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// Copyright (c) 2009-2010 Satoshi Nakamoto
// Copyright (c) 2009-2016 The Bitcoin Core developers
// Distributed under the MIT software license, see the accompanying
// file COPYING or http://www.opensource.org/licenses/mit-license.php.
#ifndef BITCOIN_POLICYESTIMATOR_H
#define BITCOIN_POLICYESTIMATOR_H
#include "amount.h"
#include "uint256.h"
#include "random.h"
#include "sync.h"
#include <map>
#include <string>
#include <vector>
class CAutoFile;
class CFeeRate;
class CTxMemPoolEntry;
class CTxMemPool;
class TxConfirmStats;
/** \class CBlockPolicyEstimator
* The BlockPolicyEstimator is used for estimating the feerate needed
* for a transaction to be included in a block within a certain number of
* blocks.
*
* At a high level the algorithm works by grouping transactions into buckets
* based on having similar feerates and then tracking how long it
* takes transactions in the various buckets to be mined. It operates under
* the assumption that in general transactions of higher feerate will be
* included in blocks before transactions of lower feerate. So for
* example if you wanted to know what feerate you should put on a transaction to
* be included in a block within the next 5 blocks, you would start by looking
* at the bucket with the highest feerate transactions and verifying that a
* sufficiently high percentage of them were confirmed within 5 blocks and
* then you would look at the next highest feerate bucket, and so on, stopping at
* the last bucket to pass the test. The average feerate of transactions in this
* bucket will give you an indication of the lowest feerate you can put on a
* transaction and still have a sufficiently high chance of being confirmed
* 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.
*/
/**
* 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
* stats on the transactions included in that block
*/
class CBlockPolicyEstimator
{
private:
/** Track confirm delays up to 12 blocks medium decay */
static constexpr unsigned int SHORT_BLOCK_CONFIRMS = 12;
/** Track confirm delays up to 48 blocks medium decay */
static constexpr unsigned int MED_BLOCK_CONFIRMS = 48;
/** Track confirm delays up to 1008 blocks for longer decay */
static constexpr unsigned int LONG_BLOCK_CONFIRMS = 1008;
/** Decay of .962 is a half-life of 18 blocks or about 3 hours */
static constexpr double SHORT_DECAY = .962;
/** Decay of .998 is a half-life of 144 blocks or about 1 day */
static constexpr double MED_DECAY = .9952;
/** 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 */
static constexpr double HALF_SUCCESS_PCT = .6;
static constexpr double SUCCESS_PCT = .85;
static constexpr double DOUBLE_SUCCESS_PCT = .95;
/** Require an avg of 1 tx in the combined feerate bucket per block to have stat significance */
static constexpr double SUFFICIENT_FEETXS = 1;
/** Minimum and Maximum values for tracking feerates
* The MIN_BUCKET_FEERATE should just be set to the lowest reasonable feerate we
* might ever want to track. Historically this has been 1000 since it was
* inheriting DEFAULT_MIN_RELAY_TX_FEE and changing it is disruptive as it
* invalidates old estimates files. So leave it at 1000 unless it becomes
* necessary to lower it, and then lower it substantially.
*/
static constexpr double MIN_BUCKET_FEERATE = 1000;
static constexpr double MAX_BUCKET_FEERATE = 1e7;
/** Spacing of FeeRate buckets
* We have to lump transactions into buckets based on feerate, but we want to be able
* to give accurate estimates over a large range of potential feerates
* Therefore it makes sense to exponentially space the buckets
*/
static constexpr double FEE_SPACING = 1.05;
public:
/** Create new BlockPolicyEstimator and initialize stats tracking classes with default values */
CBlockPolicyEstimator();
~CBlockPolicyEstimator();
/** Process all the transactions that have been included in a block */
void processBlock(unsigned int nBlockHeight,
std::vector<const CTxMemPoolEntry*>& entries);
/** Process a transaction accepted to the mempool*/
void processTransaction(const CTxMemPoolEntry& entry, bool validFeeEstimate);
/** Remove a transaction from the mempool tracking stats*/
bool removeTx(uint256 hash);
/** 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.
*/
CFeeRate estimateSmartFee(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool) const;
/** Write estimation data to a file */
bool Write(CAutoFile& fileout) const;
/** Read estimation data from a file */
bool Read(CAutoFile& filein);
private:
CFeeRate minTrackedFee; //!< Passed to constructor to avoid dependency on main
unsigned int nBestSeenHeight;
struct TxStatsInfo
{
unsigned int blockHeight;
unsigned int bucketIndex;
TxStatsInfo() : blockHeight(0), bucketIndex(0) {}
};
// map of txids to information about that transaction
std::map<uint256, TxStatsInfo> mapMemPoolTxs;
/** Classes to track historical data on transaction confirmations */
TxConfirmStats* feeStats;
TxConfirmStats* shortStats;
TxConfirmStats* longStats;
unsigned int trackedTxs;
unsigned int untrackedTxs;
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
mutable CCriticalSection cs_feeEstimator;
/** Process a transaction confirmed in a block*/
bool processBlockTx(unsigned int nBlockHeight, const CTxMemPoolEntry* entry);
};
class FeeFilterRounder
{
private:
static constexpr double MAX_FILTER_FEERATE = 1e7;
/** FEE_FILTER_SPACING is just used to provide some quantization of fee
* filter results. Historically it reused FEE_SPACING, but it is completely
* unrelated, and was made a separate constant so the two concepts are not
* tied together */
static constexpr double FEE_FILTER_SPACING = 1.1;
public:
/** Create new FeeFilterRounder */
FeeFilterRounder(const CFeeRate& minIncrementalFee);
/** Quantize a minimum fee for privacy purpose before broadcast **/
CAmount round(CAmount currentMinFee);
private:
std::set<double> feeset;
FastRandomContext insecure_rand;
};
#endif /*BITCOIN_POLICYESTIMATOR_H */
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