diff options
Diffstat (limited to 'src/policy/fees.cpp')
| -rw-r--r-- | src/policy/fees.cpp | 209 |
1 files changed, 176 insertions, 33 deletions
diff --git a/src/policy/fees.cpp b/src/policy/fees.cpp index 38e07dc345..f3f7f8378e 100644 --- a/src/policy/fees.cpp +++ b/src/policy/fees.cpp @@ -7,14 +7,121 @@ #include "policy/policy.h" #include "amount.h" +#include "clientversion.h" #include "primitives/transaction.h" #include "random.h" #include "streams.h" #include "txmempool.h" #include "util.h" -void TxConfirmStats::Initialize(std::vector<double>& defaultBuckets, - unsigned int maxConfirms, double _decay) +/** + * 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 + * approximate feerate and then track how long it took for those txs to be included in a block + * + * The tracking of unconfirmed (mempool) transactions is completely independent of the + * historical tracking of transactions that have been confirmed in a block. + */ +class TxConfirmStats +{ +private: + //Define the buckets we will group transactions into + std::vector<double> buckets; // The upper-bound of the range for the bucket (inclusive) + std::map<double, unsigned int> bucketMap; // Map of bucket upper-bound to index into all vectors by bucket + + // For each bucket X: + // Count the total # of txs in each bucket + // Track the historical moving average of this total over blocks + std::vector<double> txCtAvg; + // and calculate the total for the current block to update the moving average + std::vector<int> curBlockTxCt; + + // Count the total # of txs confirmed within Y blocks in each bucket + // Track the historical moving average of theses totals over blocks + std::vector<std::vector<double> > confAvg; // confAvg[Y][X] + // and calculate the totals for the current block to update the moving averages + std::vector<std::vector<int> > curBlockConf; // curBlockConf[Y][X] + + // Sum the total feerate of all tx's in each bucket + // Track the historical moving average of this total over blocks + std::vector<double> avg; + // and calculate the total for the current block to update the moving average + std::vector<double> curBlockVal; + + // Combine the conf counts with tx counts to calculate the confirmation % for each Y,X + // Combine the total value with the tx counts to calculate the avg feerate per bucket + + double decay; + + // Mempool counts of outstanding transactions + // For each bucket X, track the number of transactions in the mempool + // that are unconfirmed for each possible confirmation value Y + std::vector<std::vector<int> > unconfTxs; //unconfTxs[Y][X] + // transactions still unconfirmed after MAX_CONFIRMS for each bucket + std::vector<int> oldUnconfTxs; + +public: + /** + * Create new TxConfirmStats. This is called by BlockPolicyEstimator's + * constructor with default values. + * @param defaultBuckets contains the upper limits for the bucket boundaries + * @param maxConfirms max number of confirms to track + * @param decay how much to decay the historical moving average per block + */ + TxConfirmStats(const std::vector<double>& defaultBuckets, unsigned int maxConfirms, double decay); + + /** Clear the state of the curBlock variables to start counting for the new block */ + void ClearCurrent(unsigned int nBlockHeight); + + /** + * Record a new transaction data point in the current block stats + * @param blocksToConfirm the number of blocks it took this transaction to confirm + * @param val the feerate of the transaction + * @warning blocksToConfirm is 1-based and has to be >= 1 + */ + void Record(int blocksToConfirm, double val); + + /** Record a new transaction entering the mempool*/ + unsigned int NewTx(unsigned int nBlockHeight, double val); + + /** Remove a transaction from mempool tracking stats*/ + void removeTx(unsigned int entryHeight, unsigned int nBestSeenHeight, + unsigned int bucketIndex); + + /** Update our estimates by decaying our historical moving average and updating + with the data gathered from the current block */ + void UpdateMovingAverages(); + + /** + * Calculate a feerate estimate. Find the lowest value bucket (or range of buckets + * to make sure we have enough data points) whose transactions still have sufficient likelihood + * of being confirmed within the target number of confirmations + * @param confTarget target number of confirmations + * @param sufficientTxVal required average number of transactions per block in a bucket range + * @param minSuccess the success probability we require + * @param requireGreater return the lowest feerate such that all higher values pass minSuccess OR + * return the highest feerate such that all lower values fail minSuccess + * @param nBlockHeight the current block height + */ + double EstimateMedianVal(int confTarget, double sufficientTxVal, + double minSuccess, bool requireGreater, unsigned int nBlockHeight) const; + + /** Return the max number of confirms we're tracking */ + unsigned int GetMaxConfirms() const { return confAvg.size(); } + + /** Write state of estimation data to a file*/ + void Write(CAutoFile& fileout) const; + + /** + * Read saved state of estimation data from a file and replace all internal data structures and + * variables with this state. + */ + void Read(CAutoFile& filein); +}; + + +TxConfirmStats::TxConfirmStats(const std::vector<double>& defaultBuckets, + unsigned int maxConfirms, double _decay) { decay = _decay; for (unsigned int i = 0; i < defaultBuckets.size(); i++) { @@ -77,7 +184,7 @@ void TxConfirmStats::UpdateMovingAverages() // returns -1 on error conditions double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal, double successBreakPoint, bool requireGreater, - unsigned int nBlockHeight) + unsigned int nBlockHeight) const { // Counters for a bucket (or range of buckets) double nConf = 0; // Number of tx's confirmed within the confTarget @@ -173,7 +280,7 @@ double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal, return median; } -void TxConfirmStats::Write(CAutoFile& fileout) +void TxConfirmStats::Write(CAutoFile& fileout) const { fileout << decay; fileout << buckets; @@ -290,9 +397,10 @@ void TxConfirmStats::removeTx(unsigned int entryHeight, unsigned int nBestSeenHe // of no harm to try to remove them again. bool CBlockPolicyEstimator::removeTx(uint256 hash) { + LOCK(cs_feeEstimator); std::map<uint256, TxStatsInfo>::iterator pos = mapMemPoolTxs.find(hash); if (pos != mapMemPoolTxs.end()) { - feeStats.removeTx(pos->second.blockHeight, nBestSeenHeight, pos->second.bucketIndex); + feeStats->removeTx(pos->second.blockHeight, nBestSeenHeight, pos->second.bucketIndex); mapMemPoolTxs.erase(hash); return true; } else { @@ -310,11 +418,17 @@ CBlockPolicyEstimator::CBlockPolicyEstimator() vfeelist.push_back(bucketBoundary); } vfeelist.push_back(INF_FEERATE); - feeStats.Initialize(vfeelist, MAX_BLOCK_CONFIRMS, DEFAULT_DECAY); + feeStats = new TxConfirmStats(vfeelist, MAX_BLOCK_CONFIRMS, DEFAULT_DECAY); +} + +CBlockPolicyEstimator::~CBlockPolicyEstimator() +{ + delete feeStats; } void CBlockPolicyEstimator::processTransaction(const CTxMemPoolEntry& entry, bool validFeeEstimate) { + LOCK(cs_feeEstimator); unsigned int txHeight = entry.GetHeight(); uint256 hash = entry.GetTx().GetHash(); if (mapMemPoolTxs.count(hash)) { @@ -343,7 +457,7 @@ void CBlockPolicyEstimator::processTransaction(const CTxMemPoolEntry& entry, boo CFeeRate feeRate(entry.GetFee(), entry.GetTxSize()); mapMemPoolTxs[hash].blockHeight = txHeight; - mapMemPoolTxs[hash].bucketIndex = feeStats.NewTx(txHeight, (double)feeRate.GetFeePerK()); + mapMemPoolTxs[hash].bucketIndex = feeStats->NewTx(txHeight, (double)feeRate.GetFeePerK()); } bool CBlockPolicyEstimator::processBlockTx(unsigned int nBlockHeight, const CTxMemPoolEntry* entry) @@ -367,13 +481,14 @@ bool CBlockPolicyEstimator::processBlockTx(unsigned int nBlockHeight, const CTxM // Feerates are stored and reported as BTC-per-kb: CFeeRate feeRate(entry->GetFee(), entry->GetTxSize()); - feeStats.Record(blocksToConfirm, (double)feeRate.GetFeePerK()); + feeStats->Record(blocksToConfirm, (double)feeRate.GetFeePerK()); return true; } void CBlockPolicyEstimator::processBlock(unsigned int nBlockHeight, std::vector<const CTxMemPoolEntry*>& entries) { + LOCK(cs_feeEstimator); if (nBlockHeight <= nBestSeenHeight) { // Ignore side chains and re-orgs; assuming they are random // they don't affect the estimate. @@ -389,7 +504,7 @@ void CBlockPolicyEstimator::processBlock(unsigned int nBlockHeight, nBestSeenHeight = nBlockHeight; // Clear the current block state and update unconfirmed circular buffer - feeStats.ClearCurrent(nBlockHeight); + feeStats->ClearCurrent(nBlockHeight); unsigned int countedTxs = 0; // Repopulate the current block states @@ -399,7 +514,7 @@ void CBlockPolicyEstimator::processBlock(unsigned int nBlockHeight, } // Update all exponential averages with the current block state - feeStats.UpdateMovingAverages(); + feeStats->UpdateMovingAverages(); LogPrint(BCLog::ESTIMATEFEE, "Blockpolicy after updating estimates for %u of %u txs in block, since last block %u of %u tracked, new mempool map size %u\n", countedTxs, entries.size(), trackedTxs, trackedTxs + untrackedTxs, mapMemPoolTxs.size()); @@ -408,14 +523,15 @@ void CBlockPolicyEstimator::processBlock(unsigned int nBlockHeight, untrackedTxs = 0; } -CFeeRate CBlockPolicyEstimator::estimateFee(int confTarget) +CFeeRate CBlockPolicyEstimator::estimateFee(int confTarget) const { + 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 <= 1 || (unsigned int)confTarget > feeStats->GetMaxConfirms()) return CFeeRate(0); - double median = feeStats.EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, MIN_SUCCESS_PCT, true, nBestSeenHeight); + double median = feeStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, MIN_SUCCESS_PCT, true, nBestSeenHeight); if (median < 0) return CFeeRate(0); @@ -423,22 +539,28 @@ CFeeRate CBlockPolicyEstimator::estimateFee(int confTarget) return CFeeRate(median); } -CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool) +CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool) const { if (answerFoundAtTarget) *answerFoundAtTarget = confTarget; - // Return failure if trying to analyze a target we're not tracking - if (confTarget <= 0 || (unsigned int)confTarget > feeStats.GetMaxConfirms()) - return CFeeRate(0); - - // It's not possible to get reasonable estimates for confTarget of 1 - if (confTarget == 1) - confTarget = 2; double median = -1; - while (median < 0 && (unsigned int)confTarget <= feeStats.GetMaxConfirms()) { - median = feeStats.EstimateMedianVal(confTarget++, SUFFICIENT_FEETXS, MIN_SUCCESS_PCT, true, nBestSeenHeight); - } + + { + LOCK(cs_feeEstimator); + + // Return failure if trying to analyze a target we're not tracking + if (confTarget <= 0 || (unsigned int)confTarget > feeStats->GetMaxConfirms()) + return CFeeRate(0); + + // It's not possible to get reasonable estimates for confTarget of 1 + if (confTarget == 1) + confTarget = 2; + + while (median < 0 && (unsigned int)confTarget <= feeStats->GetMaxConfirms()) { + median = feeStats->EstimateMedianVal(confTarget++, SUFFICIENT_FEETXS, MIN_SUCCESS_PCT, true, nBestSeenHeight); + } + } // Must unlock cs_feeEstimator before taking mempool locks if (answerFoundAtTarget) *answerFoundAtTarget = confTarget - 1; @@ -454,19 +576,40 @@ CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoun return CFeeRate(median); } -void CBlockPolicyEstimator::Write(CAutoFile& fileout) +bool CBlockPolicyEstimator::Write(CAutoFile& fileout) const { - fileout << nBestSeenHeight; - feeStats.Write(fileout); + try { + LOCK(cs_feeEstimator); + fileout << 139900; // version required to read: 0.13.99 or later + fileout << CLIENT_VERSION; // version that wrote the file + fileout << nBestSeenHeight; + feeStats->Write(fileout); + } + catch (const std::exception&) { + LogPrintf("CBlockPolicyEstimator::Write(): unable to read policy estimator data (non-fatal)\n"); + return false; + } + return true; } -void CBlockPolicyEstimator::Read(CAutoFile& filein, int nFileVersion) +bool CBlockPolicyEstimator::Read(CAutoFile& filein) { - int nFileBestSeenHeight; - filein >> nFileBestSeenHeight; - feeStats.Read(filein); - nBestSeenHeight = nFileBestSeenHeight; - // if nVersionThatWrote < 139900 then another TxConfirmStats (for priority) follows but can be ignored. + try { + LOCK(cs_feeEstimator); + int nVersionRequired, nVersionThatWrote, nFileBestSeenHeight; + filein >> nVersionRequired >> nVersionThatWrote; + if (nVersionRequired > CLIENT_VERSION) + return error("CBlockPolicyEstimator::Read(): up-version (%d) fee estimate file", nVersionRequired); + filein >> nFileBestSeenHeight; + feeStats->Read(filein); + nBestSeenHeight = nFileBestSeenHeight; + // if nVersionThatWrote < 139900 then another TxConfirmStats (for priority) follows but can be ignored. + } + catch (const std::exception&) { + LogPrintf("CBlockPolicyEstimator::Read(): unable to read policy estimator data (non-fatal)\n"); + return false; + } + return true; } FeeFilterRounder::FeeFilterRounder(const CFeeRate& minIncrementalFee) |