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Output Fee Estimation Calculations in CreateTransaction

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This commit is contained in:
Alex Morcos 2017-04-25 15:39:32 -04:00
parent 9c248e39f2
commit 1bebfc8d3a
7 changed files with 134 additions and 44 deletions
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90
src/policy/fees.cpp
View file

@ -16,6 +16,26 @@
static constexpr double INF_FEERATE = 1e99;
std::string StringForFeeReason(FeeReason reason) {
static const std::map<FeeReason, std::string> fee_reason_strings = {
{FeeReason::NONE, "None"},
{FeeReason::HALF_ESTIMATE, "Half Target 60% Threshold"},
{FeeReason::FULL_ESTIMATE, "Target 85% Threshold"},
{FeeReason::DOUBLE_ESTIMATE, "Double Target 95% Threshold"},
{FeeReason::CONSERVATIVE, "Conservative Double Target longer horizon"},
{FeeReason::MEMPOOL_MIN, "Mempool Min Fee"},
{FeeReason::PAYTXFEE, "PayTxFee set"},
{FeeReason::FALLBACK, "Fallback fee"},
{FeeReason::REQUIRED, "Minimum Required Fee"},
{FeeReason::MAXTXFEE, "MaxTxFee limit"}
};
auto reason_string = fee_reason_strings.find(reason);
if (reason_string == fee_reason_strings.end()) return "Unknown";
return reason_string->second;
}
/**
* We will instantiate an instance of this class to track transactions that were
* included in a block. We will lump transactions into a bucket according to their
@ -698,31 +718,36 @@ unsigned int CBlockPolicyEstimator::MaxUsableEstimate() const
* 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 */
double CBlockPolicyEstimator::estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon) const
double CBlockPolicyEstimator::estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon, EstimationResult *result) const
{
double estimate = -1;
if (confTarget >= 1 && confTarget <= longStats->GetMaxConfirms()) {
// Find estimate from shortest time horizon possible
if (confTarget <= shortStats->GetMaxConfirms()) { // short horizon
estimate = shortStats->EstimateMedianVal(confTarget, SUFFICIENT_TXS_SHORT, successThreshold, true, nBestSeenHeight);
estimate = shortStats->EstimateMedianVal(confTarget, SUFFICIENT_TXS_SHORT, successThreshold, true, nBestSeenHeight, result);
}
else if (confTarget <= feeStats->GetMaxConfirms()) { // medium horizon
estimate = feeStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight);
estimate = feeStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight, result);
}
else { // long horizon
estimate = longStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight);
estimate = longStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight, result);
}
if (checkShorterHorizon) {
EstimationResult tempResult;
// If a lower confTarget from a more recent horizon returns a lower answer use it.
if (confTarget > feeStats->GetMaxConfirms()) {
double medMax = feeStats->EstimateMedianVal(feeStats->GetMaxConfirms(), SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight);
if (medMax > 0 && (estimate == -1 || medMax < estimate))
double medMax = feeStats->EstimateMedianVal(feeStats->GetMaxConfirms(), SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight, &tempResult);
if (medMax > 0 && (estimate == -1 || medMax < estimate)) {
estimate = medMax;
if (result) *result = tempResult;
}
}
if (confTarget > shortStats->GetMaxConfirms()) {
double shortMax = shortStats->EstimateMedianVal(shortStats->GetMaxConfirms(), SUFFICIENT_TXS_SHORT, successThreshold, true, nBestSeenHeight);
if (shortMax > 0 && (estimate == -1 || shortMax < estimate))
double shortMax = shortStats->EstimateMedianVal(shortStats->GetMaxConfirms(), SUFFICIENT_TXS_SHORT, successThreshold, true, nBestSeenHeight, &tempResult);
if (shortMax > 0 && (estimate == -1 || shortMax < estimate)) {
estimate = shortMax;
if (result) *result = tempResult;
}
}
}
}
@ -732,16 +757,18 @@ double CBlockPolicyEstimator::estimateCombinedFee(unsigned int confTarget, doubl
/** Ensure that for a conservative estimate, the DOUBLE_SUCCESS_PCT is also met
* at 2 * target for any longer time horizons.
*/
double CBlockPolicyEstimator::estimateConservativeFee(unsigned int doubleTarget) const
double CBlockPolicyEstimator::estimateConservativeFee(unsigned int doubleTarget, EstimationResult *result) const
{
double estimate = -1;
EstimationResult tempResult;
if (doubleTarget <= shortStats->GetMaxConfirms()) {
estimate = feeStats->EstimateMedianVal(doubleTarget, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight);
estimate = feeStats->EstimateMedianVal(doubleTarget, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight, result);
}
if (doubleTarget <= feeStats->GetMaxConfirms()) {
double longEstimate = longStats->EstimateMedianVal(doubleTarget, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight);
double longEstimate = longStats->EstimateMedianVal(doubleTarget, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight, &tempResult);
if (longEstimate > estimate) {
estimate = longEstimate;
if (result) *result = tempResult;
}
}
return estimate;
@ -754,12 +781,15 @@ double CBlockPolicyEstimator::estimateConservativeFee(unsigned int doubleTarget)
* estimates, however, required the 95% threshold at 2 * target be met for any
* longer time horizons also.
*/
CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool, bool conservative) const
CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, FeeCalculation *feeCalc, const CTxMemPool& pool, bool conservative) const
{
if (answerFoundAtTarget)
*answerFoundAtTarget = confTarget;
if (feeCalc) {
feeCalc->desiredTarget = confTarget;
feeCalc->returnedTarget = confTarget;
}
double median = -1;
EstimationResult tempResult;
{
LOCK(cs_feeEstimator);
@ -780,7 +810,6 @@ CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoun
}
assert(confTarget > 0); //estimateCombinedFee and estimateConservativeFee take unsigned ints
/** 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.
@ -791,32 +820,49 @@ CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoun
* the purpose of conservative estimates is not to let short term
* fluctuations lower our estimates by too much.
*/
double halfEst = estimateCombinedFee(confTarget/2, HALF_SUCCESS_PCT, true);
double actualEst = estimateCombinedFee(confTarget, SUCCESS_PCT, true);
double doubleEst = estimateCombinedFee(2 * confTarget, DOUBLE_SUCCESS_PCT, !conservative);
double halfEst = estimateCombinedFee(confTarget/2, HALF_SUCCESS_PCT, true, &tempResult);
if (feeCalc) {
feeCalc->est = tempResult;
feeCalc->reason = FeeReason::HALF_ESTIMATE;
}
median = halfEst;
double actualEst = estimateCombinedFee(confTarget, SUCCESS_PCT, true, &tempResult);
if (actualEst > median) {
median = actualEst;
if (feeCalc) {
feeCalc->est = tempResult;
feeCalc->reason = FeeReason::FULL_ESTIMATE;
}
}
double doubleEst = estimateCombinedFee(2 * confTarget, DOUBLE_SUCCESS_PCT, !conservative, &tempResult);
if (doubleEst > median) {
median = doubleEst;
if (feeCalc) {
feeCalc->est = tempResult;
feeCalc->reason = FeeReason::DOUBLE_ESTIMATE;
}
}
if (conservative || median == -1) {
double consEst = estimateConservativeFee(2 * confTarget);
double consEst = estimateConservativeFee(2 * confTarget, &tempResult);
if (consEst > median) {
median = consEst;
if (feeCalc) {
feeCalc->est = tempResult;
feeCalc->reason = FeeReason::CONSERVATIVE;
}
}
}
} // Must unlock cs_feeEstimator before taking mempool locks
if (answerFoundAtTarget)
*answerFoundAtTarget = confTarget;
if (feeCalc) feeCalc->returnedTarget = confTarget;
// If mempool is limiting txs , return at least the min feerate from the mempool
CAmount minPoolFee = pool.GetMinFee(GetArg("-maxmempool", DEFAULT_MAX_MEMPOOL_SIZE) * 1000000).GetFeePerK();
if (minPoolFee > 0 && minPoolFee > median)
if (minPoolFee > 0 && minPoolFee > median) {
if (feeCalc) feeCalc->reason = FeeReason::MEMPOOL_MIN;
return CFeeRate(minPoolFee);
}
if (median < 0)
return CFeeRate(0);

34
src/policy/fees.h
View file

@ -74,6 +74,22 @@ enum FeeEstimateHorizon {
LONG_HALFLIFE = 2
};
/* Enumeration of reason for returned fee estimate */
enum class FeeReason {
NONE,
HALF_ESTIMATE,
FULL_ESTIMATE,
DOUBLE_ESTIMATE,
CONSERVATIVE,
MEMPOOL_MIN,
PAYTXFEE,
FALLBACK,
REQUIRED,
MAXTXFEE,
};
std::string StringForFeeReason(FeeReason reason);
/* Used to return detailed information about a feerate bucket */
struct EstimatorBucket
{
@ -90,8 +106,16 @@ struct EstimationResult
{
EstimatorBucket pass;
EstimatorBucket fail;
double decay;
unsigned int scale;
double decay = 0;
unsigned int scale = 0;
};
struct FeeCalculation
{
EstimationResult est;
FeeReason reason = FeeReason::NONE;
int desiredTarget = 0;
int returnedTarget = 0;
};
/**
@ -173,7 +197,7 @@ public:
* the closest target where one can be given. 'conservative' estimates are
* valid over longer time horizons also.
*/
CFeeRate estimateSmartFee(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool, bool conservative = true) const;
CFeeRate estimateSmartFee(int confTarget, FeeCalculation *feeCalc, const CTxMemPool& pool, bool conservative = true) const;
/** Return a specific fee estimate calculation with a given success
* threshold and time horizon, and optionally return detailed data about
@ -223,9 +247,9 @@ private:
bool processBlockTx(unsigned int nBlockHeight, const CTxMemPoolEntry* entry);
/** Helper for estimateSmartFee */
double estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon) const;
double estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon, EstimationResult *result) const;
/** Helper for estimateSmartFee */
double estimateConservativeFee(unsigned int doubleTarget) const;
double estimateConservativeFee(unsigned int doubleTarget, EstimationResult *result) const;
/** Number of blocks of data recorded while fee estimates have been running */
unsigned int BlockSpan() const;
/** Number of blocks of recorded fee estimate data represented in saved data file */

6
src/qt/sendcoinsdialog.cpp
View file

@ -651,8 +651,8 @@ void SendCoinsDialog::updateSmartFeeLabel()
return;
int nBlocksToConfirm = ui->sliderSmartFee->maximum() - ui->sliderSmartFee->value() + 2;
int estimateFoundAtBlocks = nBlocksToConfirm;
CFeeRate feeRate = ::feeEstimator.estimateSmartFee(nBlocksToConfirm, &estimateFoundAtBlocks, ::mempool);
FeeCalculation feeCalc;
CFeeRate feeRate = ::feeEstimator.estimateSmartFee(nBlocksToConfirm, &feeCalc, ::mempool);
if (feeRate <= CFeeRate(0)) // not enough data => minfee
{
ui->labelSmartFee->setText(BitcoinUnits::formatWithUnit(model->getOptionsModel()->getDisplayUnit(),
@ -670,7 +670,7 @@ void SendCoinsDialog::updateSmartFeeLabel()
ui->labelSmartFee->setText(BitcoinUnits::formatWithUnit(model->getOptionsModel()->getDisplayUnit(),
std::max(feeRate.GetFeePerK(), CWallet::GetRequiredFee(1000))) + "/kB");
ui->labelSmartFee2->hide();
ui->labelFeeEstimation->setText(tr("Estimated to begin confirmation within %n block(s).", "", estimateFoundAtBlocks));
ui->labelFeeEstimation->setText(tr("Estimated to begin confirmation within %n block(s).", "", feeCalc.returnedTarget));
ui->fallbackFeeWarningLabel->setVisible(false);
}

6
src/rpc/mining.cpp
View file

@ -870,10 +870,10 @@ UniValue estimatesmartfee(const JSONRPCRequest& request)
}
UniValue result(UniValue::VOBJ);
int answerFound;
CFeeRate feeRate = ::feeEstimator.estimateSmartFee(nBlocks, &answerFound, ::mempool, conservative);
FeeCalculation feeCalc;
CFeeRate feeRate = ::feeEstimator.estimateSmartFee(nBlocks, &feeCalc, ::mempool, conservative);
result.push_back(Pair("feerate", feeRate == CFeeRate(0) ? -1.0 : ValueFromAmount(feeRate.GetFeePerK())));
result.push_back(Pair("blocks", answerFound));
result.push_back(Pair("blocks", feeCalc.returnedTarget));
return result;
}

2
src/wallet/feebumper.cpp
View file

@ -165,7 +165,7 @@ CFeeBumper::CFeeBumper(const CWallet *pWallet, const uint256 txidIn, int newConf
nNewFee = totalFee;
nNewFeeRate = CFeeRate(totalFee, maxNewTxSize);
} else {
nNewFee = CWallet::GetMinimumFee(maxNewTxSize, newConfirmTarget, mempool, ::feeEstimator, ignoreGlobalPayTxFee);
nNewFee = CWallet::GetMinimumFee(maxNewTxSize, newConfirmTarget, mempool, ::feeEstimator, nullptr, ignoreGlobalPayTxFee);
nNewFeeRate = CFeeRate(nNewFee, maxNewTxSize);
// New fee rate must be at least old rate + minimum incremental relay rate

37
src/wallet/wallet.cpp
View file

@ -2524,7 +2524,8 @@ bool CWallet::CreateTransaction(const std::vector<CRecipient>& vecSend, CWalletT
assert(txNew.nLockTime <= (unsigned int)chainActive.Height());
assert(txNew.nLockTime < LOCKTIME_THRESHOLD);
FeeCalculation feeCalc;
unsigned int nBytes;
{
std::set<CInputCoin> setCoins;
LOCK2(cs_main, cs_wallet);
@ -2696,7 +2697,7 @@ bool CWallet::CreateTransaction(const std::vector<CRecipient>& vecSend, CWalletT
return false;
}
unsigned int nBytes = GetVirtualTransactionSize(txNew);
nBytes = GetVirtualTransactionSize(txNew);
CTransaction txNewConst(txNew);
@ -2711,7 +2712,7 @@ bool CWallet::CreateTransaction(const std::vector<CRecipient>& vecSend, CWalletT
if (coinControl && coinControl->nConfirmTarget > 0)
currentConfirmationTarget = coinControl->nConfirmTarget;
CAmount nFeeNeeded = GetMinimumFee(nBytes, currentConfirmationTarget, ::mempool, ::feeEstimator);
CAmount nFeeNeeded = GetMinimumFee(nBytes, currentConfirmationTarget, ::mempool, ::feeEstimator, &feeCalc);
if (coinControl && coinControl->fOverrideFeeRate)
nFeeNeeded = coinControl->nFeeRate.GetFee(nBytes);
@ -2808,6 +2809,15 @@ bool CWallet::CreateTransaction(const std::vector<CRecipient>& vecSend, CWalletT
return false;
}
}
LogPrintf("Fee Calculation: Fee:%d Bytes:%u Tgt:%d (requested %d) Reason:\"%s\" Decay %.5f: Estimation: (%g - %g) %.2f%% %.1f/(%.1f %d mem %.1f out) Fail: (%g - %g) %.2f%% %.1f/(%.1f %d mem %.1f out)\n",
nFeeRet, nBytes, feeCalc.returnedTarget, feeCalc.desiredTarget, StringForFeeReason(feeCalc.reason), feeCalc.est.decay,
feeCalc.est.pass.start, feeCalc.est.pass.end,
100 * feeCalc.est.pass.withinTarget / (feeCalc.est.pass.totalConfirmed + feeCalc.est.pass.inMempool + feeCalc.est.pass.leftMempool),
feeCalc.est.pass.withinTarget, feeCalc.est.pass.totalConfirmed, feeCalc.est.pass.inMempool, feeCalc.est.pass.leftMempool,
feeCalc.est.fail.start, feeCalc.est.fail.end,
100 * feeCalc.est.fail.withinTarget / (feeCalc.est.fail.totalConfirmed + feeCalc.est.fail.inMempool + feeCalc.est.fail.leftMempool),
feeCalc.est.fail.withinTarget, feeCalc.est.fail.totalConfirmed, feeCalc.est.fail.inMempool, feeCalc.est.fail.leftMempool);
return true;
}
@ -2882,23 +2892,32 @@ CAmount CWallet::GetRequiredFee(unsigned int nTxBytes)
return std::max(minTxFee.GetFee(nTxBytes), ::minRelayTxFee.GetFee(nTxBytes));
}
CAmount CWallet::GetMinimumFee(unsigned int nTxBytes, unsigned int nConfirmTarget, const CTxMemPool& pool, const CBlockPolicyEstimator& estimator, bool ignoreGlobalPayTxFee)
CAmount CWallet::GetMinimumFee(unsigned int nTxBytes, unsigned int nConfirmTarget, const CTxMemPool& pool, const CBlockPolicyEstimator& estimator, FeeCalculation *feeCalc, bool ignoreGlobalPayTxFee)
{
// payTxFee is the user-set global for desired feerate
CAmount nFeeNeeded = payTxFee.GetFee(nTxBytes);
// User didn't set: use -txconfirmtarget to estimate...
if (nFeeNeeded == 0 || ignoreGlobalPayTxFee) {
int estimateFoundTarget = nConfirmTarget;
nFeeNeeded = estimator.estimateSmartFee(nConfirmTarget, &estimateFoundTarget, pool).GetFee(nTxBytes);
nFeeNeeded = estimator.estimateSmartFee(nConfirmTarget, feeCalc, pool, true).GetFee(nTxBytes);
// ... unless we don't have enough mempool data for estimatefee, then use fallbackFee
if (nFeeNeeded == 0)
if (nFeeNeeded == 0) {
nFeeNeeded = fallbackFee.GetFee(nTxBytes);
if (feeCalc) feeCalc->reason = FeeReason::FALLBACK;
}
} else {
if (feeCalc) feeCalc->reason = FeeReason::PAYTXFEE;
}
// prevent user from paying a fee below minRelayTxFee or minTxFee
nFeeNeeded = std::max(nFeeNeeded, GetRequiredFee(nTxBytes));
CAmount requiredFee = GetRequiredFee(nTxBytes);
if (requiredFee > nFeeNeeded) {
nFeeNeeded = requiredFee;
if (feeCalc) feeCalc->reason = FeeReason::REQUIRED;
}
// But always obey the maximum
if (nFeeNeeded > maxTxFee)
if (nFeeNeeded > maxTxFee) {
nFeeNeeded = maxTxFee;
if (feeCalc) feeCalc->reason = FeeReason::MAXTXFEE;
}
return nFeeNeeded;
}

3
src/wallet/wallet.h
View file

@ -76,6 +76,7 @@ class CScheduler;
class CTxMemPool;
class CBlockPolicyEstimator;
class CWalletTx;
class FeeCalculation;
/** (client) version numbers for particular wallet features */
enum WalletFeature
@ -956,7 +957,7 @@ public:
* Estimate the minimum fee considering user set parameters
* and the required fee
*/
static CAmount GetMinimumFee(unsigned int nTxBytes, unsigned int nConfirmTarget, const CTxMemPool& pool, const CBlockPolicyEstimator& estimator, bool ignoreGlobalPayTxFee = false);
static CAmount GetMinimumFee(unsigned int nTxBytes, unsigned int nConfirmTarget, const CTxMemPool& pool, const CBlockPolicyEstimator& estimator, FeeCalculation *feeCalc = nullptr, bool ignoreGlobalPayTxFee = false);
/**
* Return the minimum required fee taking into account the
* floating relay fee and user set minimum transaction fee