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Track failures in fee estimation. 

Start tracking transactions which fail to confirm within the target and are then evicted or otherwise leave mempool.

Fix slight error in unit test.
0.15
Alex Morcos 8 years ago
parent
4186d3fdfd
commit
c7447ec303
6 changed files with 72 additions and 20 deletions
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  1. 1
      src/init.cpp
  2. 72
      src/policy/fees.cpp
  3. 6
      src/policy/fees.h
  4. 3
      src/rpc/mining.cpp
  5. 8
      src/test/policyestimator_tests.cpp
  6. 2
      src/txmempool.cpp

1
src/init.cpp
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@ -213,6 +213,7 @@ void Shutdown()
if (fFeeEstimatesInitialized) if (fFeeEstimatesInitialized)
{ {
::feeEstimator.FlushUnconfirmed(::mempool);
fs::path est_path = GetDataDir() / FEE_ESTIMATES_FILENAME; fs::path est_path = GetDataDir() / FEE_ESTIMATES_FILENAME;
CAutoFile est_fileout(fsbridge::fopen(est_path, "wb"), SER_DISK, CLIENT_VERSION); CAutoFile est_fileout(fsbridge::fopen(est_path, "wb"), SER_DISK, CLIENT_VERSION);
if (!est_fileout.IsNull()) if (!est_fileout.IsNull())

72
src/policy/fees.cpp
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@ -40,7 +40,9 @@ private:
// Track the historical moving average of theses totals over blocks // 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]
std::vector<std::vector<double>> failAvg; // future use // Track moving avg of txs which have been evicted from the mempool
// after failing to be confirmed within Y blocks
std::vector<std::vector<double>> failAvg; // failAvg[Y][X]
// Sum the total feerate of all tx's in each bucket // Sum the total feerate of all tx's in each bucket
// Track the historical moving average of this total over blocks // Track the historical moving average of this total over blocks
@ -89,7 +91,7 @@ public:
/** Remove a transaction from mempool tracking stats*/ /** Remove a transaction from mempool tracking stats*/
void removeTx(unsigned int entryHeight, unsigned int nBestSeenHeight, void removeTx(unsigned int entryHeight, unsigned int nBestSeenHeight,
unsigned int bucketIndex); unsigned int bucketIndex, bool inBlock);
/** Update our estimates by decaying our historical moving average and updating /** Update our estimates by decaying our historical moving average and updating
with the data gathered from the current block */ with the data gathered from the current block */
@ -135,6 +137,10 @@ TxConfirmStats::TxConfirmStats(const std::vector<double>& defaultBuckets,
for (unsigned int i = 0; i < maxConfirms; i++) { for (unsigned int i = 0; i < maxConfirms; i++) {
confAvg[i].resize(buckets.size()); confAvg[i].resize(buckets.size());
} }
failAvg.resize(maxConfirms);
for (unsigned int i = 0; i < maxConfirms; i++) {
failAvg[i].resize(buckets.size());
}
txCtAvg.resize(buckets.size()); txCtAvg.resize(buckets.size());
avg.resize(buckets.size()); avg.resize(buckets.size());
@ -179,6 +185,8 @@ void TxConfirmStats::UpdateMovingAverages()
for (unsigned int j = 0; j < buckets.size(); j++) { for (unsigned int j = 0; j < buckets.size(); j++) {
for (unsigned int i = 0; i < confAvg.size(); i++) for (unsigned int i = 0; i < confAvg.size(); i++)
confAvg[i][j] = confAvg[i][j] * decay; confAvg[i][j] = confAvg[i][j] * decay;
for (unsigned int i = 0; i < failAvg.size(); i++)
failAvg[i][j] = failAvg[i][j] * decay;
avg[j] = avg[j] * decay; avg[j] = avg[j] * decay;
txCtAvg[j] = txCtAvg[j] * decay; txCtAvg[j] = txCtAvg[j] * decay;
} }
@ -193,6 +201,7 @@ double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal,
double nConf = 0; // Number of tx's confirmed within the confTarget double nConf = 0; // Number of tx's confirmed within the confTarget
double totalNum = 0; // Total number of tx's that were ever confirmed double totalNum = 0; // Total number of tx's that were ever confirmed
int extraNum = 0; // Number of tx's still in mempool for confTarget or longer int extraNum = 0; // Number of tx's still in mempool for confTarget or longer
double failNum = 0; // Number of tx's that were never confirmed but removed from the mempool after confTarget
int maxbucketindex = buckets.size() - 1; int maxbucketindex = buckets.size() - 1;
@ -229,6 +238,7 @@ double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal,
curFarBucket = bucket; curFarBucket = bucket;
nConf += confAvg[confTarget - 1][bucket]; nConf += confAvg[confTarget - 1][bucket];
totalNum += txCtAvg[bucket]; totalNum += txCtAvg[bucket];
failNum += failAvg[confTarget - 1][bucket];
for (unsigned int confct = confTarget; confct < GetMaxConfirms(); confct++) for (unsigned int confct = confTarget; confct < GetMaxConfirms(); confct++)
extraNum += unconfTxs[(nBlockHeight - confct)%bins][bucket]; extraNum += unconfTxs[(nBlockHeight - confct)%bins][bucket];
extraNum += oldUnconfTxs[bucket]; extraNum += oldUnconfTxs[bucket];
@ -237,7 +247,7 @@ double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal,
// (Only count the confirmed data points, so that each confirmation count // (Only count the confirmed data points, so that each confirmation count
// will be looking at the same amount of data and same bucket breaks) // will be looking at the same amount of data and same bucket breaks)
if (totalNum >= sufficientTxVal / (1 - decay)) { if (totalNum >= sufficientTxVal / (1 - decay)) {
double curPct = nConf / (totalNum + extraNum); double curPct = nConf / (totalNum + failNum + extraNum);
// Check to see if we are no longer getting confirmed at the success rate // Check to see if we are no longer getting confirmed at the success rate
if ((requireGreater && curPct < successBreakPoint) || (!requireGreater && curPct > successBreakPoint)) { if ((requireGreater && curPct < successBreakPoint) || (!requireGreater && curPct > successBreakPoint)) {
@ -250,6 +260,7 @@ double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal,
failBucket.withinTarget = nConf; failBucket.withinTarget = nConf;
failBucket.totalConfirmed = totalNum; failBucket.totalConfirmed = totalNum;
failBucket.inMempool = extraNum; failBucket.inMempool = extraNum;
failBucket.leftMempool = failNum;
passing = false; passing = false;
} }
continue; continue;
@ -265,6 +276,8 @@ double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal,
passBucket.totalConfirmed = totalNum; passBucket.totalConfirmed = totalNum;
totalNum = 0; totalNum = 0;
passBucket.inMempool = extraNum; passBucket.inMempool = extraNum;
passBucket.leftMempool = failNum;
failNum = 0;
extraNum = 0; extraNum = 0;
bestNearBucket = curNearBucket; bestNearBucket = curNearBucket;
bestFarBucket = curFarBucket; bestFarBucket = curFarBucket;
@ -309,16 +322,17 @@ double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal,
failBucket.withinTarget = nConf; failBucket.withinTarget = nConf;
failBucket.totalConfirmed = totalNum; failBucket.totalConfirmed = totalNum;
failBucket.inMempool = extraNum; failBucket.inMempool = extraNum;
failBucket.leftMempool = failNum;
} }
LogPrint(BCLog::ESTIMATEFEE, "FeeEst: %d %s%.0f%% decay %.5f: need feerate: %g from (%g - %g) %.2f%% %.1f/(%.1f+%d mem) Fail: (%g - %g) %.2f%% %.1f/(%.1f+%d mem)\n", LogPrint(BCLog::ESTIMATEFEE, "FeeEst: %d %s%.0f%% decay %.5f: need feerate: %g from (%g - %g) %.2f%% %.1f/(%.1f+%d mem+%.1f out) Fail: (%g - %g) %.2f%% %.1f/(%.1f+%d mem+%.1f out)\n",
confTarget, requireGreater ? ">" : "<", 100.0 * successBreakPoint, decay, confTarget, requireGreater ? ">" : "<", 100.0 * successBreakPoint, decay,
median, passBucket.start, passBucket.end, median, passBucket.start, passBucket.end,
100 * passBucket.withinTarget / (passBucket.totalConfirmed + passBucket.inMempool), 100 * passBucket.withinTarget / (passBucket.totalConfirmed + passBucket.inMempool + passBucket.leftMempool),
passBucket.withinTarget, passBucket.totalConfirmed, passBucket.inMempool, passBucket.withinTarget, passBucket.totalConfirmed, passBucket.inMempool, passBucket.leftMempool,
failBucket.start, failBucket.end, failBucket.start, failBucket.end,
100 * failBucket.withinTarget / (failBucket.totalConfirmed + failBucket.inMempool), 100 * failBucket.withinTarget / (failBucket.totalConfirmed + failBucket.inMempool + failBucket.leftMempool),
failBucket.withinTarget, failBucket.totalConfirmed, failBucket.inMempool); failBucket.withinTarget, failBucket.totalConfirmed, failBucket.inMempool, failBucket.leftMempool);
if (result) { if (result) {
@ -376,6 +390,19 @@ void TxConfirmStats::Read(CAutoFile& filein, int nFileVersion, size_t numBuckets
if (nFileVersion >= 149900) { if (nFileVersion >= 149900) {
filein >> failAvg; filein >> failAvg;
if (maxConfirms != failAvg.size()) {
throw std::runtime_error("Corrupt estimates file. Mismatch in confirms tracked for failures");
}
for (unsigned int i = 0; i < maxConfirms; i++) {
if (failAvg[i].size() != numBuckets) {
throw std::runtime_error("Corrupt estimates file. Mismatch in one of failure average bucket counts");
}
}
} else {
failAvg.resize(confAvg.size());
for (unsigned int i = 0; i < failAvg.size(); i++) {
failAvg[i].resize(numBuckets);
}
} }
// Resize the current block variables which aren't stored in the data file // Resize the current block variables which aren't stored in the data file
@ -394,7 +421,7 @@ unsigned int TxConfirmStats::NewTx(unsigned int nBlockHeight, double val)
return bucketindex; return bucketindex;
} }
void TxConfirmStats::removeTx(unsigned int entryHeight, unsigned int nBestSeenHeight, unsigned int bucketindex) void TxConfirmStats::removeTx(unsigned int entryHeight, unsigned int nBestSeenHeight, unsigned int bucketindex, bool inBlock)
{ {
//nBestSeenHeight is not updated yet for the new block //nBestSeenHeight is not updated yet for the new block
int blocksAgo = nBestSeenHeight - entryHeight; int blocksAgo = nBestSeenHeight - entryHeight;
@ -422,6 +449,11 @@ void TxConfirmStats::removeTx(unsigned int entryHeight, unsigned int nBestSeenHe
blockIndex, bucketindex); blockIndex, bucketindex);
} }
} }
if (!inBlock && blocksAgo >= 1) {
for (size_t i = 0; i < blocksAgo && i < failAvg.size(); i++) {
failAvg[i][bucketindex]++;
}
}
} }
// This function is called from CTxMemPool::removeUnchecked to ensure // This function is called from CTxMemPool::removeUnchecked to ensure
@ -429,14 +461,14 @@ void TxConfirmStats::removeTx(unsigned int entryHeight, unsigned int nBestSeenHe
// tracked. Txs that were part of a block have already been removed in // tracked. Txs that were part of a block have already been removed in
// processBlockTx to ensure they are never double tracked, but it is // processBlockTx to ensure they are never double tracked, but it is
// of no harm to try to remove them again. // of no harm to try to remove them again.
bool CBlockPolicyEstimator::removeTx(uint256 hash) bool CBlockPolicyEstimator::removeTx(uint256 hash, bool inBlock)
{ {
LOCK(cs_feeEstimator); LOCK(cs_feeEstimator);
std::map<uint256, TxStatsInfo>::iterator pos = mapMemPoolTxs.find(hash); std::map<uint256, TxStatsInfo>::iterator pos = mapMemPoolTxs.find(hash);
if (pos != mapMemPoolTxs.end()) { if (pos != mapMemPoolTxs.end()) {
feeStats->removeTx(pos->second.blockHeight, nBestSeenHeight, pos->second.bucketIndex); feeStats->removeTx(pos->second.blockHeight, nBestSeenHeight, pos->second.bucketIndex, inBlock);
shortStats->removeTx(pos->second.blockHeight, nBestSeenHeight, pos->second.bucketIndex); shortStats->removeTx(pos->second.blockHeight, nBestSeenHeight, pos->second.bucketIndex, inBlock);
longStats->removeTx(pos->second.blockHeight, nBestSeenHeight, pos->second.bucketIndex); longStats->removeTx(pos->second.blockHeight, nBestSeenHeight, pos->second.bucketIndex, inBlock);
mapMemPoolTxs.erase(hash); mapMemPoolTxs.erase(hash);
return true; return true;
} else { } else {
@ -511,7 +543,7 @@ void CBlockPolicyEstimator::processTransaction(const CTxMemPoolEntry& entry, boo
bool CBlockPolicyEstimator::processBlockTx(unsigned int nBlockHeight, const CTxMemPoolEntry* entry) bool CBlockPolicyEstimator::processBlockTx(unsigned int nBlockHeight, const CTxMemPoolEntry* entry)
{ {
if (!removeTx(entry->GetTx().GetHash())) { if (!removeTx(entry->GetTx().GetHash(), true)) {
// This transaction wasn't being tracked for fee estimation // This transaction wasn't being tracked for fee estimation
return false; return false;
} }
@ -766,6 +798,18 @@ bool CBlockPolicyEstimator::Read(CAutoFile& filein)
return true; return true;
} }
void CBlockPolicyEstimator::FlushUnconfirmed(CTxMemPool& pool) {
int64_t startclear = GetTimeMicros();
std::vector<uint256> txids;
pool.queryHashes(txids);
LOCK(cs_feeEstimator);
for (auto& txid : txids) {
removeTx(txid, false);
}
int64_t endclear = GetTimeMicros();
LogPrint(BCLog::ESTIMATEFEE, "Recorded %u unconfirmed txs from mempool in %ld micros\n",txids.size(), endclear - startclear);
}
FeeFilterRounder::FeeFilterRounder(const CFeeRate& minIncrementalFee) FeeFilterRounder::FeeFilterRounder(const CFeeRate& minIncrementalFee)
{ {
CAmount minFeeLimit = std::max(CAmount(1), minIncrementalFee.GetFeePerK() / 2); CAmount minFeeLimit = std::max(CAmount(1), minIncrementalFee.GetFeePerK() / 2);

6
src/policy/fees.h
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@ -74,6 +74,7 @@ struct EstimatorBucket
double withinTarget = 0; double withinTarget = 0;
double totalConfirmed = 0; double totalConfirmed = 0;
double inMempool = 0; double inMempool = 0;
double leftMempool = 0;
}; };
struct EstimationResult struct EstimationResult
@ -145,7 +146,7 @@ public:
void processTransaction(const CTxMemPoolEntry& entry, bool validFeeEstimate); void processTransaction(const CTxMemPoolEntry& entry, bool validFeeEstimate);
/** Remove a transaction from the mempool tracking stats*/ /** Remove a transaction from the mempool tracking stats*/
bool removeTx(uint256 hash); bool removeTx(uint256 hash, bool inBlock);
/** Return a feerate estimate */ /** Return a feerate estimate */
CFeeRate estimateFee(int confTarget) const; CFeeRate estimateFee(int confTarget) const;
@ -166,6 +167,9 @@ public:
/** Read estimation data from a file */ /** Read estimation data from a file */
bool Read(CAutoFile& filein); bool Read(CAutoFile& filein);
/** Empty mempool transactions on shutdown to record failure to confirm for txs still in mempool */
void FlushUnconfirmed(CTxMemPool& pool);
private: private:
CFeeRate minTrackedFee; //!< Passed to constructor to avoid dependency on main CFeeRate minTrackedFee; //!< Passed to constructor to avoid dependency on main
unsigned int nBestSeenHeight; unsigned int nBestSeenHeight;

3
src/rpc/mining.cpp
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@ -893,6 +893,7 @@ UniValue estimaterawfee(const JSONRPCRequest& request)
" \"withintarget\" : x.x, (numeric) number of txs over history horizon in the feerate range that were confirmed within target\n" " \"withintarget\" : x.x, (numeric) number of txs over history horizon in the feerate range that were confirmed within target\n"
" \"totalconfirmed\" : x.x, (numeric) number of txs over history horizon in the feerate range that were confirmed at any point\n" " \"totalconfirmed\" : x.x, (numeric) number of txs over history horizon in the feerate range that were confirmed at any point\n"
" \"inmempool\" : x.x, (numeric) current number of txs in mempool in the feerate range unconfirmed for at least target blocks\n" " \"inmempool\" : x.x, (numeric) current number of txs in mempool in the feerate range unconfirmed for at least target blocks\n"
" \"leftmempool\" : x.x, (numeric) number of txs over history horizon in the feerate range that left mempool unconfirmed after target\n"
"}\n" "}\n"
"\n" "\n"
"A negative feerate is returned if no answer can be given.\n" "A negative feerate is returned if no answer can be given.\n"
@ -927,11 +928,13 @@ UniValue estimaterawfee(const JSONRPCRequest& request)
result.push_back(Pair("pass.withintarget", round(buckets.pass.withinTarget * 100.0) / 100.0)); result.push_back(Pair("pass.withintarget", round(buckets.pass.withinTarget * 100.0) / 100.0));
result.push_back(Pair("pass.totalconfirmed", round(buckets.pass.totalConfirmed * 100.0) / 100.0)); result.push_back(Pair("pass.totalconfirmed", round(buckets.pass.totalConfirmed * 100.0) / 100.0));
result.push_back(Pair("pass.inmempool", round(buckets.pass.inMempool * 100.0) / 100.0)); result.push_back(Pair("pass.inmempool", round(buckets.pass.inMempool * 100.0) / 100.0));
result.push_back(Pair("pass.leftmempool", round(buckets.pass.leftMempool * 100.0) / 100.0));
result.push_back(Pair("fail.startrange", round(buckets.fail.start))); result.push_back(Pair("fail.startrange", round(buckets.fail.start)));
result.push_back(Pair("fail.endrange", round(buckets.fail.end))); result.push_back(Pair("fail.endrange", round(buckets.fail.end)));
result.push_back(Pair("fail.withintarget", round(buckets.fail.withinTarget * 100.0) / 100.0)); result.push_back(Pair("fail.withintarget", round(buckets.fail.withinTarget * 100.0) / 100.0));
result.push_back(Pair("fail.totalconfirmed", round(buckets.fail.totalConfirmed * 100.0) / 100.0)); result.push_back(Pair("fail.totalconfirmed", round(buckets.fail.totalConfirmed * 100.0) / 100.0));
result.push_back(Pair("fail.inmempool", round(buckets.fail.inMempool * 100.0) / 100.0)); result.push_back(Pair("fail.inmempool", round(buckets.fail.inMempool * 100.0) / 100.0));
result.push_back(Pair("fail.leftmempool", round(buckets.fail.leftMempool * 100.0) / 100.0));
return result; return result;
} }

8
src/test/policyestimator_tests.cpp
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@ -159,16 +159,16 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
txHashes[j].pop_back(); txHashes[j].pop_back();
} }
} }
mpool.removeForBlock(block, 265); mpool.removeForBlock(block, 266);
block.clear(); block.clear();
BOOST_CHECK(feeEst.estimateFee(1) == CFeeRate(0)); BOOST_CHECK(feeEst.estimateFee(1) == CFeeRate(0));
for (int i = 2; i < 10;i++) { for (int i = 2; i < 10;i++) {
BOOST_CHECK(feeEst.estimateFee(i).GetFeePerK() > origFeeEst[i-1] - deltaFee); BOOST_CHECK(feeEst.estimateFee(i) == CFeeRate(0) || feeEst.estimateFee(i).GetFeePerK() > origFeeEst[i-1] - deltaFee);
} }
// Mine 200 more blocks where everything is mined every block // Mine 400 more blocks where everything is mined every block
// Estimates should be below original estimates // Estimates should be below original estimates
while (blocknum < 465) { while (blocknum < 665) {
for (int j = 0; j < 10; j++) { // For each fee multiple for (int j = 0; j < 10; j++) { // For each fee multiple
for (int k = 0; k < 4; k++) { // add 4 fee txs for (int k = 0; k < 4; k++) { // add 4 fee txs
tx.vin[0].prevout.n = 10000*blocknum+100*j+k; tx.vin[0].prevout.n = 10000*blocknum+100*j+k;

2
src/txmempool.cpp
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@ -448,7 +448,7 @@ void CTxMemPool::removeUnchecked(txiter it, MemPoolRemovalReason reason)
mapLinks.erase(it); mapLinks.erase(it);
mapTx.erase(it); mapTx.erase(it);
nTransactionsUpdated++; nTransactionsUpdated++;
if (minerPolicyEstimator) {minerPolicyEstimator->removeTx(hash);} if (minerPolicyEstimator) {minerPolicyEstimator->removeTx(hash, false);}
} }
// Calculates descendants of entry that are not already in setDescendants, and adds to // Calculates descendants of entry that are not already in setDescendants, and adds to

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