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CBlockPolicyEstimator Class Reference

#include <fees.h>

Classes

struct  TxStatsInfo
 

Public Member Functions

 CBlockPolicyEstimator ()
 
 ~CBlockPolicyEstimator ()
 
void processBlock (unsigned int nBlockHeight, std::vector< const CTxMemPoolEntry * > &entries)
 
void processTransaction (const CTxMemPoolEntry &entry, bool validFeeEstimate)
 
bool removeTx (uint256 hash, bool inBlock)
 
CFeeRate estimateFee (int confTarget) const
 
CFeeRate estimateSmartFee (int confTarget, FeeCalculation *feeCalc, bool conservative) const
 
CFeeRate estimateRawFee (int confTarget, double successThreshold, FeeEstimateHorizon horizon, EstimationResult *result=nullptr) const
 
bool Write (CAutoFile &fileout) const
 
bool Read (CAutoFile &filein)
 
void FlushUnconfirmed ()
 
unsigned int HighestTargetTracked (FeeEstimateHorizon horizon) const
 

Private Member Functions

unsigned int nBestSeenHeight GUARDED_BY (m_cs_fee_estimator)
 
unsigned int firstRecordedHeight GUARDED_BY (m_cs_fee_estimator)
 
unsigned int historicalFirst GUARDED_BY (m_cs_fee_estimator)
 
unsigned int historicalBest GUARDED_BY (m_cs_fee_estimator)
 
std::map< uint256, TxStatsInfo > mapMemPoolTxs GUARDED_BY (m_cs_fee_estimator)
 
std::unique_ptr< TxConfirmStats > feeStats PT_GUARDED_BY (m_cs_fee_estimator)
 
std::unique_ptr< TxConfirmStats > shortStats PT_GUARDED_BY (m_cs_fee_estimator)
 
std::unique_ptr< TxConfirmStats > longStats PT_GUARDED_BY (m_cs_fee_estimator)
 
unsigned int trackedTxs GUARDED_BY (m_cs_fee_estimator)
 
unsigned int untrackedTxs GUARDED_BY (m_cs_fee_estimator)
 
std::vector< double > buckets GUARDED_BY (m_cs_fee_estimator)
 
std::map< double, unsigned int > bucketMap GUARDED_BY (m_cs_fee_estimator)
 
bool processBlockTx (unsigned int nBlockHeight, const CTxMemPoolEntry *entry) EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator)
 
double estimateCombinedFee (unsigned int confTarget, double successThreshold, bool checkShorterHorizon, EstimationResult *result) const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator)
 
double estimateConservativeFee (unsigned int doubleTarget, EstimationResult *result) const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator)
 
unsigned int BlockSpan () const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator)
 
unsigned int HistoricalBlockSpan () const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator)
 
unsigned int MaxUsableEstimate () const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator)
 

Private Attributes

CCriticalSection m_cs_fee_estimator
 

Static Private Attributes

static constexpr unsigned int SHORT_BLOCK_PERIODS = 12
 
static constexpr unsigned int SHORT_SCALE = 1
 
static constexpr unsigned int MED_BLOCK_PERIODS = 24
 
static constexpr unsigned int MED_SCALE = 2
 
static constexpr unsigned int LONG_BLOCK_PERIODS = 42
 
static constexpr unsigned int LONG_SCALE = 24
 
static const unsigned int OLDEST_ESTIMATE_HISTORY = 6 * 1008
 
static constexpr double SHORT_DECAY = .962
 
static constexpr double MED_DECAY = .9952
 
static constexpr double LONG_DECAY = .99931
 
static constexpr double HALF_SUCCESS_PCT = .6
 
static constexpr double SUCCESS_PCT = .85
 
static constexpr double DOUBLE_SUCCESS_PCT = .95
 
static constexpr double SUFFICIENT_FEETXS = 0.1
 
static constexpr double SUFFICIENT_TXS_SHORT = 0.5
 
static constexpr double MIN_BUCKET_FEERATE = 1000
 
static constexpr double MAX_BUCKET_FEERATE = 1e7
 
static constexpr double FEE_SPACING = 1.05
 

Detailed Description

The BlockPolicyEstimator is used for estimating the feerate needed for a transaction to be included in a block within a certain number of blocks.

At a high level the algorithm works by grouping transactions into buckets based on having similar feerates and then tracking how long it takes transactions in the various buckets to be mined. It operates under the assumption that in general transactions of higher feerate will be included in blocks before transactions of lower feerate. So for example if you wanted to know what feerate you should put on a transaction to be included in a block within the next 5 blocks, you would start by looking at the bucket with the highest feerate transactions and verifying that a sufficiently high percentage of them were confirmed within 5 blocks and then you would look at the next highest feerate bucket, and so on, stopping at the last bucket to pass the test. The average feerate of transactions in this bucket will give you an indication of the lowest feerate you can put on a transaction and still have a sufficiently high chance of being confirmed 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. 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 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 successfully 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.

We want to be able to estimate feerates that are needed on tx's to be included in a certain number of blocks. Every time a block is added to the best chain, this class records stats on the transactions included in that block

Constructor & Destructor Documentation

◆ CBlockPolicyEstimator()

CBlockPolicyEstimator::CBlockPolicyEstimator ( )

Create new BlockPolicyEstimator and initialize stats tracking classes with default values

◆ ~CBlockPolicyEstimator()

CBlockPolicyEstimator::~CBlockPolicyEstimator ( )

Member Function Documentation

◆ BlockSpan()

unsigned int CBlockPolicyEstimator::BlockSpan ( ) const
private

Number of blocks of data recorded while fee estimates have been running

◆ estimateCombinedFee()

double CBlockPolicyEstimator::estimateCombinedFee ( unsigned int  confTarget,
double  successThreshold,
bool  checkShorterHorizon,
EstimationResult *  result 
) const
private

Helper for estimateSmartFee

Return a fee estimate at the required successThreshold from the shortest time horizon which tracks confirmations up to the desired target. If checkShorterHorizon is requested, also allow short time horizon estimates for a lower target to reduce the given answer

◆ estimateConservativeFee()

double CBlockPolicyEstimator::estimateConservativeFee ( unsigned int  doubleTarget,
EstimationResult *  result 
) const
private

Helper for estimateSmartFee

Ensure that for a conservative estimate, the DOUBLE_SUCCESS_PCT is also met at 2 * target for any longer time horizons.

◆ estimateFee()

CFeeRate CBlockPolicyEstimator::estimateFee ( int  confTarget) const

DEPRECATED. Return a feerate estimate

◆ estimateRawFee()

CFeeRate CBlockPolicyEstimator::estimateRawFee ( int  confTarget,
double  successThreshold,
FeeEstimateHorizon  horizon,
EstimationResult *  result = nullptr 
) const

Return a specific fee estimate calculation with a given success threshold and time horizon, and optionally return detailed data about calculation

◆ estimateSmartFee()

CFeeRate CBlockPolicyEstimator::estimateSmartFee ( int  confTarget,
FeeCalculation *  feeCalc,
bool  conservative 
) 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 closest target where one can be given. 'conservative' estimates are valid over longer time horizons also.

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.

true is passed to estimateCombined fee for target/2 and target so that we check the max confirms for shorter time horizons as well. This is necessary to preserve monotonically increasing estimates. For non-conservative estimates we do the same thing for 2*target, but for conservative estimates we want to skip these shorter horizons checks for 2*target because we are taking the max over all time horizons so we already have monotonically increasing estimates and the purpose of conservative estimates is not to let short term fluctuations lower our estimates by too much.

◆ FlushUnconfirmed()

void CBlockPolicyEstimator::FlushUnconfirmed ( )

Empty mempool transactions on shutdown to record failure to confirm for txs still in mempool

◆ GUARDED_BY() [1/9]

unsigned int nBestSeenHeight CBlockPolicyEstimator::GUARDED_BY ( m_cs_fee_estimator  )
private

◆ GUARDED_BY() [2/9]

unsigned int firstRecordedHeight CBlockPolicyEstimator::GUARDED_BY ( m_cs_fee_estimator  )
private

◆ GUARDED_BY() [3/9]

unsigned int historicalFirst CBlockPolicyEstimator::GUARDED_BY ( m_cs_fee_estimator  )
private

◆ GUARDED_BY() [4/9]

unsigned int historicalBest CBlockPolicyEstimator::GUARDED_BY ( m_cs_fee_estimator  )
private

◆ GUARDED_BY() [5/9]

std::map<uint256, TxStatsInfo> mapMemPoolTxs CBlockPolicyEstimator::GUARDED_BY ( m_cs_fee_estimator  )
private

◆ GUARDED_BY() [6/9]

unsigned int trackedTxs CBlockPolicyEstimator::GUARDED_BY ( m_cs_fee_estimator  )
private

◆ GUARDED_BY() [7/9]

unsigned int untrackedTxs CBlockPolicyEstimator::GUARDED_BY ( m_cs_fee_estimator  )
private

◆ GUARDED_BY() [8/9]

std::vector<double> buckets CBlockPolicyEstimator::GUARDED_BY ( m_cs_fee_estimator  )
private

◆ GUARDED_BY() [9/9]

std::map<double, unsigned int> bucketMap CBlockPolicyEstimator::GUARDED_BY ( m_cs_fee_estimator  )
private

◆ HighestTargetTracked()

unsigned int CBlockPolicyEstimator::HighestTargetTracked ( FeeEstimateHorizon  horizon) const

Calculation of highest target that estimates are tracked for

◆ HistoricalBlockSpan()

unsigned int CBlockPolicyEstimator::HistoricalBlockSpan ( ) const
private

Number of blocks of recorded fee estimate data represented in saved data file

◆ MaxUsableEstimate()

unsigned int CBlockPolicyEstimator::MaxUsableEstimate ( ) const
private

Calculation of highest target that reasonable estimate can be provided for

◆ processBlock()

void CBlockPolicyEstimator::processBlock ( unsigned int  nBlockHeight,
std::vector< const CTxMemPoolEntry * > &  entries 
)

Process all the transactions that have been included in a block

◆ processBlockTx()

bool CBlockPolicyEstimator::processBlockTx ( unsigned int  nBlockHeight,
const CTxMemPoolEntry *  entry 
)
private

Process a transaction confirmed in a block

◆ processTransaction()

void CBlockPolicyEstimator::processTransaction ( const CTxMemPoolEntry &  entry,
bool  validFeeEstimate 
)

Process a transaction accepted to the mempool

◆ PT_GUARDED_BY() [1/3]

std::unique_ptr<TxConfirmStats> feeStats CBlockPolicyEstimator::PT_GUARDED_BY ( m_cs_fee_estimator  )
private

Classes to track historical data on transaction confirmations

◆ PT_GUARDED_BY() [2/3]

std::unique_ptr<TxConfirmStats> shortStats CBlockPolicyEstimator::PT_GUARDED_BY ( m_cs_fee_estimator  )
private

◆ PT_GUARDED_BY() [3/3]

std::unique_ptr<TxConfirmStats> longStats CBlockPolicyEstimator::PT_GUARDED_BY ( m_cs_fee_estimator  )
private

◆ Read()

bool CBlockPolicyEstimator::Read ( CAutoFile &  filein)

Read estimation data from a file

◆ removeTx()

bool CBlockPolicyEstimator::removeTx ( uint256  hash,
bool  inBlock 
)

Remove a transaction from the mempool tracking stats

◆ Write()

bool CBlockPolicyEstimator::Write ( CAutoFile &  fileout) const

Write estimation data to a file

Member Data Documentation

◆ DOUBLE_SUCCESS_PCT

constexpr double CBlockPolicyEstimator::DOUBLE_SUCCESS_PCT = .95
staticprivate

Require greater than 95% of X feerate transactions to be confirmed within 2 * Y blocks

◆ FEE_SPACING

constexpr double CBlockPolicyEstimator::FEE_SPACING = 1.05
staticprivate

Spacing of FeeRate buckets We have to lump transactions into buckets based on feerate, but we want to be able to give accurate estimates over a large range of potential feerates Therefore it makes sense to exponentially space the buckets

◆ HALF_SUCCESS_PCT

constexpr double CBlockPolicyEstimator::HALF_SUCCESS_PCT = .6
staticprivate

Require greater than 60% of X feerate transactions to be confirmed within Y/2 blocks

◆ LONG_BLOCK_PERIODS

constexpr unsigned int CBlockPolicyEstimator::LONG_BLOCK_PERIODS = 42
staticprivate

Track confirm delays up to 1008 blocks for long horizon

◆ LONG_DECAY

constexpr double CBlockPolicyEstimator::LONG_DECAY = .99931
staticprivate

Decay of .9995 is a half-life of 1008 blocks or about 1 week

◆ LONG_SCALE

constexpr unsigned int CBlockPolicyEstimator::LONG_SCALE = 24
staticprivate

◆ m_cs_fee_estimator

CCriticalSection CBlockPolicyEstimator::m_cs_fee_estimator
mutableprivate

◆ MAX_BUCKET_FEERATE

constexpr double CBlockPolicyEstimator::MAX_BUCKET_FEERATE = 1e7
staticprivate

◆ MED_BLOCK_PERIODS

constexpr unsigned int CBlockPolicyEstimator::MED_BLOCK_PERIODS = 24
staticprivate

Track confirm delays up to 48 blocks for medium horizon

◆ MED_DECAY

constexpr double CBlockPolicyEstimator::MED_DECAY = .9952
staticprivate

Decay of .998 is a half-life of 144 blocks or about 1 day

◆ MED_SCALE

constexpr unsigned int CBlockPolicyEstimator::MED_SCALE = 2
staticprivate

◆ MIN_BUCKET_FEERATE

constexpr double CBlockPolicyEstimator::MIN_BUCKET_FEERATE = 1000
staticprivate

Minimum and Maximum values for tracking feerates The MIN_BUCKET_FEERATE should just be set to the lowest reasonable feerate we might ever want to track. Historically this has been 1000 since it was inheriting DEFAULT_MIN_RELAY_TX_FEE and changing it is disruptive as it invalidates old estimates files. So leave it at 1000 unless it becomes necessary to lower it, and then lower it substantially.

◆ OLDEST_ESTIMATE_HISTORY

const unsigned int CBlockPolicyEstimator::OLDEST_ESTIMATE_HISTORY = 6 * 1008
staticprivate

Historical estimates that are older than this aren't valid

◆ SHORT_BLOCK_PERIODS

constexpr unsigned int CBlockPolicyEstimator::SHORT_BLOCK_PERIODS = 12
staticprivate

Track confirm delays up to 12 blocks for short horizon

◆ SHORT_DECAY

constexpr double CBlockPolicyEstimator::SHORT_DECAY = .962
staticprivate

Decay of .962 is a half-life of 18 blocks or about 3 hours

◆ SHORT_SCALE

constexpr unsigned int CBlockPolicyEstimator::SHORT_SCALE = 1
staticprivate

◆ SUCCESS_PCT

constexpr double CBlockPolicyEstimator::SUCCESS_PCT = .85
staticprivate

Require greater than 85% of X feerate transactions to be confirmed within Y blocks

◆ SUFFICIENT_FEETXS

constexpr double CBlockPolicyEstimator::SUFFICIENT_FEETXS = 0.1
staticprivate

Require an avg of 0.1 tx in the combined feerate bucket per block to have stat significance

◆ SUFFICIENT_TXS_SHORT

constexpr double CBlockPolicyEstimator::SUFFICIENT_TXS_SHORT = 0.5
staticprivate

Require an avg of 0.5 tx when using short decay since there are fewer blocks considered

The documentation for this class was generated from the following files:
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