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Comments and improved documentation

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This commit is contained in:
Alex Morcos 2017-04-12 12:29:03 -04:00
parent ef589f8d40
commit 2d2e17052c
3 changed files with 56 additions and 28 deletions
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10
src/policy/fees.cpp
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@ -729,6 +729,9 @@ double CBlockPolicyEstimator::estimateCombinedFee(unsigned int confTarget, doubl
return estimate;
}
/** Ensure that for a conservative estimate, the DOUBLE_SUCCESS_PCT is also met
* at 2 * target for any longer time horizons.
*/
double CBlockPolicyEstimator::estimateConservativeFee(unsigned int doubleTarget) const
{
double estimate = -1;
@ -744,6 +747,13 @@ double CBlockPolicyEstimator::estimateConservativeFee(unsigned int doubleTarget)
return estimate;
}
/** estimateSmartFee returns the max of the feerates calculated with a 60%
* threshold required at target / 2, an 85% threshold required at target and a
* 95% threshold required at 2 * target. Each calculation is performed at the
* shortest time horizon which tracks the required target. Conservative
* estimates, however, required the 95% threshold at 2 * target be met for any
* longer time horizons also.
*/
CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool, bool conservative) const
{
if (answerFoundAtTarget)

72
src/policy/fees.h
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@ -41,32 +41,39 @@ class TxConfirmStats;
* 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.
* 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 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 successfullly 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.
*/
/* Identifier for each of the 3 different TxConfirmStats which will track
* history over different time horizons. */
enum FeeEstimateHorizon {
SHORT_HALFLIFE = 0,
MED_HALFLIFE = 1,
LONG_HALFLIFE = 2
};
/* Used to return detailed information about a feerate bucket */
struct EstimatorBucket
{
double start = -1;
@ -77,6 +84,7 @@ struct EstimatorBucket
double leftMempool = 0;
};
/* Used to return detailed information about a fee estimate calculation */
struct EstimationResult
{
EstimatorBucket pass;
@ -93,13 +101,13 @@ struct EstimationResult
class CBlockPolicyEstimator
{
private:
/** Track confirm delays up to 12 blocks medium decay */
/** 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 medium decay */
/** 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 longer decay */
/** 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 */
@ -112,9 +120,11 @@ private:
/** 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 */
/** 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 */
@ -154,16 +164,19 @@ public:
/** Remove a transaction from the mempool tracking stats*/
bool removeTx(uint256 hash, bool inBlock);
/** Return a feerate estimate */
/** 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 lowest target where one can be given.
/** 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, int *answerFoundAtTarget, const CTxMemPool& pool, bool conservative = true) const;
/** Return a specific fee estimate calculation with a given success threshold and time horizon.
/** 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;
@ -208,10 +221,15 @@ private:
/** Process a transaction confirmed in a block*/
bool processBlockTx(unsigned int nBlockHeight, const CTxMemPoolEntry* entry);
/** Helper for estimateSmartFee */
double estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon) const;
/** Helper for estimateSmartFee */
double estimateConservativeFee(unsigned int doubleTarget) const;
/** Number of blocks of data recorded while fee estimates have been running */
unsigned int BlockSpan() const;
/** Number of blocks of recorded fee estimate data represented in saved data file */
unsigned int HistoricalBlockSpan() const;
/** Calculation of highest target that reasonable estimate can be provided for */
unsigned int MaxUsableEstimate() const;
};

2
src/rpc/mining.cpp
View File

@ -797,6 +797,7 @@ UniValue estimatefee(const JSONRPCRequest& request)
if (request.fHelp || request.params.size() != 1)
throw std::runtime_error(
"estimatefee nblocks\n"
"\nDEPRECATED. Please use estimatesmartfee for more intelligent estimates."
"\nEstimates the approximate fee per kilobyte needed for a transaction to begin\n"
"confirmation within nblocks blocks. Uses virtual transaction size of transaction\n"
"as defined in BIP 141 (witness data is discounted).\n"
@ -831,7 +832,6 @@ UniValue estimatesmartfee(const JSONRPCRequest& request)
if (request.fHelp || request.params.size() < 1 || request.params.size() > 2)
throw std::runtime_error(
"estimatesmartfee nblocks (conservative)\n"
"\nWARNING: This interface is unstable and may disappear or change!\n"
"\nEstimates the approximate fee per kilobyte needed for a transaction to begin\n"
"confirmation within nblocks blocks if possible and return the number of blocks\n"
"for which the estimate is valid. Uses virtual transaction size as defined\n"