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// Copyright (c) 2009-2010 Satoshi Nakamoto
// Copyright (c) 2009-2016 The Bitcoin Core developers
// Distributed under the MIT software license, see the accompanying
// file COPYING or http://www.opensource.org/licenses/mit-license.php.
#ifndef BITCOIN_POLICYESTIMATOR_H
#define BITCOIN_POLICYESTIMATOR_H
#include "amount.h"
#include "uint256.h"
#include "random.h"
#include <map>
#include <string>
#include <vector>
class CAutoFile;
class CFeeRate;
class CTxMemPoolEntry;
class CTxMemPool;
/** \class CBlockPolicyEstimator
* 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. 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 and we track an array of counters in each bucket
* for how long it to took transactions to get confirmed from 1 to a max of 25
* and we increment all the counters from Y up to 25. This is because for any
* number Z>=Y the transaction was successfully mined within Z blocks. 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 number 1-25 blocks
* or less for any bucket. We save this history by keeping an exponentially
* decaying moving average of each one of these stats. Furthermore we also
* keep track of the number unmined (in mempool) transactions in each bucket
* and for how many blocks they have been outstanding and use that 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.
*/
/**
* 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
* approximate feerate and then track how long it took for those txs to be included in a block
*
* The tracking of unconfirmed (mempool) transactions is completely independent of the
* historical tracking of transactions that have been confirmed in a block.
*/
class TxConfirmStats
{
private:
//Define the buckets we will group transactions into
std::vector<double> buckets; // The upper-bound of the range for the bucket (inclusive)
std::map<double, unsigned int> bucketMap; // Map of bucket upper-bound to index into all vectors by bucket
// For each bucket X:
// Count the total # of txs in each bucket
// Track the historical moving average of this total over blocks
std::vector<double> txCtAvg;
// and calculate the total for the current block to update the moving average
std::vector<int> curBlockTxCt;
// Count the total # of txs confirmed within Y blocks in each bucket
// Track the historical moving average of theses totals over blocks
std::vector<std::vector<double> > confAvg; // confAvg[Y][X]
// and calculate the totals for the current block to update the moving averages
std::vector<std::vector<int> > curBlockConf; // curBlockConf[Y][X]
// Sum the total feerate of all tx's in each bucket
// Track the historical moving average of this total over blocks
std::vector<double> avg;
// and calculate the total for the current block to update the moving average
std::vector<double> curBlockVal;
// Combine the conf counts with tx counts to calculate the confirmation % for each Y,X
// Combine the total value with the tx counts to calculate the avg feerate per bucket
double decay;
// Mempool counts of outstanding transactions
// For each bucket X, track the number of transactions in the mempool
// that are unconfirmed for each possible confirmation value Y
std::vector<std::vector<int> > unconfTxs; //unconfTxs[Y][X]
// transactions still unconfirmed after MAX_CONFIRMS for each bucket
std::vector<int> oldUnconfTxs;
public:
/**
* Initialize the data structures. This is called by BlockPolicyEstimator's
* constructor with default values.
* @param defaultBuckets contains the upper limits for the bucket boundaries
* @param maxConfirms max number of confirms to track
* @param decay how much to decay the historical moving average per block
*/
void Initialize(std::vector<double>& defaultBuckets, unsigned int maxConfirms, double decay);
/** Clear the state of the curBlock variables to start counting for the new block */
void ClearCurrent(unsigned int nBlockHeight);
/**
* Record a new transaction data point in the current block stats
* @param blocksToConfirm the number of blocks it took this transaction to confirm
* @param val the feerate of the transaction
* @warning blocksToConfirm is 1-based and has to be >= 1
*/
void Record(int blocksToConfirm, double val);
/** Record a new transaction entering the mempool*/
unsigned int NewTx(unsigned int nBlockHeight, double val);
/** Remove a transaction from mempool tracking stats*/
void removeTx(unsigned int entryHeight, unsigned int nBestSeenHeight,
unsigned int bucketIndex);
/** Update our estimates by decaying our historical moving average and updating
with the data gathered from the current block */
void UpdateMovingAverages();
/**
* Calculate a feerate estimate. Find the lowest value bucket (or range of buckets
* to make sure we have enough data points) whose transactions still have sufficient likelihood
* of being confirmed within the target number of confirmations
* @param confTarget target number of confirmations
* @param sufficientTxVal required average number of transactions per block in a bucket range
* @param minSuccess the success probability we require
* @param requireGreater return the lowest feerate such that all higher values pass minSuccess OR
* return the highest feerate such that all lower values fail minSuccess
* @param nBlockHeight the current block height
*/
double EstimateMedianVal(int confTarget, double sufficientTxVal,
double minSuccess, bool requireGreater, unsigned int nBlockHeight);
/** Return the max number of confirms we're tracking */
unsigned int GetMaxConfirms() { return confAvg.size(); }
/** Write state of estimation data to a file*/
void Write(CAutoFile& fileout);
/**
* Read saved state of estimation data from a file and replace all internal data structures and
* variables with this state.
*/
void Read(CAutoFile& filein);
};
/** 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;
static const double INF_PRIORITY = 1e9 * 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
* stats on the transactions included in that block
*/
class CBlockPolicyEstimator
{
public:
/** Create new BlockPolicyEstimator and initialize stats tracking classes with default values */
CBlockPolicyEstimator();
/** Process all the transactions that have been included in a block */
void processBlock(unsigned int nBlockHeight,
std::vector<const CTxMemPoolEntry*>& entries);
/** Process a transaction confirmed in a block*/
bool processBlockTx(unsigned int nBlockHeight, const CTxMemPoolEntry* entry);
/** Process a transaction accepted to the mempool*/
void processTransaction(const CTxMemPoolEntry& entry, bool validFeeEstimate);
/** Remove a transaction from the mempool tracking stats*/
bool removeTx(uint256 hash);
/** Return a feerate estimate */
CFeeRate estimateFee(int confTarget);
/** Estimate feerate needed to get be included in a block within
* confTarget blocks. If no answer can be given at confTarget, return an
* estimate at the lowest target where one can be given.
*/
CFeeRate estimateSmartFee(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool);
/** Return a priority estimate.
* DEPRECATED
* Returns -1
*/
double estimatePriority(int confTarget);
/** Estimate priority needed to get be included in a block within
* confTarget blocks.
* DEPRECATED
* Returns -1 unless mempool is currently limited then returns INF_PRIORITY
* answerFoundAtTarget is set to confTarget
*/
double estimateSmartPriority(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool);
/** Write estimation data to a file */
void Write(CAutoFile& fileout);
/** Read estimation data from a file */
void Read(CAutoFile& filein, int nFileVersion);
private:
CFeeRate minTrackedFee; //!< Passed to constructor to avoid dependency on main
unsigned int nBestSeenHeight;
struct TxStatsInfo
{
unsigned int blockHeight;
unsigned int bucketIndex;
TxStatsInfo() : blockHeight(0), bucketIndex(0) {}
};
// map of txids to information about that transaction
std::map<uint256, TxStatsInfo> mapMemPoolTxs;
/** Classes to track historical data on transaction confirmations */
TxConfirmStats feeStats;
unsigned int trackedTxs;
unsigned int untrackedTxs;
};
class FeeFilterRounder
{
public:
/** Create new FeeFilterRounder */
FeeFilterRounder(const CFeeRate& minIncrementalFee);
/** Quantize a minimum fee for privacy purpose before broadcast **/
CAmount round(CAmount currentMinFee);
private:
std::set<double> feeset;
FastRandomContext insecure_rand;
};
#endif /*BITCOIN_POLICYESTIMATOR_H */