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@ -41,32 +41,39 @@ class TxConfirmStats;
@@ -41,32 +41,39 @@ class TxConfirmStats;
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* within your desired 5 blocks. |
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* |
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* Here is a brief description of the implementation: |
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* When a transaction enters the mempool, we |
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* track the height of the block chain at entry. Whenever a block comes in, |
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* we count the number of transactions in each bucket and the total amount of feerate |
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* paid in each bucket. Then we calculate how many blocks Y it took each |
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* transaction to be mined and we track an array of counters in each bucket |
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* for how long it to took transactions to get confirmed from 1 to a max of 25 |
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* and we increment all the counters from Y up to 25. This is because for any |
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* number Z>=Y the transaction was successfully mined within Z blocks. We |
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* want to save a history of this information, so at any time we have a |
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* counter of the total number of transactions that happened in a given feerate |
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* bucket and the total number that were confirmed in each number 1-25 blocks |
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* or less for any bucket. We save this history by keeping an exponentially |
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* decaying moving average of each one of these stats. Furthermore we also |
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* keep track of the number unmined (in mempool) transactions in each bucket |
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* and for how many blocks they have been outstanding and use that to increase |
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* the number of transactions we've seen in that feerate bucket when calculating |
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* an estimate for any number of confirmations below the number of blocks |
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* they've been outstanding. |
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* When a transaction enters the mempool, we track the height of the block chain |
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* at entry. All further calculations are conducted only on this set of "seen" |
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* transactions. Whenever a block comes in, we count the number of transactions |
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* in each bucket and the total amount of feerate paid in each bucket. Then we |
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* calculate how many blocks Y it took each transaction to be mined. We convert |
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* from a number of blocks to a number of periods Y' each encompassing "scale" |
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* blocks. This is is tracked in 3 different data sets each up to a maximum |
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* number of periods. Within each data set we have an array of counters in each |
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* feerate bucket and we increment all the counters from Y' up to max periods |
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* representing that a tx was successfullly confirmed in less than or equal to |
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* that many periods. We want to save a history of this information, so at any |
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* time we have a counter of the total number of transactions that happened in a |
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* given feerate bucket and the total number that were confirmed in each of the |
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* periods or less for any bucket. We save this history by keeping an |
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* exponentially decaying moving average of each one of these stats. This is |
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* done for a different decay in each of the 3 data sets to keep relevant data |
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* from different time horizons. Furthermore we also keep track of the number |
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* unmined (in mempool or left mempool without being included in a block) |
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* transactions in each bucket and for how many blocks they have been |
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* outstanding and use both of these numbers to increase the number of transactions |
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* we've seen in that feerate bucket when calculating an estimate for any number |
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* of confirmations below the number of blocks they've been outstanding. |
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*/ |
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/* Identifier for each of the 3 different TxConfirmStats which will track
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* history over different time horizons. */ |
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enum FeeEstimateHorizon { |
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SHORT_HALFLIFE = 0, |
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MED_HALFLIFE = 1, |
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LONG_HALFLIFE = 2 |
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}; |
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/* Used to return detailed information about a feerate bucket */ |
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struct EstimatorBucket |
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{ |
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double start = -1; |
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@ -77,6 +84,7 @@ struct EstimatorBucket
@@ -77,6 +84,7 @@ struct EstimatorBucket
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double leftMempool = 0; |
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}; |
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/* Used to return detailed information about a fee estimate calculation */ |
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struct EstimationResult |
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{ |
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EstimatorBucket pass; |
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@ -93,13 +101,13 @@ struct EstimationResult
@@ -93,13 +101,13 @@ struct EstimationResult
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class CBlockPolicyEstimator |
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{ |
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private: |
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/** Track confirm delays up to 12 blocks medium decay */ |
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/** Track confirm delays up to 12 blocks for short horizon */ |
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static constexpr unsigned int SHORT_BLOCK_PERIODS = 12; |
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static constexpr unsigned int SHORT_SCALE = 1; |
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/** Track confirm delays up to 48 blocks medium decay */ |
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/** Track confirm delays up to 48 blocks for medium horizon */ |
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static constexpr unsigned int MED_BLOCK_PERIODS = 24; |
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static constexpr unsigned int MED_SCALE = 2; |
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/** Track confirm delays up to 1008 blocks for longer decay */ |
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/** Track confirm delays up to 1008 blocks for long horizon */ |
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static constexpr unsigned int LONG_BLOCK_PERIODS = 42; |
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static constexpr unsigned int LONG_SCALE = 24; |
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/** Historical estimates that are older than this aren't valid */ |
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@ -112,9 +120,11 @@ private:
@@ -112,9 +120,11 @@ private:
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/** Decay of .9995 is a half-life of 1008 blocks or about 1 week */ |
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static constexpr double LONG_DECAY = .99931; |
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/** Require greater than 95% of X feerate transactions to be confirmed within Y blocks for X to be big enough */ |
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/** Require greater than 60% of X feerate transactions to be confirmed within Y/2 blocks*/ |
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static constexpr double HALF_SUCCESS_PCT = .6; |
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/** Require greater than 85% of X feerate transactions to be confirmed within Y blocks*/ |
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static constexpr double SUCCESS_PCT = .85; |
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/** Require greater than 95% of X feerate transactions to be confirmed within 2 * Y blocks*/ |
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static constexpr double DOUBLE_SUCCESS_PCT = .95; |
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/** Require an avg of 0.1 tx in the combined feerate bucket per block to have stat significance */ |
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@ -154,16 +164,19 @@ public:
@@ -154,16 +164,19 @@ public:
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/** Remove a transaction from the mempool tracking stats*/ |
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bool removeTx(uint256 hash, bool inBlock); |
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/** Return a feerate estimate */ |
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/** DEPRECATED. Return a feerate estimate */ |
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CFeeRate estimateFee(int confTarget) const; |
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/** Estimate feerate needed to get be included in a block within
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* confTarget blocks. If no answer can be given at confTarget, return an |
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* estimate at the lowest target where one can be given. |
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/** Estimate feerate needed to get be included in a block within confTarget
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* blocks. If no answer can be given at confTarget, return an estimate at |
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* the closest target where one can be given. 'conservative' estimates are |
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* valid over longer time horizons also. |
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*/ |
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CFeeRate estimateSmartFee(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool, bool conservative = true) const; |
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/** Return a specific fee estimate calculation with a given success threshold and time horizon.
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/** Return a specific fee estimate calculation with a given success
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* threshold and time horizon, and optionally return detailed data about |
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* calculation |
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*/ |
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CFeeRate estimateRawFee(int confTarget, double successThreshold, FeeEstimateHorizon horizon, EstimationResult *result = nullptr) const; |
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@ -208,10 +221,15 @@ private:
@@ -208,10 +221,15 @@ private:
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/** Process a transaction confirmed in a block*/ |
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bool processBlockTx(unsigned int nBlockHeight, const CTxMemPoolEntry* entry); |
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/** Helper for estimateSmartFee */ |
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double estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon) const; |
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/** Helper for estimateSmartFee */ |
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double estimateConservativeFee(unsigned int doubleTarget) const; |
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/** Number of blocks of data recorded while fee estimates have been running */ |
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unsigned int BlockSpan() const; |
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/** Number of blocks of recorded fee estimate data represented in saved data file */ |
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unsigned int HistoricalBlockSpan() const; |
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/** Calculation of highest target that reasonable estimate can be provided for */ |
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unsigned int MaxUsableEstimate() const; |
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}; |
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