Line data Source code
1 : // Copyright (c) 2009-2010 Satoshi Nakamoto
2 : // Copyright (c) 2009-present The Bitcoin Core developers
3 : // Distributed under the MIT software license, see the accompanying
4 : // file COPYING or http://www.opensource.org/licenses/mit-license.php.
5 : #ifndef BITCOIN_POLICY_FEES_BLOCK_POLICY_ESTIMATOR_H
6 : #define BITCOIN_POLICY_FEES_BLOCK_POLICY_ESTIMATOR_H
7 :
8 : #include <consensus/amount.h>
9 : #include <policy/feerate.h>
10 : #include <primitives/transaction_identifier.h>
11 : #include <random.h>
12 : #include <sync.h>
13 : #include <uint256.h>
14 : #include <util/expected.h>
15 : #include <util/fees.h>
16 : #include <util/fs.h>
17 :
18 : #include <array>
19 : #include <chrono>
20 : #include <map>
21 : #include <memory>
22 : #include <set>
23 : #include <string>
24 : #include <vector>
25 :
26 :
27 : /** Block policy estimate files that are more than 60 hours (2.5 days) old will not be read,
28 : * as fee estimates are based on historical data and may be inaccurate if
29 : * network activity has changed.
30 : */
31 : inline constexpr std::chrono::hours MAX_FILE_AGE{60};
32 :
33 : // Whether we allow importing a fee_estimates file older than MAX_FILE_AGE.
34 : inline constexpr bool DEFAULT_ACCEPT_STALE_FEE_ESTIMATES{false};
35 :
36 : class AutoFile;
37 : class TxConfirmStats;
38 : struct RemovedMempoolTransactionInfo;
39 : struct NewMempoolTransactionInfo;
40 :
41 : /* Identifier for each of the 3 different TxConfirmStats which will track
42 : * history over different time horizons. */
43 : enum class FeeEstimateHorizon {
44 : SHORT_HALFLIFE,
45 : MED_HALFLIFE,
46 : LONG_HALFLIFE,
47 : };
48 :
49 : inline constexpr auto ALL_FEE_ESTIMATE_HORIZONS = std::array{
50 : FeeEstimateHorizon::SHORT_HALFLIFE,
51 : FeeEstimateHorizon::MED_HALFLIFE,
52 : FeeEstimateHorizon::LONG_HALFLIFE,
53 : };
54 :
55 : std::string StringForFeeEstimateHorizon(FeeEstimateHorizon horizon);
56 :
57 : /* Enumeration of reason for returned fee estimate */
58 : enum class BlockPolicyEstimateReason {
59 : NONE,
60 : HALF_ESTIMATE,
61 : FULL_ESTIMATE,
62 : DOUBLE_ESTIMATE,
63 : CONSERVATIVE,
64 : };
65 :
66 : std::string StringForBlockPolicyEstimateReason(BlockPolicyEstimateReason reason);
67 :
68 : /* Used to return detailed information about a feerate bucket */
69 : struct EstimatorBucket
70 : {
71 : double start = -1;
72 : double end = -1;
73 : double withinTarget = 0;
74 : double totalConfirmed = 0;
75 : double inMempool = 0;
76 : double leftMempool = 0;
77 : };
78 :
79 : /* Used to return detailed information about a fee estimate calculation */
80 : struct EstimationResult
81 : {
82 : EstimatorBucket pass;
83 : EstimatorBucket fail;
84 : double decay = 0;
85 : unsigned int scale = 0;
86 : };
87 :
88 : struct FeeCalculation
89 : {
90 : EstimationResult est;
91 : BlockPolicyEstimateReason reason = BlockPolicyEstimateReason::NONE;
92 : int desiredTarget = 0;
93 : int returnedTarget = 0;
94 : unsigned int best_height{0};
95 : };
96 :
97 : /** \class CBlockPolicyEstimator
98 : * The BlockPolicyEstimator is used for estimating the feerate needed
99 : * for a transaction to be included in a block within a certain number of
100 : * blocks.
101 : *
102 : * At a high level the algorithm works by grouping transactions into buckets
103 : * based on having similar feerates and then tracking how long it
104 : * takes transactions in the various buckets to be mined. It operates under
105 : * the assumption that in general transactions of higher feerate will be
106 : * included in blocks before transactions of lower feerate. So for
107 : * example if you wanted to know what feerate you should put on a transaction to
108 : * be included in a block within the next 5 blocks, you would start by looking
109 : * at the bucket with the highest feerate transactions and verifying that a
110 : * sufficiently high percentage of them were confirmed within 5 blocks and
111 : * then you would look at the next highest feerate bucket, and so on, stopping at
112 : * the last bucket to pass the test. The average feerate of transactions in this
113 : * bucket will give you an indication of the lowest feerate you can put on a
114 : * transaction and still have a sufficiently high chance of being confirmed
115 : * within your desired 5 blocks.
116 : *
117 : * Here is a brief description of the implementation:
118 : * When a transaction enters the mempool, we track the height of the block chain
119 : * at entry. All further calculations are conducted only on this set of "seen"
120 : * transactions. Whenever a block comes in, we count the number of transactions
121 : * in each bucket and the total amount of feerate paid in each bucket. Then we
122 : * calculate how many blocks Y it took each transaction to be mined. We convert
123 : * from a number of blocks to a number of periods Y' each encompassing "scale"
124 : * blocks. This is tracked in 3 different data sets each up to a maximum
125 : * number of periods. Within each data set we have an array of counters in each
126 : * feerate bucket and we increment all the counters from Y' up to max periods
127 : * representing that a tx was successfully confirmed in less than or equal to
128 : * that many periods. We want to save a history of this information, so at any
129 : * time we have a counter of the total number of transactions that happened in a
130 : * given feerate bucket and the total number that were confirmed in each of the
131 : * periods or less for any bucket. We save this history by keeping an
132 : * exponentially decaying moving average of each one of these stats. This is
133 : * done for a different decay in each of the 3 data sets to keep relevant data
134 : * from different time horizons. Furthermore we also keep track of the number
135 : * unmined (in mempool or left mempool without being included in a block)
136 : * transactions in each bucket and for how many blocks they have been
137 : * outstanding and use both of these numbers to increase the number of transactions
138 : * we've seen in that feerate bucket when calculating an estimate for any number
139 : * of confirmations below the number of blocks they've been outstanding.
140 : *
141 : * We want to be able to estimate feerates that are needed on tx's to be included in
142 : * a certain number of blocks. Every time a block is added to the best chain, this class records
143 : * stats on the transactions included in that block
144 : */
145 : class CBlockPolicyEstimator
146 : {
147 : private:
148 : /** Track confirm delays up to 12 blocks for short horizon */
149 : static constexpr unsigned int SHORT_BLOCK_PERIODS = 12;
150 : static constexpr unsigned int SHORT_SCALE = 1;
151 : /** Track confirm delays up to 48 blocks for medium horizon */
152 : static constexpr unsigned int MED_BLOCK_PERIODS = 24;
153 : static constexpr unsigned int MED_SCALE = 2;
154 : /** Track confirm delays up to 1008 blocks for long horizon */
155 : static constexpr unsigned int LONG_BLOCK_PERIODS = 42;
156 : static constexpr unsigned int LONG_SCALE = 24;
157 : /** Historical estimates that are older than this aren't valid */
158 : static constexpr unsigned int OLDEST_ESTIMATE_HISTORY{6 * 1008};
159 :
160 : /** Decay of .962 is a half-life of 18 blocks or about 3 hours */
161 : static constexpr double SHORT_DECAY = .962;
162 : /** Decay of .9952 is a half-life of 144 blocks or about 1 day */
163 : static constexpr double MED_DECAY = .9952;
164 : /** Decay of .99931 is a half-life of 1008 blocks or about 1 week */
165 : static constexpr double LONG_DECAY = .99931;
166 :
167 : /** Require greater than 60% of X feerate transactions to be confirmed within Y/2 blocks*/
168 : static constexpr double HALF_SUCCESS_PCT = .6;
169 : /** Require greater than 85% of X feerate transactions to be confirmed within Y blocks*/
170 : static constexpr double SUCCESS_PCT = .85;
171 : /** Require greater than 95% of X feerate transactions to be confirmed within 2 * Y blocks*/
172 : static constexpr double DOUBLE_SUCCESS_PCT = .95;
173 :
174 : /** Require an avg of 0.1 tx in the combined feerate bucket per block to have stat significance */
175 : static constexpr double SUFFICIENT_FEETXS = 0.1;
176 : /** Require an avg of 0.5 tx when using short decay since there are fewer blocks considered*/
177 : static constexpr double SUFFICIENT_TXS_SHORT = 0.5;
178 :
179 : /** Minimum and Maximum values for tracking feerates
180 : * The MIN_BUCKET_FEERATE should just be set to the lowest reasonable feerate.
181 : * MIN_BUCKET_FEERATE has historically inherited DEFAULT_MIN_RELAY_TX_FEE.
182 : * It is hardcoded because changing it is disruptive, as it invalidates existing fee
183 : * estimate files.
184 : *
185 : * Whenever DEFAULT_MIN_RELAY_TX_FEE changes, this value should be updated
186 : * accordingly. At the same time CURRENT_FEES_FILE_VERSION should be bumped.
187 : */
188 : static constexpr double MIN_BUCKET_FEERATE = 100;
189 : static constexpr double MAX_BUCKET_FEERATE = 1e7;
190 :
191 : /** Spacing of FeeRate buckets
192 : * We have to lump transactions into buckets based on feerate, but we want to be able
193 : * to give accurate estimates over a large range of potential feerates
194 : * Therefore it makes sense to exponentially space the buckets
195 : */
196 : static constexpr double FEE_SPACING = 1.05;
197 :
198 : const fs::path m_estimation_filepath;
199 : public:
200 : /** Create new BlockPolicyEstimator and initialize stats tracking classes with default values */
201 : CBlockPolicyEstimator(const fs::path& estimation_filepath, bool read_stale_estimates);
202 : virtual ~CBlockPolicyEstimator();
203 :
204 : /** Process all the transactions that have been included in a block */
205 : void processBlock(const std::vector<RemovedMempoolTransactionInfo>& txs_removed_for_block,
206 : unsigned int nBlockHeight)
207 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
208 :
209 : /** Process a transaction accepted to the mempool*/
210 : void processTransaction(const NewMempoolTransactionInfo& tx)
211 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
212 :
213 : /** Remove a transaction from the mempool tracking stats for non BLOCK removal reasons*/
214 : bool removeTx(Txid hash)
215 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
216 :
217 : /** DEPRECATED. Return a feerate estimate */
218 : CFeeRate estimateFee(int confTarget) const
219 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
220 :
221 : /** Estimate feerate needed to get be included in a block within confTarget
222 : * blocks. If no answer can be given at confTarget, return an estimate at
223 : * the closest target where one can be given. 'conservative' estimates are
224 : * valid over longer time horizons also.
225 : */
226 : virtual CFeeRate estimateSmartFee(int confTarget, FeeCalculation *feeCalc, bool conservative) const
227 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
228 :
229 : /** Return a specific fee estimate calculation with a given success
230 : * threshold and time horizon, and optionally return detailed data about
231 : * calculation
232 : */
233 : CFeeRate estimateRawFee(int confTarget, double successThreshold, FeeEstimateHorizon horizon,
234 : EstimationResult* result = nullptr) const
235 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
236 :
237 : /** Write estimation data to a file */
238 : bool Write(AutoFile& fileout) const
239 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
240 :
241 : /** Read estimation data from a file */
242 : bool Read(AutoFile& filein)
243 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
244 :
245 : /** Empty mempool transactions on shutdown to record failure to confirm for txs still in mempool */
246 : void FlushUnconfirmed()
247 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
248 :
249 : /** Calculation of highest target that estimates are tracked for */
250 : virtual unsigned int HighestTargetTracked(FeeEstimateHorizon horizon) const
251 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
252 :
253 : /** Drop still unconfirmed transactions and record current estimations, if the fee estimation file is present. */
254 : void Flush()
255 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
256 :
257 : /** Record current fee estimations. */
258 : void FlushFeeEstimates()
259 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
260 :
261 : /** Calculates the age of the file, since last modified */
262 : std::chrono::hours GetFeeEstimatorFileAge();
263 :
264 : /** Return the highest confirmation target for which an estimate can be provided. */
265 : unsigned int MaximumTarget() const
266 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
267 :
268 : /** Estimate the feerate needed to confirm within @p target blocks; wraps estimateSmartFee into a FeeRateEstimation. */
269 : util::Expected<FeeRateEstimation, FeeRateEstimationError> EstimateFeeRate(int target, bool conservative) const
270 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
271 :
272 :
273 : private:
274 : mutable Mutex m_cs_fee_estimator;
275 :
276 : unsigned int nBestSeenHeight GUARDED_BY(m_cs_fee_estimator){0};
277 : unsigned int firstRecordedHeight GUARDED_BY(m_cs_fee_estimator){0};
278 : unsigned int historicalFirst GUARDED_BY(m_cs_fee_estimator){0};
279 : unsigned int historicalBest GUARDED_BY(m_cs_fee_estimator){0};
280 :
281 : struct TxStatsInfo
282 : {
283 : unsigned int blockHeight{0};
284 : unsigned int bucketIndex{0};
285 24560 : TxStatsInfo() = default;
286 : };
287 :
288 : // map of txids to information about that transaction
289 : std::map<Txid, TxStatsInfo> mapMemPoolTxs GUARDED_BY(m_cs_fee_estimator);
290 :
291 : /** Classes to track historical data on transaction confirmations */
292 : std::unique_ptr<TxConfirmStats> feeStats PT_GUARDED_BY(m_cs_fee_estimator);
293 : std::unique_ptr<TxConfirmStats> shortStats PT_GUARDED_BY(m_cs_fee_estimator);
294 : std::unique_ptr<TxConfirmStats> longStats PT_GUARDED_BY(m_cs_fee_estimator);
295 :
296 : unsigned int trackedTxs GUARDED_BY(m_cs_fee_estimator){0};
297 : unsigned int untrackedTxs GUARDED_BY(m_cs_fee_estimator){0};
298 :
299 : std::vector<double> buckets GUARDED_BY(m_cs_fee_estimator); // The upper-bound of the range for the bucket (inclusive)
300 : std::map<double, unsigned int> bucketMap GUARDED_BY(m_cs_fee_estimator); // Map of bucket upper-bound to index into all vectors by bucket
301 :
302 : /** Process a transaction confirmed in a block*/
303 : bool processBlockTx(unsigned int nBlockHeight, const RemovedMempoolTransactionInfo& tx) EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
304 :
305 : /** Helper for estimateSmartFee */
306 : double estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon, EstimationResult *result) const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
307 : /** Helper for estimateSmartFee */
308 : double estimateConservativeFee(unsigned int doubleTarget, EstimationResult *result) const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
309 : /** Number of blocks of data recorded while fee estimates have been running */
310 : unsigned int BlockSpan() const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
311 : /** Number of blocks of recorded fee estimate data represented in saved data file */
312 : unsigned int HistoricalBlockSpan() const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
313 : /** Calculation of highest target that reasonable estimate can be provided for */
314 : unsigned int MaxUsableEstimate() const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
315 :
316 : /** A non-thread-safe helper for the removeTx function */
317 : bool _removeTx(const Txid& hash, bool inBlock)
318 : EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
319 : };
320 :
321 1 : class FeeFilterRounder
322 : {
323 : private:
324 : static constexpr double MAX_FILTER_FEERATE = 1e7;
325 : /** FEE_FILTER_SPACING is just used to provide some quantization of fee
326 : * filter results. Historically it reused FEE_SPACING, but it is completely
327 : * unrelated, and was made a separate constant so the two concepts are not
328 : * tied together */
329 : static constexpr double FEE_FILTER_SPACING = 1.1;
330 :
331 : public:
332 : /** Create new FeeFilterRounder */
333 : explicit FeeFilterRounder(const CFeeRate& min_incremental_fee, FastRandomContext& rng);
334 :
335 : /** Quantize a minimum fee for privacy purpose before broadcast. */
336 : CAmount round(CAmount currentMinFee) EXCLUSIVE_LOCKS_REQUIRED(!m_insecure_rand_mutex);
337 :
338 : private:
339 : const std::set<double> m_fee_set;
340 : Mutex m_insecure_rand_mutex;
341 : FastRandomContext& insecure_rand GUARDED_BY(m_insecure_rand_mutex);
342 : };
343 :
344 : #endif // BITCOIN_POLICY_FEES_BLOCK_POLICY_ESTIMATOR_H
|
