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Expose estimaterawfee

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Track information the ranges of fee rates that were used to calculate the fee estimates (the last range of fee rates in which the data points met the threshold and the first to fail) and provide an RPC call to return this information.
This commit is contained in:
Alex Morcos
2017-01-24 16:30:03 -05:00
parent 2681153af3
commit 4186d3fdfd
4 changed files with 193 additions and 12 deletions
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99
src/policy/fees.cpp
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@@ -107,7 +107,8 @@ public:
* @param nBlockHeight the current block height
*/
double EstimateMedianVal(int confTarget, double sufficientTxVal,
double minSuccess, bool requireGreater, unsigned int nBlockHeight) const;
double minSuccess, bool requireGreater, unsigned int nBlockHeight,
EstimationResult *result = nullptr) const;
/** Return the max number of confirms we're tracking */
unsigned int GetMaxConfirms() const { return confAvg.size(); }
@@ -186,7 +187,7 @@ void TxConfirmStats::UpdateMovingAverages()
// returns -1 on error conditions
double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal,
double successBreakPoint, bool requireGreater,
unsigned int nBlockHeight) const
unsigned int nBlockHeight, EstimationResult *result) const
{
// Counters for a bucket (or range of buckets)
double nConf = 0; // Number of tx's confirmed within the confTarget
@@ -215,6 +216,9 @@ double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal,
bool foundAnswer = false;
unsigned int bins = unconfTxs.size();
bool newBucketRange = true;
bool passing = true;
EstimatorBucket passBucket;
EstimatorBucket failBucket;
// Start counting from highest(default) or lowest feerate transactions
for (int bucket = startbucket; bucket >= 0 && bucket <= maxbucketindex; bucket += step) {
@@ -237,14 +241,30 @@ double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal,
// Check to see if we are no longer getting confirmed at the success rate
if ((requireGreater && curPct < successBreakPoint) || (!requireGreater && curPct > successBreakPoint)) {
if (passing == true) {
// First time we hit a failure record the failed bucket
unsigned int failMinBucket = std::min(curNearBucket, curFarBucket);
unsigned int failMaxBucket = std::max(curNearBucket, curFarBucket);
failBucket.start = failMinBucket ? buckets[failMinBucket - 1] : 0;
failBucket.end = buckets[failMaxBucket];
failBucket.withinTarget = nConf;
failBucket.totalConfirmed = totalNum;
failBucket.inMempool = extraNum;
passing = false;
}
continue;
}
// Otherwise update the cumulative stats, and the bucket variables
// and reset the counters
else {
failBucket = EstimatorBucket(); // Reset any failed bucket, currently passing
foundAnswer = true;
passing = true;
passBucket.withinTarget = nConf;
nConf = 0;
passBucket.totalConfirmed = totalNum;
totalNum = 0;
passBucket.inMempool = extraNum;
extraNum = 0;
bestNearBucket = curNearBucket;
bestFarBucket = curFarBucket;
@@ -260,8 +280,8 @@ double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal,
// Find the bucket with the median transaction and then report the average feerate from that bucket
// This is a compromise between finding the median which we can't since we don't save all tx's
// and reporting the average which is less accurate
unsigned int minBucket = bestNearBucket < bestFarBucket ? bestNearBucket : bestFarBucket;
unsigned int maxBucket = bestNearBucket > bestFarBucket ? bestNearBucket : bestFarBucket;
unsigned int minBucket = std::min(bestNearBucket, bestFarBucket);
unsigned int maxBucket = std::max(bestNearBucket, bestFarBucket);
for (unsigned int j = minBucket; j <= maxBucket; j++) {
txSum += txCtAvg[j];
}
@@ -275,13 +295,37 @@ double TxConfirmStats::EstimateMedianVal(int confTarget, double sufficientTxVal,
break;
}
}
passBucket.start = minBucket ? buckets[minBucket-1] : 0;
passBucket.end = buckets[maxBucket];
}
LogPrint(BCLog::ESTIMATEFEE, "%3d: For conf success %s %4.2f need feerate %s: %12.5g from buckets %8g - %8g Cur Bucket stats %6.2f%% %8.1f/(%.1f+%d mempool)\n",
confTarget, requireGreater ? ">" : "<", successBreakPoint,
requireGreater ? ">" : "<", median, buckets[minBucket], buckets[maxBucket],
100 * nConf / (totalNum + extraNum), nConf, totalNum, extraNum);
// If we were passing until we reached last few buckets with insufficient data, then report those as failed
if (passing && !newBucketRange) {
unsigned int failMinBucket = std::min(curNearBucket, curFarBucket);
unsigned int failMaxBucket = std::max(curNearBucket, curFarBucket);
failBucket.start = failMinBucket ? buckets[failMinBucket - 1] : 0;
failBucket.end = buckets[failMaxBucket];
failBucket.withinTarget = nConf;
failBucket.totalConfirmed = totalNum;
failBucket.inMempool = extraNum;
}
LogPrint(BCLog::ESTIMATEFEE, "FeeEst: %d %s%.0f%% decay %.5f: need feerate: %g from (%g - %g) %.2f%% %.1f/(%.1f+%d mem) Fail: (%g - %g) %.2f%% %.1f/(%.1f+%d mem)\n",
confTarget, requireGreater ? ">" : "<", 100.0 * successBreakPoint, decay,
median, passBucket.start, passBucket.end,
100 * passBucket.withinTarget / (passBucket.totalConfirmed + passBucket.inMempool),
passBucket.withinTarget, passBucket.totalConfirmed, passBucket.inMempool,
failBucket.start, failBucket.end,
100 * failBucket.withinTarget / (failBucket.totalConfirmed + failBucket.inMempool),
failBucket.withinTarget, failBucket.totalConfirmed, failBucket.inMempool);
if (result) {
result->pass = passBucket;
result->fail = failBucket;
result->decay = decay;
}
return median;
}
@@ -537,13 +581,44 @@ void CBlockPolicyEstimator::processBlock(unsigned int nBlockHeight,
CFeeRate CBlockPolicyEstimator::estimateFee(int confTarget) const
{
LOCK(cs_feeEstimator);
// Return failure if trying to analyze a target we're not tracking
// It's not possible to get reasonable estimates for confTarget of 1
if (confTarget <= 1 || (unsigned int)confTarget > feeStats->GetMaxConfirms())
if (confTarget <= 1)
return CFeeRate(0);
double median = feeStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight);
return estimateRawFee(confTarget, DOUBLE_SUCCESS_PCT, FeeEstimateHorizon::MED_HALFLIFE);
}
CFeeRate CBlockPolicyEstimator::estimateRawFee(int confTarget, double successThreshold, FeeEstimateHorizon horizon, EstimationResult* result) const
{
TxConfirmStats* stats;
double sufficientTxs = SUFFICIENT_FEETXS;
switch (horizon) {
case FeeEstimateHorizon::SHORT_HALFLIFE: {
stats = shortStats;
sufficientTxs = SUFFICIENT_TXS_SHORT;
break;
}
case FeeEstimateHorizon::MED_HALFLIFE: {
stats = feeStats;
break;
}
case FeeEstimateHorizon::LONG_HALFLIFE: {
stats = longStats;
break;
}
default: {
return CFeeRate(0);
}
}
LOCK(cs_feeEstimator);
// Return failure if trying to analyze a target we're not tracking
if (confTarget <= 0 || (unsigned int)confTarget > stats->GetMaxConfirms())
return CFeeRate(0);
if (successThreshold > 1)
return CFeeRate(0);
double median = stats->EstimateMedianVal(confTarget, sufficientTxs, successThreshold, true, nBestSeenHeight, result);
if (median < 0)
return CFeeRate(0);