// Copyright (c) 2016 The btcsuite developers // Use of this source code is governed by an ISC // license that can be found in the LICENSE file. package mempool import ( "bytes" "encoding/binary" "errors" "fmt" "io" "math" "math/rand" "sort" "strings" "sync" "github.com/roasbeef/btcd/chaincfg/chainhash" "github.com/roasbeef/btcd/mining" "github.com/roasbeef/btcutil" ) // TODO incorporate Alex Morcos' modifications to Gavin's initial model // https://lists.linuxfoundation.org/pipermail/bitcoin-dev/2014-October/006824.html const ( // estimateFeeDepth is the maximum number of blocks before a transaction // is confirmed that we want to track. estimateFeeDepth = 25 // estimateFeeBinSize is the number of txs stored in each bin. estimateFeeBinSize = 100 // estimateFeeMaxReplacements is the max number of replacements that // can be made by the txs found in a given block. estimateFeeMaxReplacements = 10 // DefaultEstimateFeeMaxRollback is the default number of rollbacks // allowed by the fee estimator for orphaned blocks. DefaultEstimateFeeMaxRollback = 2 // DefaultEstimateFeeMinRegisteredBlocks is the default minimum // number of blocks which must be observed by the fee estimator before // it will provide fee estimations. DefaultEstimateFeeMinRegisteredBlocks = 3 bytePerKb = 1000 btcPerSatoshi = 1E-8 ) var ( // EstimateFeeDatabaseKey is the key that we use to // store the fee estimator in the database. EstimateFeeDatabaseKey = []byte("estimatefee") ) // SatoshiPerByte is number with units of satoshis per byte. type SatoshiPerByte float64 // BtcPerKilobyte is number with units of bitcoins per kilobyte. type BtcPerKilobyte float64 // ToBtcPerKb returns a float value that represents the given // SatoshiPerByte converted to satoshis per kb. func (rate SatoshiPerByte) ToBtcPerKb() BtcPerKilobyte { // If our rate is the error value, return that. if rate == SatoshiPerByte(-1.0) { return -1.0 } return BtcPerKilobyte(float64(rate) * bytePerKb * btcPerSatoshi) } // Fee returns the fee for a transaction of a given size for // the given fee rate. func (rate SatoshiPerByte) Fee(size uint32) btcutil.Amount { // If our rate is the error value, return that. if rate == SatoshiPerByte(-1) { return btcutil.Amount(-1) } return btcutil.Amount(float64(rate) * float64(size)) } // NewSatoshiPerByte creates a SatoshiPerByte from an Amount and a // size in bytes. func NewSatoshiPerByte(fee btcutil.Amount, size uint32) SatoshiPerByte { return SatoshiPerByte(float64(fee) / float64(size)) } // observedTransaction represents an observed transaction and some // additional data required for the fee estimation algorithm. type observedTransaction struct { // A transaction hash. hash chainhash.Hash // The fee per byte of the transaction in satoshis. feeRate SatoshiPerByte // The block height when it was observed. observed int32 // The height of the block in which it was mined. // If the transaction has not yet been mined, it is zero. mined int32 } func (o *observedTransaction) Serialize(w io.Writer) { binary.Write(w, binary.BigEndian, o.hash) binary.Write(w, binary.BigEndian, o.feeRate) binary.Write(w, binary.BigEndian, o.observed) binary.Write(w, binary.BigEndian, o.mined) } func deserializeObservedTransaction(r io.Reader) (*observedTransaction, error) { ot := observedTransaction{} // The first 32 bytes should be a hash. binary.Read(r, binary.BigEndian, &ot.hash) // The next 8 are SatoshiPerByte binary.Read(r, binary.BigEndian, &ot.feeRate) // And next there are two uint32's. binary.Read(r, binary.BigEndian, &ot.observed) binary.Read(r, binary.BigEndian, &ot.mined) return &ot, nil } // registeredBlock has the hash of a block and the list of transactions // it mined which had been previously observed by the FeeEstimator. It // is used if Rollback is called to reverse the effect of registering // a block. type registeredBlock struct { hash chainhash.Hash transactions []*observedTransaction } func (rb *registeredBlock) serialize(w io.Writer, txs map[*observedTransaction]uint32) { binary.Write(w, binary.BigEndian, rb.hash) binary.Write(w, binary.BigEndian, uint32(len(rb.transactions))) for _, o := range rb.transactions { binary.Write(w, binary.BigEndian, txs[o]) } } // FeeEstimator manages the data necessary to create // fee estimations. It is safe for concurrent access. type FeeEstimator struct { maxRollback uint32 binSize int32 // The maximum number of replacements that can be made in a single // bin per block. Default is estimateFeeMaxReplacements maxReplacements int32 // The minimum number of blocks that can be registered with the fee // estimator before it will provide answers. minRegisteredBlocks uint32 // The last known height. lastKnownHeight int32 // The number of blocks that have been registered. numBlocksRegistered uint32 mtx sync.RWMutex observed map[chainhash.Hash]*observedTransaction bin [estimateFeeDepth][]*observedTransaction // The cached estimates. cached []SatoshiPerByte // Transactions that have been removed from the bins. This allows us to // revert in case of an orphaned block. dropped []*registeredBlock } // NewFeeEstimator creates a FeeEstimator for which at most maxRollback blocks // can be unregistered and which returns an error unless minRegisteredBlocks // have been registered with it. func NewFeeEstimator(maxRollback, minRegisteredBlocks uint32) *FeeEstimator { return &FeeEstimator{ maxRollback: maxRollback, minRegisteredBlocks: minRegisteredBlocks, lastKnownHeight: mining.UnminedHeight, binSize: estimateFeeBinSize, maxReplacements: estimateFeeMaxReplacements, observed: make(map[chainhash.Hash]*observedTransaction), dropped: make([]*registeredBlock, 0, maxRollback), } } // ObserveTransaction is called when a new transaction is observed in the mempool. func (ef *FeeEstimator) ObserveTransaction(t *TxDesc) { ef.mtx.Lock() defer ef.mtx.Unlock() // If we haven't seen a block yet we don't know when this one arrived, // so we ignore it. if ef.lastKnownHeight == mining.UnminedHeight { return } hash := *t.Tx.Hash() if _, ok := ef.observed[hash]; !ok { size := uint32(GetTxVirtualSize(t.Tx)) ef.observed[hash] = &observedTransaction{ hash: hash, feeRate: NewSatoshiPerByte(btcutil.Amount(t.Fee), size), observed: t.Height, mined: mining.UnminedHeight, } } } // RegisterBlock informs the fee estimator of a new block to take into account. func (ef *FeeEstimator) RegisterBlock(block *btcutil.Block) error { ef.mtx.Lock() defer ef.mtx.Unlock() // The previous sorted list is invalid, so delete it. ef.cached = nil height := block.Height() if height != ef.lastKnownHeight+1 && ef.lastKnownHeight != mining.UnminedHeight { return fmt.Errorf("intermediate block not recorded; current height is %d; new height is %d", ef.lastKnownHeight, height) } // Update the last known height. ef.lastKnownHeight = height ef.numBlocksRegistered++ // Randomly order txs in block. transactions := make(map[*btcutil.Tx]struct{}) for _, t := range block.Transactions() { transactions[t] = struct{}{} } // Count the number of replacements we make per bin so that we don't // replace too many. var replacementCounts [estimateFeeDepth]int // Keep track of which txs were dropped in case of an orphan block. dropped := ®isteredBlock{ hash: *block.Hash(), transactions: make([]*observedTransaction, 0, 100), } // Go through the txs in the block. for t := range transactions { hash := *t.Hash() // Have we observed this tx in the mempool? o, ok := ef.observed[hash] if !ok { continue } // Put the observed tx in the oppropriate bin. blocksToConfirm := height - o.observed - 1 // This shouldn't happen if the fee estimator works correctly, // but return an error if it does. if o.mined != mining.UnminedHeight { log.Error("Estimate fee: transaction ", hash.String(), " has already been mined") return errors.New("Transaction has already been mined") } // This shouldn't happen but check just in case to avoid // an out-of-bounds array index later. if blocksToConfirm >= estimateFeeDepth { continue } // Make sure we do not replace too many transactions per min. if replacementCounts[blocksToConfirm] == int(ef.maxReplacements) { continue } o.mined = height replacementCounts[blocksToConfirm]++ bin := ef.bin[blocksToConfirm] // Remove a random element and replace it with this new tx. if len(bin) == int(ef.binSize) { // Don't drop transactions we have just added from this same block. l := int(ef.binSize) - replacementCounts[blocksToConfirm] drop := rand.Intn(l) dropped.transactions = append(dropped.transactions, bin[drop]) bin[drop] = bin[l-1] bin[l-1] = o } else { bin = append(bin, o) } ef.bin[blocksToConfirm] = bin } // Go through the mempool for txs that have been in too long. for hash, o := range ef.observed { if o.mined == mining.UnminedHeight && height-o.observed >= estimateFeeDepth { delete(ef.observed, hash) } } // Add dropped list to history. if ef.maxRollback == 0 { return nil } if uint32(len(ef.dropped)) == ef.maxRollback { ef.dropped = append(ef.dropped[1:], dropped) } else { ef.dropped = append(ef.dropped, dropped) } return nil } // LastKnownHeight returns the height of the last block which was registered. func (ef *FeeEstimator) LastKnownHeight() int32 { ef.mtx.Lock() defer ef.mtx.Unlock() return ef.lastKnownHeight } // Rollback unregisters a recently registered block from the FeeEstimator. // This can be used to reverse the effect of an orphaned block on the fee // estimator. The maximum number of rollbacks allowed is given by // maxRollbacks. // // Note: not everything can be rolled back because some transactions are // deleted if they have been observed too long ago. That means the result // of Rollback won't always be exactly the same as if the last block had not // happened, but it should be close enough. func (ef *FeeEstimator) Rollback(hash *chainhash.Hash) error { ef.mtx.Lock() defer ef.mtx.Unlock() // Find this block in the stack of recent registered blocks. var n int for n = 1; n <= len(ef.dropped); n++ { if ef.dropped[len(ef.dropped)-n].hash.IsEqual(hash) { break } } if n > len(ef.dropped) { return errors.New("no such block was recently registered") } for i := 0; i < n; i++ { ef.rollback() } return nil } // rollback rolls back the effect of the last block in the stack // of registered blocks. func (ef *FeeEstimator) rollback() { // The previous sorted list is invalid, so delete it. ef.cached = nil // pop the last list of dropped txs from the stack. last := len(ef.dropped) - 1 if last == -1 { // Cannot really happen because the exported calling function // only rolls back a block already known to be in the list // of dropped transactions. return } dropped := ef.dropped[last] // where we are in each bin as we replace txs? var replacementCounters [estimateFeeDepth]int // Go through the txs in the dropped block. for _, o := range dropped.transactions { // Which bin was this tx in? blocksToConfirm := o.mined - o.observed - 1 bin := ef.bin[blocksToConfirm] var counter = replacementCounters[blocksToConfirm] // Continue to go through that bin where we left off. for { if counter >= len(bin) { // Panic, as we have entered an unrecoverable invalid state. panic(errors.New("illegal state: cannot rollback dropped transaction")) } prev := bin[counter] if prev.mined == ef.lastKnownHeight { prev.mined = mining.UnminedHeight bin[counter] = o counter++ break } counter++ } replacementCounters[blocksToConfirm] = counter } // Continue going through bins to find other txs to remove // which did not replace any other when they were entered. for i, j := range replacementCounters { for { l := len(ef.bin[i]) if j >= l { break } prev := ef.bin[i][j] if prev.mined == ef.lastKnownHeight { prev.mined = mining.UnminedHeight newBin := append(ef.bin[i][0:j], ef.bin[i][j+1:l]...) // TODO This line should prevent an unintentional memory // leak but it causes a panic when it is uncommented. // ef.bin[i][j] = nil ef.bin[i] = newBin continue } j++ } } ef.dropped = ef.dropped[0:last] // The number of blocks the fee estimator has seen is decrimented. ef.numBlocksRegistered-- ef.lastKnownHeight-- } // estimateFeeSet is a set of txs that can that is sorted // by the fee per kb rate. type estimateFeeSet struct { feeRate []SatoshiPerByte bin [estimateFeeDepth]uint32 } func (b *estimateFeeSet) Len() int { return len(b.feeRate) } func (b *estimateFeeSet) Less(i, j int) bool { return b.feeRate[i] > b.feeRate[j] } func (b *estimateFeeSet) Swap(i, j int) { b.feeRate[i], b.feeRate[j] = b.feeRate[j], b.feeRate[i] } // estimateFee returns the estimated fee for a transaction // to confirm in confirmations blocks from now, given // the data set we have collected. func (b *estimateFeeSet) estimateFee(confirmations int) SatoshiPerByte { if confirmations <= 0 { return SatoshiPerByte(math.Inf(1)) } if confirmations > estimateFeeDepth { return 0 } // We don't have any transactions! if len(b.feeRate) == 0 { return 0 } var min, max int = 0, 0 for i := 0; i < confirmations-1; i++ { min += int(b.bin[i]) } max = min + int(b.bin[confirmations-1]) - 1 if max < min { max = min } feeIndex := (min + max) / 2 if feeIndex >= len(b.feeRate) { feeIndex = len(b.feeRate) - 1 } return b.feeRate[feeIndex] } // newEstimateFeeSet creates a temporary data structure that // can be used to find all fee estimates. func (ef *FeeEstimator) newEstimateFeeSet() *estimateFeeSet { set := &estimateFeeSet{} capacity := 0 for i, b := range ef.bin { l := len(b) set.bin[i] = uint32(l) capacity += l } set.feeRate = make([]SatoshiPerByte, capacity) i := 0 for _, b := range ef.bin { for _, o := range b { set.feeRate[i] = o.feeRate i++ } } sort.Sort(set) return set } // estimates returns the set of all fee estimates from 1 to estimateFeeDepth // confirmations from now. func (ef *FeeEstimator) estimates() []SatoshiPerByte { set := ef.newEstimateFeeSet() estimates := make([]SatoshiPerByte, estimateFeeDepth) for i := 0; i < estimateFeeDepth; i++ { estimates[i] = set.estimateFee(i + 1) } return estimates } // EstimateFee estimates the fee per byte to have a tx confirmed a given // number of blocks from now. func (ef *FeeEstimator) EstimateFee(numBlocks uint32) (BtcPerKilobyte, error) { ef.mtx.Lock() defer ef.mtx.Unlock() // If the number of registered blocks is below the minimum, return // an error. if ef.numBlocksRegistered < ef.minRegisteredBlocks { return -1, errors.New("not enough blocks have been observed") } if numBlocks == 0 { return -1, errors.New("cannot confirm transaction in zero blocks") } if numBlocks > estimateFeeDepth { return -1, fmt.Errorf( "can only estimate fees for up to %d blocks from now", estimateFeeBinSize) } // If there are no cached results, generate them. if ef.cached == nil { ef.cached = ef.estimates() } return ef.cached[int(numBlocks)-1].ToBtcPerKb(), nil } // In case the format for the serialized version of the FeeEstimator changes, // we use a version number. If the version number changes, it does not make // sense to try to upgrade a previous version to a new version. Instead, just // start fee estimation over. const estimateFeeSaveVersion = 1 func deserializeRegisteredBlock(r io.Reader, txs map[uint32]*observedTransaction) (*registeredBlock, error) { var lenTransactions uint32 rb := ®isteredBlock{} binary.Read(r, binary.BigEndian, &rb.hash) binary.Read(r, binary.BigEndian, &lenTransactions) rb.transactions = make([]*observedTransaction, lenTransactions) for i := uint32(0); i < lenTransactions; i++ { var index uint32 binary.Read(r, binary.BigEndian, &index) rb.transactions[i] = txs[index] } return rb, nil } // FeeEstimatorState represents a saved FeeEstimator that can be // restored with data from an earlier session of the program. type FeeEstimatorState []byte // observedTxSet is a set of txs that can that is sorted // by hash. It exists for serialization purposes so that // a serialized state always comes out the same. type observedTxSet []*observedTransaction func (q observedTxSet) Len() int { return len(q) } func (q observedTxSet) Less(i, j int) bool { return strings.Compare(q[i].hash.String(), q[j].hash.String()) < 0 } func (q observedTxSet) Swap(i, j int) { q[i], q[j] = q[j], q[i] } // Save records the current state of the FeeEstimator to a []byte that // can be restored later. func (ef *FeeEstimator) Save() FeeEstimatorState { ef.mtx.Lock() defer ef.mtx.Unlock() // TODO figure out what the capacity should be. w := bytes.NewBuffer(make([]byte, 0)) binary.Write(w, binary.BigEndian, uint32(estimateFeeSaveVersion)) // Insert basic parameters. binary.Write(w, binary.BigEndian, &ef.maxRollback) binary.Write(w, binary.BigEndian, &ef.binSize) binary.Write(w, binary.BigEndian, &ef.maxReplacements) binary.Write(w, binary.BigEndian, &ef.minRegisteredBlocks) binary.Write(w, binary.BigEndian, &ef.lastKnownHeight) binary.Write(w, binary.BigEndian, &ef.numBlocksRegistered) // Put all the observed transactions in a sorted list. var txCount uint32 ots := make([]*observedTransaction, len(ef.observed)) for hash := range ef.observed { ots[txCount] = ef.observed[hash] txCount++ } sort.Sort(observedTxSet(ots)) txCount = 0 observed := make(map[*observedTransaction]uint32) binary.Write(w, binary.BigEndian, uint32(len(ef.observed))) for _, ot := range ots { ot.Serialize(w) observed[ot] = txCount txCount++ } // Save all the right bins. for _, list := range ef.bin { binary.Write(w, binary.BigEndian, uint32(len(list))) for _, o := range list { binary.Write(w, binary.BigEndian, observed[o]) } } // Dropped transactions. binary.Write(w, binary.BigEndian, uint32(len(ef.dropped))) for _, registered := range ef.dropped { registered.serialize(w, observed) } // Commit the tx and return. return FeeEstimatorState(w.Bytes()) } // RestoreFeeEstimator takes a FeeEstimatorState that was previously // returned by Save and restores it to a FeeEstimator func RestoreFeeEstimator(data FeeEstimatorState) (*FeeEstimator, error) { r := bytes.NewReader([]byte(data)) // Check version var version uint32 err := binary.Read(r, binary.BigEndian, &version) if err != nil { return nil, err } if version != estimateFeeSaveVersion { return nil, fmt.Errorf("Incorrect version: expected %d found %d", estimateFeeSaveVersion, version) } ef := &FeeEstimator{ observed: make(map[chainhash.Hash]*observedTransaction), } // Read basic parameters. binary.Read(r, binary.BigEndian, &ef.maxRollback) binary.Read(r, binary.BigEndian, &ef.binSize) binary.Read(r, binary.BigEndian, &ef.maxReplacements) binary.Read(r, binary.BigEndian, &ef.minRegisteredBlocks) binary.Read(r, binary.BigEndian, &ef.lastKnownHeight) binary.Read(r, binary.BigEndian, &ef.numBlocksRegistered) // Read transactions. var numObserved uint32 observed := make(map[uint32]*observedTransaction) binary.Read(r, binary.BigEndian, &numObserved) for i := uint32(0); i < numObserved; i++ { ot, err := deserializeObservedTransaction(r) if err != nil { return nil, err } observed[i] = ot ef.observed[ot.hash] = ot } // Read bins. for i := 0; i < estimateFeeDepth; i++ { var numTransactions uint32 binary.Read(r, binary.BigEndian, &numTransactions) bin := make([]*observedTransaction, numTransactions) for j := uint32(0); j < numTransactions; j++ { var index uint32 binary.Read(r, binary.BigEndian, &index) var exists bool bin[j], exists = observed[index] if !exists { return nil, fmt.Errorf("Invalid transaction reference %d", index) } } ef.bin[i] = bin } // Read dropped transactions. var numDropped uint32 binary.Read(r, binary.BigEndian, &numDropped) ef.dropped = make([]*registeredBlock, numDropped) for i := uint32(0); i < numDropped; i++ { var err error ef.dropped[int(i)], err = deserializeRegisteredBlock(r, observed) if err != nil { return nil, err } } return ef, nil }