERIODS = 42; static constexpr unsigned int LONG_SCALE = 24; /** Historical estimates that are older than this aren't valid */ @@ -112,9 +120,11 @@ private: /** Decay of .9995 is a half-life of 1008 blocks or about 1 week */ static constexpr double LONG_DECAY = .99931; - /** Require greater than 95% of X feerate transactions to be confirmed within Y blocks for X to be big enough */ + /** Require greater than 60% of X feerate transactions to be confirmed within Y/2 blocks*/ static constexpr double HALF_SUCCESS_PCT = .6; + /** Require greater than 85% of X feerate transactions to be confirmed within Y blocks*/ static constexpr double SUCCESS_PCT = .85; + /** Require greater than 95% of X feerate transactions to be confirmed within 2 * Y blocks*/ static constexpr double DOUBLE_SUCCESS_PCT = .95; /** Require an avg of 0.1 tx in the combined feerate bucket per block to have stat significance */ @@ -154,16 +164,19 @@ public: /** Remove a transaction from the mempool tracking stats*/ bool removeTx(uint256 hash, bool inBlock); - /** Return a feerate estimate */ + /** DEPRECATED. Return a feerate estimate */ CFeeRate estimateFee(int confTarget) const; - /** Estimate feerate needed to get be included in a block within - * confTarget blocks. If no answer can be given at confTarget, return an - * estimate at the lowest target where one can be given. + /** Estimate feerate needed to get be included in a block within confTarget + * blocks. If no answer can be given at confTarget, return an estimate at + * 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; - /** Return a specific fee estimate calculation with a given success threshold and time horizon. + /** Return a specific fee estimate calculation with a given success + * threshold and time horizon, and optionally return detailed data about + * calculation */ CFeeRate estimateRawFee(int confTarget, double successThreshold, FeeEstimateHorizon horizon, EstimationResult *result = nullptr) const; @@ -208,10 +221,15 @@ private: /** Process a transaction confirmed in a block*/ bool processBlockTx(unsigned int nBlockHeight, const CTxMemPoolEntry* entry); + /** Helper for estimateSmartFee */ double estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon) const; + /** Helper for estimateSmartFee */ double estimateConservativeFee(unsigned int doubleTarget) 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 */ unsigned int HistoricalBlockSpan() const; + /** Calculation of highest target that reasonable estimate can be provided for */ unsigned int MaxUsableEstimate() const; }; diff --git a/src/rpc/mining.cpp b/src/rpc/mining.cpp index 22bff1cf9e..7fd95768a4 100644 --- a/src/rpc/mining.cpp +++ b/src/rpc/mining.cpp @@ -797,6 +797,7 @@ UniValue estimatefee(const JSONRPCRequest& request) if (request.fHelp || request.params.size() != 1) throw std::runtime_error( "estimatefee nblocks\n" + "\nDEPRECATED. Please use estimatesmartfee for more intelligent estimates." "\nEstimates the approximate fee per kilobyte needed for a transaction to begin\n" "confirmation within nblocks blocks. Uses virtual transaction size of transaction\n" "as defined in BIP 141 (witness data is discounted).\n" @@ -831,7 +832,6 @@ UniValue estimatesmartfee(const JSONRPCRequest& request) if (request.fHelp || request.params.size() < 1 || request.params.size() > 2) throw std::runtime_error( "estimatesmartfee nblocks (conservative)\n" - "\nWARNING: This interface is unstable and may disappear or change!\n" "\nEstimates the approximate fee per kilobyte needed for a transaction to begin\n" "confirmation within nblocks blocks if possible and return the number of blocks\n" "for which the estimate is valid. Uses virtual transaction size as defined\n" |