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Change parameters for fee estimation and estimates on all 3 time horizons.

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Make feerate buckets smaller (5% instead of 10%) and make the 3 different horizons have half lifes of 3 hours, 1 day and 1 week respectively.
pull/365/head
Alex Morcos 8 years ago
parent c0a273f4c8
commit e5007bae35
3 changed files with 89 additions and 51 deletions
Show Stats Download Patch File Download Diff File

37
src/policy/fees.cpp
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@ -14,6 +14,8 @@
#include "txmempool.h"
#include "util.h"
static constexpr double INF_FEERATE = 1e99;
/**
* 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
@ -400,6 +402,8 @@ bool CBlockPolicyEstimator::removeTx(uint256 hash)
std::map<uint256, TxStatsInfo>::iterator pos = mapMemPoolTxs.find(hash);
if (pos != mapMemPoolTxs.end()) {
feeStats->removeTx(pos->second.blockHeight, nBestSeenHeight, pos->second.bucketIndex);
shortStats->removeTx(pos->second.blockHeight, nBestSeenHeight, pos->second.bucketIndex);
longStats->removeTx(pos->second.blockHeight, nBestSeenHeight, pos->second.bucketIndex);
mapMemPoolTxs.erase(hash);
return true;
} else {
@ -421,9 +425,9 @@ CBlockPolicyEstimator::CBlockPolicyEstimator()
bucketMap[INF_FEERATE] = bucketIndex;
assert(bucketMap.size() == buckets.size());
feeStats = new TxConfirmStats(buckets, bucketMap, MAX_BLOCK_CONFIRMS, DEFAULT_DECAY);
shortStats = new TxConfirmStats(buckets, bucketMap, MAX_BLOCK_CONFIRMS, DEFAULT_DECAY);
longStats = new TxConfirmStats(buckets, bucketMap, MAX_BLOCK_CONFIRMS, DEFAULT_DECAY);
feeStats = new TxConfirmStats(buckets, bucketMap, MED_BLOCK_CONFIRMS, MED_DECAY);
shortStats = new TxConfirmStats(buckets, bucketMap, SHORT_BLOCK_CONFIRMS, SHORT_DECAY);
longStats = new TxConfirmStats(buckets, bucketMap, LONG_BLOCK_CONFIRMS, LONG_DECAY);
}
CBlockPolicyEstimator::~CBlockPolicyEstimator()
@ -464,7 +468,12 @@ void CBlockPolicyEstimator::processTransaction(const CTxMemPoolEntry& entry, boo
CFeeRate feeRate(entry.GetFee(), entry.GetTxSize());
mapMemPoolTxs[hash].blockHeight = txHeight;
mapMemPoolTxs[hash].bucketIndex = feeStats->NewTx(txHeight, (double)feeRate.GetFeePerK());
unsigned int bucketIndex = feeStats->NewTx(txHeight, (double)feeRate.GetFeePerK());
mapMemPoolTxs[hash].bucketIndex = bucketIndex;
unsigned int bucketIndex2 = shortStats->NewTx(txHeight, (double)feeRate.GetFeePerK());
assert(bucketIndex == bucketIndex2);
unsigned int bucketIndex3 = longStats->NewTx(txHeight, (double)feeRate.GetFeePerK());
assert(bucketIndex == bucketIndex3);
}
bool CBlockPolicyEstimator::processBlockTx(unsigned int nBlockHeight, const CTxMemPoolEntry* entry)
@ -489,6 +498,8 @@ bool CBlockPolicyEstimator::processBlockTx(unsigned int nBlockHeight, const CTxM
CFeeRate feeRate(entry->GetFee(), entry->GetTxSize());
feeStats->Record(blocksToConfirm, (double)feeRate.GetFeePerK());
shortStats->Record(blocksToConfirm, (double)feeRate.GetFeePerK());
longStats->Record(blocksToConfirm, (double)feeRate.GetFeePerK());
return true;
}
@ -512,6 +523,8 @@ void CBlockPolicyEstimator::processBlock(unsigned int nBlockHeight,
// Clear the current block state and update unconfirmed circular buffer
feeStats->ClearCurrent(nBlockHeight);
shortStats->ClearCurrent(nBlockHeight);
longStats->ClearCurrent(nBlockHeight);
unsigned int countedTxs = 0;
// Repopulate the current block states
@ -522,6 +535,8 @@ void CBlockPolicyEstimator::processBlock(unsigned int nBlockHeight,
// Update all exponential averages with the current block state
feeStats->UpdateMovingAverages();
shortStats->UpdateMovingAverages();
longStats->UpdateMovingAverages();
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());
@ -538,7 +553,7 @@ CFeeRate CBlockPolicyEstimator::estimateFee(int confTarget) const
if (confTarget <= 1 || (unsigned int)confTarget > feeStats->GetMaxConfirms())
return CFeeRate(0);
double median = feeStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, MIN_SUCCESS_PCT, true, nBestSeenHeight);
double median = feeStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight);
if (median < 0)
return CFeeRate(0);
@ -565,7 +580,7 @@ CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoun
confTarget = 2;
while (median < 0 && (unsigned int)confTarget <= feeStats->GetMaxConfirms()) {
median = feeStats->EstimateMedianVal(confTarget++, SUFFICIENT_FEETXS, MIN_SUCCESS_PCT, true, nBestSeenHeight);
median = feeStats->EstimateMedianVal(confTarget++, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight);
}
} // Must unlock cs_feeEstimator before taking mempool locks
@ -634,7 +649,7 @@ bool CBlockPolicyEstimator::Read(CAutoFile& filein)
std::map<double, unsigned int> tempMap;
std::unique_ptr<TxConfirmStats> tempFeeStats(new TxConfirmStats(tempBuckets, tempMap, MAX_BLOCK_CONFIRMS, tempDecay));
std::unique_ptr<TxConfirmStats> tempFeeStats(new TxConfirmStats(tempBuckets, tempMap, MED_BLOCK_CONFIRMS, tempDecay));
tempFeeStats->Read(filein, nVersionThatWrote, tempNum);
// if nVersionThatWrote < 139900 then another TxConfirmStats (for priority) follows but can be ignored.
@ -653,9 +668,9 @@ bool CBlockPolicyEstimator::Read(CAutoFile& filein)
if (numBuckets <= 1 || numBuckets > 1000)
throw std::runtime_error("Corrupt estimates file. Must have between 2 and 1000 feerate buckets");
std::unique_ptr<TxConfirmStats> fileFeeStats(new TxConfirmStats(buckets, bucketMap, MAX_BLOCK_CONFIRMS, DEFAULT_DECAY));
std::unique_ptr<TxConfirmStats> fileShortStats(new TxConfirmStats(buckets, bucketMap, MAX_BLOCK_CONFIRMS, DEFAULT_DECAY));
std::unique_ptr<TxConfirmStats> fileLongStats(new TxConfirmStats(buckets, bucketMap, MAX_BLOCK_CONFIRMS, DEFAULT_DECAY));
std::unique_ptr<TxConfirmStats> fileFeeStats(new TxConfirmStats(buckets, bucketMap, MED_BLOCK_CONFIRMS, MED_DECAY));
std::unique_ptr<TxConfirmStats> fileShortStats(new TxConfirmStats(buckets, bucketMap, SHORT_BLOCK_CONFIRMS, SHORT_DECAY));
std::unique_ptr<TxConfirmStats> fileLongStats(new TxConfirmStats(buckets, bucketMap, LONG_BLOCK_CONFIRMS, LONG_DECAY));
fileFeeStats->Read(filein, nVersionThatWrote, numBuckets);
fileShortStats->Read(filein, nVersionThatWrote, numBuckets);
fileLongStats->Read(filein, nVersionThatWrote, numBuckets);
@ -690,7 +705,7 @@ FeeFilterRounder::FeeFilterRounder(const CFeeRate& minIncrementalFee)
{
CAmount minFeeLimit = std::max(CAmount(1), minIncrementalFee.GetFeePerK() / 2);
feeset.insert(0);
for (double bucketBoundary = minFeeLimit; bucketBoundary <= MAX_BUCKET_FEERATE; bucketBoundary *= FEE_SPACING) {
for (double bucketBoundary = minFeeLimit; bucketBoundary <= MAX_FILTER_FEERATE; bucketBoundary *= FEE_FILTER_SPACING) {
feeset.insert(bucketBoundary);
}
}

76
src/policy/fees.h
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@ -61,34 +61,6 @@ class TxConfirmStats;
* they've been outstanding.
*/
/** Track confirm delays up to 25 blocks, can't estimate beyond that */
static const unsigned int MAX_BLOCK_CONFIRMS = 25;
/** Decay of .998 is a half-life of 346 blocks or about 2.4 days */
static const double DEFAULT_DECAY = .998;
/** Require greater than 95% of X feerate transactions to be confirmed within Y blocks for X to be big enough */
static const double MIN_SUCCESS_PCT = .95;
/** Require an avg of 1 tx in the combined feerate bucket per block to have stat significance */
static const double SUFFICIENT_FEETXS = 1;
// 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.
static constexpr double MIN_BUCKET_FEERATE = 1000;
static const double MAX_BUCKET_FEERATE = 1e7;
static const double INF_FEERATE = MAX_MONEY;
// 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
/** Spacing of FeeRate buckets */
static const double FEE_SPACING = 1.1;
/**
* 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
@ -96,6 +68,46 @@ static const double FEE_SPACING = 1.1;
*/
class CBlockPolicyEstimator
{
private:
/** Track confirm delays up to 12 blocks medium decay */
static constexpr unsigned int SHORT_BLOCK_CONFIRMS = 12;
/** Track confirm delays up to 48 blocks medium decay */
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;
/** Decay of .962 is a half-life of 18 blocks or about 3 hours */
static constexpr double SHORT_DECAY = .962;
/** Decay of .998 is a half-life of 144 blocks or about 1 day */
static constexpr double MED_DECAY = .9952;
/** Decay of .9995 is a half-life of 1008 blocks or about 1 week */
static constexpr double LONG_DECAY = .99931;
/** Require greater than 95% of X feerate transactions to be confirmed within Y blocks for X to be big enough */
static constexpr double HALF_SUCCESS_PCT = .6;
static constexpr double SUCCESS_PCT = .85;
static constexpr double DOUBLE_SUCCESS_PCT = .95;
/** Require an avg of 1 tx in the combined feerate bucket per block to have stat significance */
static constexpr double SUFFICIENT_FEETXS = 1;
/** 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.
*/
static constexpr double MIN_BUCKET_FEERATE = 1000;
static constexpr double MAX_BUCKET_FEERATE = 1e7;
/** 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
*/
static constexpr double FEE_SPACING = 1.05;
public:
/** Create new BlockPolicyEstimator and initialize stats tracking classes with default values */
CBlockPolicyEstimator();
@ -159,6 +171,14 @@ private:
class FeeFilterRounder
{
private:
static constexpr double MAX_FILTER_FEERATE = 1e7;
/** FEE_FILTER_SPACING is just used to provide some quantization of fee
* filter results. Historically it reused FEE_SPACING, but it is completely
* unrelated, and was made a separate constant so the two concepts are not
* tied together */
static constexpr double FEE_FILTER_SPACING = 1.1;
public:
/** Create new FeeFilterRounder */
FeeFilterRounder(const CFeeRate& minIncrementalFee);

27
src/test/policyestimator_tests.cpp
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@ -50,8 +50,8 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
int blocknum = 0;
// Loop through 200 blocks
// At a decay .998 and 4 fee transactions per block
// This makes the tx count about 1.33 per bucket, above the 1 threshold
// At a decay .9952 and 4 fee transactions per block
// This makes the tx count about 2.5 per bucket, well above the 0.1 threshold
while (blocknum < 200) {
for (int j = 0; j < 10; j++) { // For each fee
for (int k = 0; k < 4; k++) { // add 4 fee txs
@ -75,18 +75,17 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
}
mpool.removeForBlock(block, ++blocknum);
block.clear();
if (blocknum == 30) {
// At this point we should need to combine 5 buckets to get enough data points
// So estimateFee(1,2,3) should fail and estimateFee(4) should return somewhere around
// 8*baserate. estimateFee(4) %'s are 100,100,100,100,90 = average 98%
// Check after just a few txs that combining buckets works as expected
if (blocknum == 3) {
// At this point we should need to combine 3 buckets to get enough data points
// So estimateFee(1) should fail and estimateFee(2) should return somewhere around
// 9*baserate. estimateFee(2) %'s are 100,100,90 = average 97%
BOOST_CHECK(feeEst.estimateFee(1) == CFeeRate(0));
BOOST_CHECK(feeEst.estimateFee(2) == CFeeRate(0));
BOOST_CHECK(feeEst.estimateFee(3) == CFeeRate(0));
BOOST_CHECK(feeEst.estimateFee(4).GetFeePerK() < 8*baseRate.GetFeePerK() + deltaFee);
BOOST_CHECK(feeEst.estimateFee(4).GetFeePerK() > 8*baseRate.GetFeePerK() - deltaFee);
BOOST_CHECK(feeEst.estimateFee(2).GetFeePerK() < 9*baseRate.GetFeePerK() + deltaFee);
BOOST_CHECK(feeEst.estimateFee(2).GetFeePerK() > 9*baseRate.GetFeePerK() - deltaFee);
int answerFound;
BOOST_CHECK(feeEst.estimateSmartFee(1, &answerFound, mpool) == feeEst.estimateFee(4) && answerFound == 4);
BOOST_CHECK(feeEst.estimateSmartFee(3, &answerFound, mpool) == feeEst.estimateFee(4) && answerFound == 4);
BOOST_CHECK(feeEst.estimateSmartFee(1, &answerFound, mpool) == feeEst.estimateFee(2) && answerFound == 2);
BOOST_CHECK(feeEst.estimateSmartFee(2, &answerFound, mpool) == feeEst.estimateFee(2) && answerFound == 2);
BOOST_CHECK(feeEst.estimateSmartFee(4, &answerFound, mpool) == feeEst.estimateFee(4) && answerFound == 4);
BOOST_CHECK(feeEst.estimateSmartFee(8, &answerFound, mpool) == feeEst.estimateFee(8) && answerFound == 8);
}
@ -113,6 +112,10 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
BOOST_CHECK(origFeeEst[i-1] == CFeeRate(0).GetFeePerK());
}
}
// Fill out rest of the original estimates
for (int i = 10; i <= 48; i++) {
origFeeEst.push_back(feeEst.estimateFee(i).GetFeePerK());
}
// Mine 50 more blocks with no transactions happening, estimates shouldn't change
// We haven't decayed the moving average enough so we still have enough data points in every bucket

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