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 <random.h>
11 : #include <sync.h>
12 : #include <threadsafety.h>
13 : #include <uint256.h>
14 : #include <util/fs.h>
15 : #include <validationinterface.h>
16 :
17 : #include <array>
18 : #include <chrono>
19 : #include <map>
20 : #include <memory>
21 : #include <set>
22 : #include <string>
23 : #include <vector>
24 :
25 :
26 : // How often to flush fee estimates to fee_estimates.dat.
27 : static constexpr std::chrono::hours FEE_FLUSH_INTERVAL{1};
28 :
29 : /** fee_estimates.dat that are more than 60 hours (2.5 days) old will not be read,
30 : * as fee estimates are based on historical data and may be inaccurate if
31 : * network activity has changed.
32 : */
33 : static constexpr std::chrono::hours MAX_FILE_AGE{60};
34 :
35 : // Whether we allow importing a fee_estimates file older than MAX_FILE_AGE.
36 : static constexpr bool DEFAULT_ACCEPT_STALE_FEE_ESTIMATES{false};
37 :
38 : class AutoFile;
39 : class TxConfirmStats;
40 : struct RemovedMempoolTransactionInfo;
41 : struct NewMempoolTransactionInfo;
42 :
43 : /* Identifier for each of the 3 different TxConfirmStats which will track
44 : * history over different time horizons. */
45 : enum class FeeEstimateHorizon {
46 : SHORT_HALFLIFE,
47 : MED_HALFLIFE,
48 : LONG_HALFLIFE,
49 : };
50 :
51 : static constexpr auto ALL_FEE_ESTIMATE_HORIZONS = std::array{
52 : FeeEstimateHorizon::SHORT_HALFLIFE,
53 : FeeEstimateHorizon::MED_HALFLIFE,
54 : FeeEstimateHorizon::LONG_HALFLIFE,
55 : };
56 :
57 : std::string StringForFeeEstimateHorizon(FeeEstimateHorizon horizon);
58 :
59 : /* Enumeration of reason for returned fee estimate */
60 : enum class FeeReason {
61 : NONE,
62 : HALF_ESTIMATE,
63 : FULL_ESTIMATE,
64 : DOUBLE_ESTIMATE,
65 : CONSERVATIVE,
66 : MEMPOOL_MIN,
67 : FALLBACK,
68 : REQUIRED,
69 : };
70 :
71 : /* Used to return detailed information about a feerate bucket */
72 : struct EstimatorBucket
73 : {
74 : double start = -1;
75 : double end = -1;
76 : double withinTarget = 0;
77 : double totalConfirmed = 0;
78 : double inMempool = 0;
79 : double leftMempool = 0;
80 : };
81 :
82 : /* Used to return detailed information about a fee estimate calculation */
83 : struct EstimationResult
84 : {
85 : EstimatorBucket pass;
86 : EstimatorBucket fail;
87 : double decay = 0;
88 : unsigned int scale = 0;
89 : };
90 :
91 : struct FeeCalculation
92 : {
93 : EstimationResult est;
94 : FeeReason reason = FeeReason::NONE;
95 : int desiredTarget = 0;
96 : int returnedTarget = 0;
97 : unsigned int best_height{0};
98 : };
99 :
100 : /** \class CBlockPolicyEstimator
101 : * The BlockPolicyEstimator is used for estimating the feerate needed
102 : * for a transaction to be included in a block within a certain number of
103 : * blocks.
104 : *
105 : * At a high level the algorithm works by grouping transactions into buckets
106 : * based on having similar feerates and then tracking how long it
107 : * takes transactions in the various buckets to be mined. It operates under
108 : * the assumption that in general transactions of higher feerate will be
109 : * included in blocks before transactions of lower feerate. So for
110 : * example if you wanted to know what feerate you should put on a transaction to
111 : * be included in a block within the next 5 blocks, you would start by looking
112 : * at the bucket with the highest feerate transactions and verifying that a
113 : * sufficiently high percentage of them were confirmed within 5 blocks and
114 : * then you would look at the next highest feerate bucket, and so on, stopping at
115 : * the last bucket to pass the test. The average feerate of transactions in this
116 : * bucket will give you an indication of the lowest feerate you can put on a
117 : * transaction and still have a sufficiently high chance of being confirmed
118 : * within your desired 5 blocks.
119 : *
120 : * Here is a brief description of the implementation:
121 : * When a transaction enters the mempool, we track the height of the block chain
122 : * at entry. All further calculations are conducted only on this set of "seen"
123 : * transactions. Whenever a block comes in, we count the number of transactions
124 : * in each bucket and the total amount of feerate paid in each bucket. Then we
125 : * calculate how many blocks Y it took each transaction to be mined. We convert
126 : * from a number of blocks to a number of periods Y' each encompassing "scale"
127 : * blocks. This is tracked in 3 different data sets each up to a maximum
128 : * number of periods. Within each data set we have an array of counters in each
129 : * feerate bucket and we increment all the counters from Y' up to max periods
130 : * representing that a tx was successfully confirmed in less than or equal to
131 : * that many periods. We want to save a history of this information, so at any
132 : * time we have a counter of the total number of transactions that happened in a
133 : * given feerate bucket and the total number that were confirmed in each of the
134 : * periods or less for any bucket. We save this history by keeping an
135 : * exponentially decaying moving average of each one of these stats. This is
136 : * done for a different decay in each of the 3 data sets to keep relevant data
137 : * from different time horizons. Furthermore we also keep track of the number
138 : * unmined (in mempool or left mempool without being included in a block)
139 : * transactions in each bucket and for how many blocks they have been
140 : * outstanding and use both of these numbers to increase the number of transactions
141 : * we've seen in that feerate bucket when calculating an estimate for any number
142 : * of confirmations below the number of blocks they've been outstanding.
143 : *
144 : * We want to be able to estimate feerates that are needed on tx's to be included in
145 : * a certain number of blocks. Every time a block is added to the best chain, this class records
146 : * stats on the transactions included in that block
147 : */
148 : class CBlockPolicyEstimator : public CValidationInterface
149 : {
150 : private:
151 : /** Track confirm delays up to 12 blocks for short horizon */
152 : static constexpr unsigned int SHORT_BLOCK_PERIODS = 12;
153 : static constexpr unsigned int SHORT_SCALE = 1;
154 : /** Track confirm delays up to 48 blocks for medium horizon */
155 : static constexpr unsigned int MED_BLOCK_PERIODS = 24;
156 : static constexpr unsigned int MED_SCALE = 2;
157 : /** Track confirm delays up to 1008 blocks for long horizon */
158 : static constexpr unsigned int LONG_BLOCK_PERIODS = 42;
159 : static constexpr unsigned int LONG_SCALE = 24;
160 : /** Historical estimates that are older than this aren't valid */
161 : static const unsigned int OLDEST_ESTIMATE_HISTORY = 6 * 1008;
162 :
163 : /** Decay of .962 is a half-life of 18 blocks or about 3 hours */
164 : static constexpr double SHORT_DECAY = .962;
165 : /** Decay of .9952 is a half-life of 144 blocks or about 1 day */
166 : static constexpr double MED_DECAY = .9952;
167 : /** Decay of .99931 is a half-life of 1008 blocks or about 1 week */
168 : static constexpr double LONG_DECAY = .99931;
169 :
170 : /** Require greater than 60% of X feerate transactions to be confirmed within Y/2 blocks*/
171 : static constexpr double HALF_SUCCESS_PCT = .6;
172 : /** Require greater than 85% of X feerate transactions to be confirmed within Y blocks*/
173 : static constexpr double SUCCESS_PCT = .85;
174 : /** Require greater than 95% of X feerate transactions to be confirmed within 2 * Y blocks*/
175 : static constexpr double DOUBLE_SUCCESS_PCT = .95;
176 :
177 : /** Require an avg of 0.1 tx in the combined feerate bucket per block to have stat significance */
178 : static constexpr double SUFFICIENT_FEETXS = 0.1;
179 : /** Require an avg of 0.5 tx when using short decay since there are fewer blocks considered*/
180 : static constexpr double SUFFICIENT_TXS_SHORT = 0.5;
181 :
182 : /** Minimum and Maximum values for tracking feerates
183 : * The MIN_BUCKET_FEERATE should just be set to the lowest reasonable feerate.
184 : * MIN_BUCKET_FEERATE has historically inherited DEFAULT_MIN_RELAY_TX_FEE.
185 : * It is hardcoded because changing it is disruptive, as it invalidates existing fee
186 : * estimate files.
187 : *
188 : * Whenever DEFAULT_MIN_RELAY_TX_FEE changes, this value should be updated
189 : * accordingly. At the same time CURRENT_FEES_FILE_VERSION should be bumped.
190 : */
191 : static constexpr double MIN_BUCKET_FEERATE = 100;
192 : static constexpr double MAX_BUCKET_FEERATE = 1e7;
193 :
194 : /** Spacing of FeeRate buckets
195 : * We have to lump transactions into buckets based on feerate, but we want to be able
196 : * to give accurate estimates over a large range of potential feerates
197 : * Therefore it makes sense to exponentially space the buckets
198 : */
199 : static constexpr double FEE_SPACING = 1.05;
200 :
201 : const fs::path m_estimation_filepath;
202 : public:
203 : /** Create new BlockPolicyEstimator and initialize stats tracking classes with default values */
204 : CBlockPolicyEstimator(const fs::path& estimation_filepath, bool read_stale_estimates);
205 : virtual ~CBlockPolicyEstimator();
206 :
207 : /** Process all the transactions that have been included in a block */
208 : void processBlock(const std::vector<RemovedMempoolTransactionInfo>& txs_removed_for_block,
209 : unsigned int nBlockHeight)
210 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
211 :
212 : /** Process a transaction accepted to the mempool*/
213 : void processTransaction(const NewMempoolTransactionInfo& tx)
214 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
215 :
216 : /** Remove a transaction from the mempool tracking stats for non BLOCK removal reasons*/
217 : bool removeTx(Txid hash)
218 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
219 :
220 : /** DEPRECATED. Return a feerate estimate */
221 : CFeeRate estimateFee(int confTarget) const
222 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
223 :
224 : /** Estimate feerate needed to get be included in a block within confTarget
225 : * blocks. If no answer can be given at confTarget, return an estimate at
226 : * the closest target where one can be given. 'conservative' estimates are
227 : * valid over longer time horizons also.
228 : */
229 : virtual CFeeRate estimateSmartFee(int confTarget, FeeCalculation *feeCalc, bool conservative) const
230 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
231 :
232 : /** Return a specific fee estimate calculation with a given success
233 : * threshold and time horizon, and optionally return detailed data about
234 : * calculation
235 : */
236 : CFeeRate estimateRawFee(int confTarget, double successThreshold, FeeEstimateHorizon horizon,
237 : EstimationResult* result = nullptr) const
238 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
239 :
240 : /** Write estimation data to a file */
241 : bool Write(AutoFile& fileout) const
242 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
243 :
244 : /** Read estimation data from a file */
245 : bool Read(AutoFile& filein)
246 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
247 :
248 : /** Empty mempool transactions on shutdown to record failure to confirm for txs still in mempool */
249 : void FlushUnconfirmed()
250 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
251 :
252 : /** Calculation of highest target that estimates are tracked for */
253 : virtual unsigned int HighestTargetTracked(FeeEstimateHorizon horizon) const
254 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
255 :
256 : /** Drop still unconfirmed transactions and record current estimations, if the fee estimation file is present. */
257 : void Flush()
258 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
259 :
260 : /** Record current fee estimations. */
261 : void FlushFeeEstimates()
262 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
263 :
264 : /** Calculates the age of the file, since last modified */
265 : std::chrono::hours GetFeeEstimatorFileAge();
266 :
267 : protected:
268 : /** Overridden from CValidationInterface. */
269 : void TransactionAddedToMempool(const NewMempoolTransactionInfo& tx, uint64_t /*unused*/) override
270 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
271 : void TransactionRemovedFromMempool(const CTransactionRef& tx, MemPoolRemovalReason /*unused*/, uint64_t /*unused*/) override
272 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
273 : void MempoolTransactionsRemovedForBlock(const std::vector<RemovedMempoolTransactionInfo>& txs_removed_for_block, unsigned int nBlockHeight) override
274 : EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
275 :
276 : private:
277 : mutable Mutex m_cs_fee_estimator;
278 :
279 : unsigned int nBestSeenHeight GUARDED_BY(m_cs_fee_estimator){0};
280 : unsigned int firstRecordedHeight GUARDED_BY(m_cs_fee_estimator){0};
281 : unsigned int historicalFirst GUARDED_BY(m_cs_fee_estimator){0};
282 : unsigned int historicalBest GUARDED_BY(m_cs_fee_estimator){0};
283 :
284 : struct TxStatsInfo
285 : {
286 : unsigned int blockHeight{0};
287 : unsigned int bucketIndex{0};
288 44073 : TxStatsInfo() = default;
289 : };
290 :
291 : // map of txids to information about that transaction
292 : std::map<Txid, TxStatsInfo> mapMemPoolTxs GUARDED_BY(m_cs_fee_estimator);
293 :
294 : /** Classes to track historical data on transaction confirmations */
295 : std::unique_ptr<TxConfirmStats> feeStats PT_GUARDED_BY(m_cs_fee_estimator);
296 : std::unique_ptr<TxConfirmStats> shortStats PT_GUARDED_BY(m_cs_fee_estimator);
297 : std::unique_ptr<TxConfirmStats> longStats PT_GUARDED_BY(m_cs_fee_estimator);
298 :
299 : unsigned int trackedTxs GUARDED_BY(m_cs_fee_estimator){0};
300 : unsigned int untrackedTxs GUARDED_BY(m_cs_fee_estimator){0};
301 :
302 : std::vector<double> buckets GUARDED_BY(m_cs_fee_estimator); // The upper-bound of the range for the bucket (inclusive)
303 : std::map<double, unsigned int> bucketMap GUARDED_BY(m_cs_fee_estimator); // Map of bucket upper-bound to index into all vectors by bucket
304 :
305 : /** Process a transaction confirmed in a block*/
306 : bool processBlockTx(unsigned int nBlockHeight, const RemovedMempoolTransactionInfo& tx) EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
307 :
308 : /** Helper for estimateSmartFee */
309 : double estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon, EstimationResult *result) const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
310 : /** Helper for estimateSmartFee */
311 : double estimateConservativeFee(unsigned int doubleTarget, EstimationResult *result) const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
312 : /** Number of blocks of data recorded while fee estimates have been running */
313 : unsigned int BlockSpan() const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
314 : /** Number of blocks of recorded fee estimate data represented in saved data file */
315 : unsigned int HistoricalBlockSpan() const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
316 : /** Calculation of highest target that reasonable estimate can be provided for */
317 : unsigned int MaxUsableEstimate() const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
318 :
319 : /** A non-thread-safe helper for the removeTx function */
320 : bool _removeTx(const Txid& hash, bool inBlock)
321 : EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
322 : };
323 :
324 1 : class FeeFilterRounder
325 : {
326 : private:
327 : static constexpr double MAX_FILTER_FEERATE = 1e7;
328 : /** FEE_FILTER_SPACING is just used to provide some quantization of fee
329 : * filter results. Historically it reused FEE_SPACING, but it is completely
330 : * unrelated, and was made a separate constant so the two concepts are not
331 : * tied together */
332 : static constexpr double FEE_FILTER_SPACING = 1.1;
333 :
334 : public:
335 : /** Create new FeeFilterRounder */
336 : explicit FeeFilterRounder(const CFeeRate& min_incremental_fee, FastRandomContext& rng);
337 :
338 : /** Quantize a minimum fee for privacy purpose before broadcast. */
339 : CAmount round(CAmount currentMinFee) EXCLUSIVE_LOCKS_REQUIRED(!m_insecure_rand_mutex);
340 :
341 : private:
342 : const std::set<double> m_fee_set;
343 : Mutex m_insecure_rand_mutex;
344 : FastRandomContext& insecure_rand GUARDED_BY(m_insecure_rand_mutex);
345 : };
346 :
347 : #endif // BITCOIN_POLICY_FEES_BLOCK_POLICY_ESTIMATOR_H
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