Skip to content
Permalink
Branch: master
Find file Copy path
Find file Copy path
16 contributors

Users who have contributed to this file

@morcos @practicalswift @laanwj @MarcoFalke @sdaftuar @isle2983 @DrahtBot @vlajos @sipa @luke-jr @jtimon @jnewbery @fanquake @meshcollider @dimitris-t @chriswheeler
293 lines (251 sloc) 12.7 KB
// Copyright (c) 2009-2010 Satoshi Nakamoto
// Copyright (c) 2009-2018 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_POLICY_FEES_H
#define BITCOIN_POLICY_FEES_H
#include <amount.h>
#include <policy/feerate.h>
#include <uint256.h>
#include <random.h>
#include <sync.h>
#include <map>
#include <memory>
#include <string>
#include <vector>
class CAutoFile;
class CFeeRate;
class CTxMemPoolEntry;
class CTxMemPool;
class TxConfirmStats;
/* Identifier for each of the 3 different TxConfirmStats which will track
* history over different time horizons. */
enum class FeeEstimateHorizon {
SHORT_HALFLIFE = 0,
MED_HALFLIFE = 1,
LONG_HALFLIFE = 2
};
std::string StringForFeeEstimateHorizon(FeeEstimateHorizon horizon);
/* Enumeration of reason for returned fee estimate */
enum class FeeReason {
NONE,
HALF_ESTIMATE,
FULL_ESTIMATE,
DOUBLE_ESTIMATE,
CONSERVATIVE,
MEMPOOL_MIN,
PAYTXFEE,
FALLBACK,
REQUIRED,
MAXTXFEE,
};
/* Used to determine type of fee estimation requested */
enum class FeeEstimateMode {
UNSET, //!< Use default settings based on other criteria
ECONOMICAL, //!< Force estimateSmartFee to use non-conservative estimates
CONSERVATIVE, //!< Force estimateSmartFee to use conservative estimates
};
/* Used to return detailed information about a feerate bucket */
struct EstimatorBucket
{
double start = -1;
double end = -1;
double withinTarget = 0;
double totalConfirmed = 0;
double inMempool = 0;
double leftMempool = 0;
};
/* Used to return detailed information about a fee estimate calculation */
struct EstimationResult
{
EstimatorBucket pass;
EstimatorBucket fail;
double decay = 0;
unsigned int scale = 0;
};
struct FeeCalculation
{
EstimationResult est;
FeeReason reason = FeeReason::NONE;
int desiredTarget = 0;
int returnedTarget = 0;
};
/** \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. 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 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 successfully 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.
*
* 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 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 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 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 */
static const unsigned int OLDEST_ESTIMATE_HISTORY = 6 * 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 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 */
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
* 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, bool inBlock);
/** 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 closest target where one can be given. 'conservative' estimates are
* valid over longer time horizons also.
*/
CFeeRate estimateSmartFee(int confTarget, FeeCalculation *feeCalc, bool conservative) const;
/** 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;
/** Write estimation data to a file */
bool Write(CAutoFile& fileout) const;
/** Read estimation data from a file */
bool Read(CAutoFile& filein);
/** Empty mempool transactions on shutdown to record failure to confirm for txs still in mempool */
void FlushUnconfirmed();
/** Calculation of highest target that estimates are tracked for */
unsigned int HighestTargetTracked(FeeEstimateHorizon horizon) const;
private:
mutable CCriticalSection m_cs_fee_estimator;
unsigned int nBestSeenHeight GUARDED_BY(m_cs_fee_estimator);
unsigned int firstRecordedHeight GUARDED_BY(m_cs_fee_estimator);
unsigned int historicalFirst GUARDED_BY(m_cs_fee_estimator);
unsigned int historicalBest GUARDED_BY(m_cs_fee_estimator);
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 GUARDED_BY(m_cs_fee_estimator);
/** Classes to track historical data on transaction confirmations */
std::unique_ptr<TxConfirmStats> feeStats PT_GUARDED_BY(m_cs_fee_estimator);
std::unique_ptr<TxConfirmStats> shortStats PT_GUARDED_BY(m_cs_fee_estimator);
std::unique_ptr<TxConfirmStats> longStats PT_GUARDED_BY(m_cs_fee_estimator);
unsigned int trackedTxs GUARDED_BY(m_cs_fee_estimator);
unsigned int untrackedTxs GUARDED_BY(m_cs_fee_estimator);
std::vector<double> buckets GUARDED_BY(m_cs_fee_estimator); // The upper-bound of the range for the bucket (inclusive)
std::map<double, unsigned int> bucketMap GUARDED_BY(m_cs_fee_estimator); // Map of bucket upper-bound to index into all vectors by bucket
/** Process a transaction confirmed in a block*/
bool processBlockTx(unsigned int nBlockHeight, const CTxMemPoolEntry* entry) EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
/** Helper for estimateSmartFee */
double estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon, EstimationResult *result) const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
/** Helper for estimateSmartFee */
double estimateConservativeFee(unsigned int doubleTarget, EstimationResult *result) const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
/** Number of blocks of data recorded while fee estimates have been running */
unsigned int BlockSpan() const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
/** Number of blocks of recorded fee estimate data represented in saved data file */
unsigned int HistoricalBlockSpan() const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
/** Calculation of highest target that reasonable estimate can be provided for */
unsigned int MaxUsableEstimate() const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
};
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 */
explicit 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_POLICY_FEES_H
You can’t perform that action at this time.