Historical block span

Store in fee estimate file the block span for which we were tracking estimates, so we know what targets we can successfully evaluate with the data in the file. When restarting use either this historical block span to set valid range of targets until our current span of tracking estimates is just as long.

src/policy/fees.cpp

@@ -477,7 +477,7 @@ bool CBlockPolicyEstimator::removeTx(uint256 hash, bool inBlock)
 }
 
 CBlockPolicyEstimator::CBlockPolicyEstimator()
-    : nBestSeenHeight(0), firstRecordedHeight(0), trackedTxs(0), untrackedTxs(0)
+    : nBestSeenHeight(0), firstRecordedHeight(0), historicalFirst(0), historicalBest(0), trackedTxs(0), untrackedTxs(0)
 {
     static_assert(MIN_BUCKET_FEERATE > 0, "Min feerate must be nonzero");
     minTrackedFee = CFeeRate(MIN_BUCKET_FEERATE);
@@ -609,8 +609,9 @@ void CBlockPolicyEstimator::processBlock(unsigned int nBlockHeight,
     }
 
 
-    LogPrint(BCLog::ESTIMATEFEE, "Blockpolicy after updating estimates for %u of %u txs in block, since last block %u of %u tracked, new mempool map size %u\n",
-             countedTxs, entries.size(), trackedTxs, trackedTxs + untrackedTxs, mapMemPoolTxs.size());
+    LogPrint(BCLog::ESTIMATEFEE, "Blockpolicy estimates updated by %u of %u block txs, since last block %u of %u tracked, mempool map size %u, max target %u from %s\n",
+             countedTxs, entries.size(), trackedTxs, trackedTxs + untrackedTxs, mapMemPoolTxs.size(),
+             MaxUsableEstimate(), HistoricalBlockSpan() > BlockSpan() ? "historical" : "current");
 
     trackedTxs = 0;
     untrackedTxs = 0;
@@ -663,6 +664,29 @@ CFeeRate CBlockPolicyEstimator::estimateRawFee(int confTarget, double successThr
     return CFeeRate(median);
 }
 
+unsigned int CBlockPolicyEstimator::BlockSpan() const
+{
+    if (firstRecordedHeight == 0) return 0;
+    assert(nBestSeenHeight >= firstRecordedHeight);
+
+    return nBestSeenHeight - firstRecordedHeight;
+}
+
+unsigned int CBlockPolicyEstimator::HistoricalBlockSpan() const
+{
+    if (historicalFirst == 0) return 0;
+    assert(historicalBest >= historicalFirst);
+
+    if (nBestSeenHeight - historicalBest > OLDEST_ESTIMATE_HISTORY) return 0;
+
+    return historicalBest - historicalFirst;
+}
+
+unsigned int CBlockPolicyEstimator::MaxUsableEstimate() const
+{
+    // Block spans are divided by 2 to make sure there are enough potential failing data points for the estimate
+    return std::min(longStats->GetMaxConfirms(), std::max(BlockSpan(), HistoricalBlockSpan()) / 2);
+}
 
 /** Return a fee estimate at the required successThreshold from the shortest
  * time horizon which tracks confirmations up to the desired target.  If
@@ -731,6 +755,14 @@ CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoun
         if (confTarget == 1)
             confTarget = 2;
 
+        unsigned int maxUsableEstimate = MaxUsableEstimate();
+        if (maxUsableEstimate <= 1)
+            return CFeeRate(0);
+
+        if ((unsigned int)confTarget > maxUsableEstimate) {
+            confTarget = maxUsableEstimate;
+        }
+
         assert(confTarget > 0); //estimateCombinedFee and estimateConservativeFee take unsigned ints
 
         /** true is passed to estimateCombined fee for target/2 and target so
@@ -784,8 +816,12 @@ bool CBlockPolicyEstimator::Write(CAutoFile& fileout) const
         fileout << 149900; // version required to read: 0.14.99 or later
         fileout << CLIENT_VERSION; // version that wrote the file
         fileout << nBestSeenHeight;
-        unsigned int future1 = 0, future2 = 0;
-        fileout << future1 << future2;
+        if (BlockSpan() > HistoricalBlockSpan()/2) {
+            fileout << firstRecordedHeight << nBestSeenHeight;
+        }
+        else {
+            fileout << historicalFirst << historicalBest;
+        }
         fileout << buckets;
         feeStats->Write(fileout);
         shortStats->Write(fileout);
@@ -803,7 +839,7 @@ bool CBlockPolicyEstimator::Read(CAutoFile& filein)
     try {
         LOCK(cs_feeEstimator);
         int nVersionRequired, nVersionThatWrote;
-        unsigned int nFileBestSeenHeight;
+        unsigned int nFileBestSeenHeight, nFileHistoricalFirst, nFileHistoricalBest;
         filein >> nVersionRequired >> nVersionThatWrote;
         if (nVersionRequired > CLIENT_VERSION)
             return error("CBlockPolicyEstimator::Read(): up-version (%d) fee estimate file", nVersionRequired);
@@ -838,9 +874,10 @@ bool CBlockPolicyEstimator::Read(CAutoFile& filein)
             }
         }
         else { // nVersionThatWrote >= 149900
-            unsigned int future1, future2;
-            filein >> future1 >> future2;
-
+            filein >> nFileHistoricalFirst >> nFileHistoricalBest;
+            if (nFileHistoricalFirst > nFileHistoricalBest || nFileHistoricalBest > nFileBestSeenHeight) {
+                throw std::runtime_error("Corrupt estimates file. Historical block range for estimates is invalid");
+            }
             std::vector<double> fileBuckets;
             filein >> fileBuckets;
             size_t numBuckets = fileBuckets.size();
@@ -871,6 +908,8 @@ bool CBlockPolicyEstimator::Read(CAutoFile& filein)
             longStats = fileLongStats.release();
 
             nBestSeenHeight = nFileBestSeenHeight;
+            historicalFirst = nFileHistoricalFirst;
+            historicalBest = nFileHistoricalBest;
         }
     }
     catch (const std::exception& e) {

src/policy/fees.h

@@ -98,6 +98,8 @@ private:
     static constexpr unsigned int MED_BLOCK_CONFIRMS = 48;
     /** Track confirm delays up to 1008 blocks for longer decay */
     static constexpr unsigned int LONG_BLOCK_CONFIRMS = 1008;
+    /** Historical estimates that are older than this aren't valid */
+    static const unsigned int OLDEST_ESTIMATE_HISTORY = 6 * 1008;
 
     /** Decay of .962 is a half-life of 18 blocks or about 3 hours */
     static constexpr double SHORT_DECAY = .962;
@@ -205,6 +207,9 @@ private:
 
     double estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon) const;
     double estimateConservativeFee(unsigned int doubleTarget) const;
+    unsigned int BlockSpan() const;
+    unsigned int HistoricalBlockSpan() const;
+    unsigned int MaxUsableEstimate() const;
 };
 
 class FeeFilterRounder