aboutsummaryrefslogtreecommitdiff
path: root/src/policy/fees.h
blob: c5955d7b04c3631ed8c414e74141f429ea7f6dd4 (plain)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
// 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 0.1 tx in the combined feerate bucket per block to have stat significance */
    static constexpr double SUFFICIENT_FEETXS = 0.1;

    /** 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 */