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Fee estimate patch #6618

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Fee estimate patch #6618

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b10b2a1
Modify success threshold to 95% unless target is 1.
morcos Aug 3, 2015
f84fd7d
Fix unit test for fee estimation.
morcos Aug 12, 2015
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31 changes: 27 additions & 4 deletions src/policy/fees.cpp
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Expand Up @@ -207,8 +207,8 @@ void TxConfirmStats::Read(CAutoFile& filein)
throw std::runtime_error("Corrupt estimates file. Mismatch in tx count bucket count");
filein >> fileConfAvg;
maxConfirms = fileConfAvg.size();
if (maxConfirms <= 0 || maxConfirms > 6 * 24 * 7) // one week
throw std::runtime_error("Corrupt estimates file. Must maintain estimates for between 1 and 1008 (one week) confirms");
if (maxConfirms <= 1 || maxConfirms > 6 * 24 * 7) // one week
throw std::runtime_error("Corrupt estimates file. Must maintain estimates for between 2 and 1008 (one week) confirms");
for (unsigned int i = 0; i < maxConfirms; i++) {
if (fileConfAvg[i].size() != numBuckets)
throw std::runtime_error("Corrupt estimates file. Mismatch in fee/pri conf average bucket count");
Expand Down Expand Up @@ -307,6 +307,7 @@ CBlockPolicyEstimator::CBlockPolicyEstimator(const CFeeRate& _minRelayFee)
vfeelist.push_back(bucketBoundary);
}
vfeelist.push_back(INF_FEERATE);
assert(MAX_BLOCK_CONFIRMS >= 2); // Have to track at least to 2 blocks
feeStats.Initialize(vfeelist, MAX_BLOCK_CONFIRMS, DEFAULT_DECAY, "FeeRate");

minTrackedPriority = AllowFreeThreshold() < MIN_PRIORITY ? MIN_PRIORITY : AllowFreeThreshold();
Expand Down Expand Up @@ -496,7 +497,17 @@ CFeeRate CBlockPolicyEstimator::estimateFee(int confTarget)
if (confTarget <= 0 || (unsigned int)confTarget > feeStats.GetMaxConfirms())
return CFeeRate(0);

double median = feeStats.EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, MIN_SUCCESS_PCT, true, nBestSeenHeight);
double median = -1;
if (confTarget == 1) {
// Special case 1 with a lower success threshold, but ensure it can't give a lower estimate than 2.
median = feeStats.EstimateMedianVal(1, SUFFICIENT_FEETXS, MIN_SUCCESS_PCT_1CONF, true, nBestSeenHeight);
if (median > 0) {
median = std::max(median, feeStats.EstimateMedianVal(2, SUFFICIENT_FEETXS, MIN_SUCCESS_PCT, true, nBestSeenHeight));
}
}
else {
median = feeStats.EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, MIN_SUCCESS_PCT, true, nBestSeenHeight);
}

if (median < 0)
return CFeeRate(0);
Expand All @@ -510,7 +521,19 @@ double CBlockPolicyEstimator::estimatePriority(int confTarget)
if (confTarget <= 0 || (unsigned int)confTarget > priStats.GetMaxConfirms())
return -1;

return priStats.EstimateMedianVal(confTarget, SUFFICIENT_PRITXS, MIN_SUCCESS_PCT, true, nBestSeenHeight);
double median = -1;
if (confTarget == 1) {
// Special case 1 with a lower success threshold, but ensure it can't give a lower estimate than 2.
median = priStats.EstimateMedianVal(1, SUFFICIENT_PRITXS, MIN_SUCCESS_PCT_1CONF, true, nBestSeenHeight);
if (median > 0) {
median = std::max(median, priStats.EstimateMedianVal(2, SUFFICIENT_PRITXS, MIN_SUCCESS_PCT, true, nBestSeenHeight));
}
}
else {
median = priStats.EstimateMedianVal(confTarget, SUFFICIENT_PRITXS, MIN_SUCCESS_PCT, true, nBestSeenHeight);
}

return median;
}

void CBlockPolicyEstimator::Write(CAutoFile& fileout)
Expand Down
8 changes: 6 additions & 2 deletions src/policy/fees.h
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Expand Up @@ -182,8 +182,12 @@ static const unsigned int MAX_BLOCK_CONFIRMS = 25;
/** Decay of .998 is a half-life of 346 blocks or about 2.4 days */
static const double DEFAULT_DECAY = .998;

/** Require greater than 85% of X fee transactions to be confirmed within Y blocks for X to be big enough */
static const double MIN_SUCCESS_PCT = .85;
/**
* Require greater than 95% of X fee transactions to be confirmed within Y blocks
* for X to be high enough. Use 85% for target of 1.
*/
static const double MIN_SUCCESS_PCT = .95;
static const double MIN_SUCCESS_PCT_1CONF = .85;
static const double UNLIKELY_PCT = .5;

/** Require an avg of 1 tx in the combined fee bucket per block to have stat significance */
Expand Down
39 changes: 22 additions & 17 deletions src/test/policyestimator_tests.cpp
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Expand Up @@ -83,11 +83,13 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
block.clear();
if (blocknum == 30) {
// At this point we should need to combine 5 buckets to get enough data points
// So estimateFee(1) should fail and estimateFee(2) should return somewhere around
// 8*baserate
// So estimateFee(1,2,3) should fail and estimateFee(4) should return somewhere around
// 8*baserate. estimateFee(4) %'s are 100,100,100,100,90 = average 98%
BOOST_CHECK(mpool.estimateFee(1) == CFeeRate(0));
BOOST_CHECK(mpool.estimateFee(2).GetFeePerK() < 8*baseRate.GetFeePerK() + deltaFee);
BOOST_CHECK(mpool.estimateFee(2).GetFeePerK() > 8*baseRate.GetFeePerK() - deltaFee);
BOOST_CHECK(mpool.estimateFee(2) == CFeeRate(0));
BOOST_CHECK(mpool.estimateFee(3) == CFeeRate(0));
BOOST_CHECK(mpool.estimateFee(4).GetFeePerK() < 8*baseRate.GetFeePerK() + deltaFee);
BOOST_CHECK(mpool.estimateFee(4).GetFeePerK() > 8*baseRate.GetFeePerK() - deltaFee);
}
}

Expand All @@ -96,20 +98,23 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
// Highest feerate is 10*baseRate and gets in all blocks,
// second highest feerate is 9*baseRate and gets in 9/10 blocks = 90%,
// third highest feerate is 8*base rate, and gets in 8/10 blocks = 80%,
// so estimateFee(1) should return 9*baseRate.
// Third highest feerate has 90% chance of being included by 2 blocks,
// so estimateFee(2) should return 8*baseRate etc...
// so estimateFee(1) should return 9*baseRate. (success thresh only 85%)
// Second highest feerate has 100% chance of being included by 2 blocks,
// so estimateFee(2) should return 9*baseRate etc...
for (int i = 1; i < 10;i++) {
origFeeEst.push_back(mpool.estimateFee(i).GetFeePerK());
origPriEst.push_back(mpool.estimatePriority(i));
if (i > 1) { // Fee estimates should be monotonically decreasing
BOOST_CHECK(origFeeEst[i-1] <= origFeeEst[i-2]);
BOOST_CHECK(origPriEst[i-1] <= origPriEst[i-2]);
}
BOOST_CHECK(origFeeEst[i-1] < (10-i)*baseRate.GetFeePerK() + deltaFee);
BOOST_CHECK(origFeeEst[i-1] > (10-i)*baseRate.GetFeePerK() - deltaFee);
BOOST_CHECK(origPriEst[i-1] < pow(10,10-i) * basepri + deltaPri);
BOOST_CHECK(origPriEst[i-1] > pow(10,10-i) * basepri - deltaPri);
int mult = 11-i;
if (i == 1)
mult = 9; // success thresh is only 85% for 1
BOOST_CHECK(origFeeEst[i-1] < mult*baseRate.GetFeePerK() + deltaFee);
BOOST_CHECK(origFeeEst[i-1] > mult*baseRate.GetFeePerK() - deltaFee);
BOOST_CHECK(origPriEst[i-1] < pow(10,mult) * basepri + deltaPri);
BOOST_CHECK(origPriEst[i-1] > pow(10,mult) * basepri - deltaPri);
}

// Mine 50 more blocks with no transactions happening, estimates shouldn't change
Expand Down Expand Up @@ -140,8 +145,8 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
}

for (int i = 1; i < 10;i++) {
BOOST_CHECK(mpool.estimateFee(i).GetFeePerK() > origFeeEst[i-1] - deltaFee);
BOOST_CHECK(mpool.estimatePriority(i) > origPriEst[i-1] - deltaPri);
BOOST_CHECK(mpool.estimateFee(i) == CFeeRate(0) || mpool.estimateFee(i).GetFeePerK() > origFeeEst[i-1] - deltaFee);
BOOST_CHECK(mpool.estimatePriority(i) == -1 || mpool.estimatePriority(i) > origPriEst[i-1] - deltaPri);
}

// Mine all those transactions
Expand All @@ -161,9 +166,9 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
BOOST_CHECK(mpool.estimatePriority(i) > origPriEst[i-1] - deltaPri);
}

// Mine 100 more blocks where everything is mined every block
// Estimates should be below original estimates (not possible for last estimate)
while (blocknum < 365) {
// Mine 200 more blocks where everything is mined every block
// Estimates should be below original estimates
while (blocknum < 465) {
for (int j = 0; j < 10; j++) { // For each fee/pri multiple
for (int k = 0; k < 5; k++) { // add 4 fee txs for every priority tx
tx.vin[0].prevout.n = 10000*blocknum+100*j+k;
Expand All @@ -177,7 +182,7 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
mpool.removeForBlock(block, ++blocknum, dummyConflicted);
block.clear();
}
for (int i = 1; i < 9; i++) {
for (int i = 1; i < 10; i++) {
BOOST_CHECK(mpool.estimateFee(i).GetFeePerK() < origFeeEst[i-1] - deltaFee);
BOOST_CHECK(mpool.estimatePriority(i) < origPriEst[i-1] - deltaPri);
}
Expand Down