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Change file format for fee estimates.

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Move buckets and bucketMap to be stored as part of overall serialization of estimator.
Add some placeholder data so file format is only changed once.
Maintain 3 different TxConfirmStats with potential for different decays and scales.
This commit is contained in:
Alex Morcos 2017-02-23 15:13:41 -05:00
parent 14c948987f
commit c0a273f4c8
2 changed files with 160 additions and 81 deletions
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236
src/policy/fees.cpp
View File

@ -26,8 +26,8 @@ class TxConfirmStats
{
private:
//Define the buckets we will group transactions into
std::vector<double> buckets; // The upper-bound of the range for the bucket (inclusive)
std::map<double, unsigned int> bucketMap; // Map of bucket upper-bound to index into all vectors by bucket
const std::vector<double>& buckets; // The upper-bound of the range for the bucket (inclusive)
const std::map<double, unsigned int>& bucketMap; // Map of bucket upper-bound to index into all vectors by bucket
// For each bucket X:
// Count the total # of txs in each bucket
@ -38,9 +38,11 @@ private:
// Count the total # of txs confirmed within Y blocks in each bucket
// Track the historical moving average of theses totals over blocks
std::vector<std::vector<double> > confAvg; // confAvg[Y][X]
std::vector<std::vector<double>> confAvg; // confAvg[Y][X]
// and calculate the totals for the current block to update the moving averages
std::vector<std::vector<int> > curBlockConf; // curBlockConf[Y][X]
std::vector<std::vector<int>> curBlockConf; // curBlockConf[Y][X]
std::vector<std::vector<double>> failAvg; // future use
// Sum the total feerate of all tx's in each bucket
// Track the historical moving average of this total over blocks
@ -53,6 +55,8 @@ private:
double decay;
unsigned int scale;
// Mempool counts of outstanding transactions
// For each bucket X, track the number of transactions in the mempool
// that are unconfirmed for each possible confirmation value Y
@ -60,6 +64,8 @@ private:
// transactions still unconfirmed after MAX_CONFIRMS for each bucket
std::vector<int> oldUnconfTxs;
void resizeInMemoryCounters(size_t newbuckets);
public:
/**
* Create new TxConfirmStats. This is called by BlockPolicyEstimator's
@ -68,7 +74,8 @@ public:
* @param maxConfirms max number of confirms to track
* @param decay how much to decay the historical moving average per block
*/
TxConfirmStats(const std::vector<double>& defaultBuckets, unsigned int maxConfirms, double decay);
TxConfirmStats(const std::vector<double>& defaultBuckets, const std::map<double, unsigned int>& defaultBucketMap,
unsigned int maxConfirms, double decay);
/** Clear the state of the curBlock variables to start counting for the new block */
void ClearCurrent(unsigned int nBlockHeight);
@ -116,32 +123,39 @@ public:
* Read saved state of estimation data from a file and replace all internal data structures and
* variables with this state.
*/
void Read(CAutoFile& filein);
void Read(CAutoFile& filein, int nFileVersion, size_t numBuckets);
};
TxConfirmStats::TxConfirmStats(const std::vector<double>& defaultBuckets,
const std::map<double, unsigned int>& defaultBucketMap,
unsigned int maxConfirms, double _decay)
: buckets(defaultBuckets), bucketMap(defaultBucketMap)
{
decay = _decay;
for (unsigned int i = 0; i < defaultBuckets.size(); i++) {
buckets.push_back(defaultBuckets[i]);
bucketMap[defaultBuckets[i]] = i;
}
scale = 1;
confAvg.resize(maxConfirms);
curBlockConf.resize(maxConfirms);
unconfTxs.resize(maxConfirms);
for (unsigned int i = 0; i < maxConfirms; i++) {
confAvg[i].resize(buckets.size());
curBlockConf[i].resize(buckets.size());
unconfTxs[i].resize(buckets.size());
}
oldUnconfTxs.resize(buckets.size());
curBlockTxCt.resize(buckets.size());
txCtAvg.resize(buckets.size());
curBlockVal.resize(buckets.size());
avg.resize(buckets.size());
resizeInMemoryCounters(buckets.size());
}
void TxConfirmStats::resizeInMemoryCounters(size_t newbuckets) {
curBlockConf.resize(GetMaxConfirms());
// newbuckets must be passed in because the buckets referred to during Read have not been updated yet.
unconfTxs.resize(GetMaxConfirms());
for (unsigned int i = 0; i < unconfTxs.size(); i++) {
curBlockConf[i].resize(newbuckets);
unconfTxs[i].resize(newbuckets);
}
oldUnconfTxs.resize(newbuckets);
curBlockTxCt.resize(newbuckets);
curBlockVal.resize(newbuckets);
}
// Zero out the data for the current block
@ -283,70 +297,55 @@ double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal,
void TxConfirmStats::Write(CAutoFile& fileout) const
{
fileout << decay;
fileout << buckets;
fileout << scale;
fileout << avg;
fileout << txCtAvg;
fileout << confAvg;
fileout << failAvg;
}
void TxConfirmStats::Read(CAutoFile& filein)
void TxConfirmStats::Read(CAutoFile& filein, int nFileVersion, size_t numBuckets)
{
// Read data file into temporary variables and do some very basic sanity checking
std::vector<double> fileBuckets;
std::vector<double> fileAvg;
std::vector<std::vector<double> > fileConfAvg;
std::vector<double> fileTxCtAvg;
double fileDecay;
// Read data file and do some very basic sanity checking
// buckets and bucketMap are not updated yet, so don't access them
// If there is a read failure, we'll just discard this entire object anyway
size_t maxConfirms;
size_t numBuckets;
filein >> fileDecay;
if (fileDecay <= 0 || fileDecay >= 1)
throw std::runtime_error("Corrupt estimates file. Decay must be between 0 and 1 (non-inclusive)");
filein >> fileBuckets;
numBuckets = fileBuckets.size();
if (numBuckets <= 1 || numBuckets > 1000)
throw std::runtime_error("Corrupt estimates file. Must have between 2 and 1000 feerate buckets");
filein >> fileAvg;
if (fileAvg.size() != numBuckets)
throw std::runtime_error("Corrupt estimates file. Mismatch in feerate average bucket count");
filein >> fileTxCtAvg;
if (fileTxCtAvg.size() != numBuckets)
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");
for (unsigned int i = 0; i < maxConfirms; i++) {
if (fileConfAvg[i].size() != numBuckets)
throw std::runtime_error("Corrupt estimates file. Mismatch in feerate conf average bucket count");
// The current version will store the decay with each individual TxConfirmStats and also keep a scale factor
if (nFileVersion >= 149900) {
filein >> decay;
if (decay <= 0 || decay >= 1) {
throw std::runtime_error("Corrupt estimates file. Decay must be between 0 and 1 (non-inclusive)");
}
filein >> scale; //Unused for now
}
filein >> avg;
if (avg.size() != numBuckets) {
throw std::runtime_error("Corrupt estimates file. Mismatch in feerate average bucket count");
}
filein >> txCtAvg;
if (txCtAvg.size() != numBuckets) {
throw std::runtime_error("Corrupt estimates file. Mismatch in tx count bucket count");
}
filein >> confAvg;
maxConfirms = confAvg.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");
}
for (unsigned int i = 0; i < maxConfirms; i++) {
if (confAvg[i].size() != numBuckets) {
throw std::runtime_error("Corrupt estimates file. Mismatch in feerate conf average bucket count");
}
}
if (nFileVersion >= 149900) {
filein >> failAvg;
}
// Now that we've processed the entire feerate estimate data file and not
// thrown any errors, we can copy it to our data structures
decay = fileDecay;
buckets = fileBuckets;
avg = fileAvg;
confAvg = fileConfAvg;
txCtAvg = fileTxCtAvg;
bucketMap.clear();
// Resize the current block variables which aren't stored in the data file
// to match the number of confirms and buckets
curBlockConf.resize(maxConfirms);
for (unsigned int i = 0; i < maxConfirms; i++) {
curBlockConf[i].resize(buckets.size());
}
curBlockTxCt.resize(buckets.size());
curBlockVal.resize(buckets.size());
unconfTxs.resize(maxConfirms);
for (unsigned int i = 0; i < maxConfirms; i++) {
unconfTxs[i].resize(buckets.size());
}
oldUnconfTxs.resize(buckets.size());
for (unsigned int i = 0; i < buckets.size(); i++)
bucketMap[buckets[i]] = i;
resizeInMemoryCounters(numBuckets);
LogPrint(BCLog::ESTIMATEFEE, "Reading estimates: %u buckets counting confirms up to %u blocks\n",
numBuckets, maxConfirms);
@ -413,17 +412,25 @@ CBlockPolicyEstimator::CBlockPolicyEstimator()
{
static_assert(MIN_BUCKET_FEERATE > 0, "Min feerate must be nonzero");
minTrackedFee = CFeeRate(MIN_BUCKET_FEERATE);
std::vector<double> vfeelist;
for (double bucketBoundary = minTrackedFee.GetFeePerK(); bucketBoundary <= MAX_BUCKET_FEERATE; bucketBoundary *= FEE_SPACING) {
vfeelist.push_back(bucketBoundary);
size_t bucketIndex = 0;
for (double bucketBoundary = minTrackedFee.GetFeePerK(); bucketBoundary <= MAX_BUCKET_FEERATE; bucketBoundary *= FEE_SPACING, bucketIndex++) {
buckets.push_back(bucketBoundary);
bucketMap[bucketBoundary] = bucketIndex;
}
vfeelist.push_back(INF_FEERATE);
feeStats = new TxConfirmStats(vfeelist, MAX_BLOCK_CONFIRMS, DEFAULT_DECAY);
buckets.push_back(INF_FEERATE);
bucketMap[INF_FEERATE] = bucketIndex;
assert(bucketMap.size() == buckets.size());
feeStats = new TxConfirmStats(buckets, bucketMap, MAX_BLOCK_CONFIRMS, DEFAULT_DECAY);
shortStats = new TxConfirmStats(buckets, bucketMap, MAX_BLOCK_CONFIRMS, DEFAULT_DECAY);
longStats = new TxConfirmStats(buckets, bucketMap, MAX_BLOCK_CONFIRMS, DEFAULT_DECAY);
}
CBlockPolicyEstimator::~CBlockPolicyEstimator()
{
delete feeStats;
delete shortStats;
delete longStats;
}
void CBlockPolicyEstimator::processTransaction(const CTxMemPoolEntry& entry, bool validFeeEstimate)
@ -580,10 +587,15 @@ bool CBlockPolicyEstimator::Write(CAutoFile& fileout) const
{
try {
LOCK(cs_feeEstimator);
fileout << 139900; // version required to read: 0.13.99 or later
fileout << 149900; // version required to read: 0.14.99 or later
fileout << CLIENT_VERSION; // version that wrote the file
fileout << nBestSeenHeight;
unsigned int future1 = 0, future2 = 0;
fileout << future1 << future2;
fileout << buckets;
feeStats->Write(fileout);
shortStats->Write(fileout);
longStats->Write(fileout);
}
catch (const std::exception&) {
LogPrintf("CBlockPolicyEstimator::Write(): unable to read policy estimator data (non-fatal)\n");
@ -596,17 +608,79 @@ bool CBlockPolicyEstimator::Read(CAutoFile& filein)
{
try {
LOCK(cs_feeEstimator);
int nVersionRequired, nVersionThatWrote, nFileBestSeenHeight;
int nVersionRequired, nVersionThatWrote;
unsigned int nFileBestSeenHeight;
filein >> nVersionRequired >> nVersionThatWrote;
if (nVersionRequired > CLIENT_VERSION)
return error("CBlockPolicyEstimator::Read(): up-version (%d) fee estimate file", nVersionRequired);
// Read fee estimates file into temporary variables so existing data
// structures aren't corrupted if there is an exception.
filein >> nFileBestSeenHeight;
feeStats->Read(filein);
nBestSeenHeight = nFileBestSeenHeight;
// if nVersionThatWrote < 139900 then another TxConfirmStats (for priority) follows but can be ignored.
if (nVersionThatWrote < 149900) {
// Read the old fee estimates file for temporary use, but then discard. Will start collecting data from scratch.
// decay is stored before buckets in old versions, so pre-read decay and pass into TxConfirmStats constructor
double tempDecay;
filein >> tempDecay;
if (tempDecay <= 0 || tempDecay >= 1)
throw std::runtime_error("Corrupt estimates file. Decay must be between 0 and 1 (non-inclusive)");
std::vector<double> tempBuckets;
filein >> tempBuckets;
size_t tempNum = tempBuckets.size();
if (tempNum <= 1 || tempNum > 1000)
throw std::runtime_error("Corrupt estimates file. Must have between 2 and 1000 feerate buckets");
std::map<double, unsigned int> tempMap;
std::unique_ptr<TxConfirmStats> tempFeeStats(new TxConfirmStats(tempBuckets, tempMap, MAX_BLOCK_CONFIRMS, tempDecay));
tempFeeStats->Read(filein, nVersionThatWrote, tempNum);
// if nVersionThatWrote < 139900 then another TxConfirmStats (for priority) follows but can be ignored.
tempMap.clear();
for (unsigned int i = 0; i < tempBuckets.size(); i++) {
tempMap[tempBuckets[i]] = i;
}
}
else { // nVersionThatWrote >= 149900
unsigned int future1, future2;
filein >> future1 >> future2;
std::vector<double> fileBuckets;
filein >> fileBuckets;
size_t numBuckets = fileBuckets.size();
if (numBuckets <= 1 || numBuckets > 1000)
throw std::runtime_error("Corrupt estimates file. Must have between 2 and 1000 feerate buckets");
std::unique_ptr<TxConfirmStats> fileFeeStats(new TxConfirmStats(buckets, bucketMap, MAX_BLOCK_CONFIRMS, DEFAULT_DECAY));
std::unique_ptr<TxConfirmStats> fileShortStats(new TxConfirmStats(buckets, bucketMap, MAX_BLOCK_CONFIRMS, DEFAULT_DECAY));
std::unique_ptr<TxConfirmStats> fileLongStats(new TxConfirmStats(buckets, bucketMap, MAX_BLOCK_CONFIRMS, DEFAULT_DECAY));
fileFeeStats->Read(filein, nVersionThatWrote, numBuckets);
fileShortStats->Read(filein, nVersionThatWrote, numBuckets);
fileLongStats->Read(filein, nVersionThatWrote, numBuckets);
// Fee estimates file parsed correctly
// Copy buckets from file and refresh our bucketmap
buckets = fileBuckets;
bucketMap.clear();
for (unsigned int i = 0; i < buckets.size(); i++) {
bucketMap[buckets[i]] = i;
}
// Destroy old TxConfirmStats and point to new ones that already reference buckets and bucketMap
delete feeStats;
delete shortStats;
delete longStats;
feeStats = fileFeeStats.release();
shortStats = fileShortStats.release();
longStats = fileLongStats.release();
nBestSeenHeight = nFileBestSeenHeight;
}
}
catch (const std::exception&) {
LogPrintf("CBlockPolicyEstimator::Read(): unable to read policy estimator data (non-fatal)\n");
catch (const std::exception& e) {
LogPrintf("CBlockPolicyEstimator::Read(): unable to read policy estimator data (non-fatal): %s\n",e.what());
return false;
}
return true;

5
src/policy/fees.h
View File

@ -141,10 +141,15 @@ private:
/** Classes to track historical data on transaction confirmations */
TxConfirmStats* feeStats;
TxConfirmStats* shortStats;
TxConfirmStats* longStats;
unsigned int trackedTxs;
unsigned int untrackedTxs;
std::vector<double> buckets; // The upper-bound of the range for the bucket (inclusive)
std::map<double, unsigned int> bucketMap; // Map of bucket upper-bound to index into all vectors by bucket
mutable CCriticalSection cs_feeEstimator;
/** Process a transaction confirmed in a block*/