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@ -22,51 +22,6 @@ class CTxMemPoolEntry;
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class CTxMemPool;
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class TxConfirmStats;
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/** \class CBlockPolicyEstimator
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* The BlockPolicyEstimator is used for estimating the feerate needed
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* for a transaction to be included in a block within a certain number of
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* blocks.
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*
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* At a high level the algorithm works by grouping transactions into buckets
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* based on having similar feerates and then tracking how long it
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* takes transactions in the various buckets to be mined. It operates under
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* the assumption that in general transactions of higher feerate will be
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* included in blocks before transactions of lower feerate. So for
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* example if you wanted to know what feerate you should put on a transaction to
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* be included in a block within the next 5 blocks, you would start by looking
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* at the bucket with the highest feerate transactions and verifying that a
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* sufficiently high percentage of them were confirmed within 5 blocks and
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* then you would look at the next highest feerate bucket, and so on, stopping at
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* the last bucket to pass the test. The average feerate of transactions in this
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* bucket will give you an indication of the lowest feerate you can put on a
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* transaction and still have a sufficiently high chance of being confirmed
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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 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 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 successfully 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 class FeeEstimateHorizon {
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@ -130,7 +85,50 @@ struct FeeCalculation
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int returnedTarget = 0;
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};
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/**
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/** \class CBlockPolicyEstimator
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* 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.
|
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|
|
|
*
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* We want to be able to estimate feerates that are needed on tx's to be included in
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* a certain number of blocks. Every time a block is added to the best chain, this class records
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* stats on the transactions included in that block
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