Line data    Source code

       1             : // Copyright (c) 2009-2010 Satoshi Nakamoto
       2             : // Copyright (c) 2009-2021 The Bitcoin Core developers
       3             : // Distributed under the MIT software license, see the accompanying
       4             : // file COPYING or http://www.opensource.org/licenses/mit-license.php.
       5             : #ifndef BITCOIN_POLICY_FEES_H
       6             : #define BITCOIN_POLICY_FEES_H
       7             : 
       8             : #include <consensus/amount.h>
       9             : #include <policy/feerate.h>
      10             : #include <random.h>
      11             : #include <sync.h>
      12             : #include <threadsafety.h>
      13             : #include <uint256.h>
      14             : 
      15             : #include <array>
      16             : #include <map>
      17             : #include <memory>
      18             : #include <set>
      19             : #include <string>
      20             : #include <vector>
      21             : 
      22             : class AutoFile;
      23             : class CTxMemPoolEntry;
      24             : class TxConfirmStats;
      25             : 
      26             : /* Identifier for each of the 3 different TxConfirmStats which will track
      27             :  * history over different time horizons. */
      28             : enum class FeeEstimateHorizon {
      29             :     SHORT_HALFLIFE,
      30             :     MED_HALFLIFE,
      31             :     LONG_HALFLIFE,
      32             : };
      33             : 
      34             : static constexpr auto ALL_FEE_ESTIMATE_HORIZONS = std::array{
      35             :     FeeEstimateHorizon::SHORT_HALFLIFE,
      36             :     FeeEstimateHorizon::MED_HALFLIFE,
      37             :     FeeEstimateHorizon::LONG_HALFLIFE,
      38             : };
      39             : 
      40             : std::string StringForFeeEstimateHorizon(FeeEstimateHorizon horizon);
      41             : 
      42             : /* Enumeration of reason for returned fee estimate */
      43             : enum class FeeReason {
      44             :     NONE,
      45             :     HALF_ESTIMATE,
      46             :     FULL_ESTIMATE,
      47             :     DOUBLE_ESTIMATE,
      48             :     CONSERVATIVE,
      49             :     MEMPOOL_MIN,
      50             :     PAYTXFEE,
      51             :     FALLBACK,
      52             :     REQUIRED,
      53             : };
      54             : 
      55             : /* Used to return detailed information about a feerate bucket */
      56      437257 : struct EstimatorBucket
      57             : {
      58      437257 :     double start = -1;
      59      437257 :     double end = -1;
      60      437257 :     double withinTarget = 0;
      61      437257 :     double totalConfirmed = 0;
      62      437257 :     double inMempool = 0;
      63      437257 :     double leftMempool = 0;
      64             : };
      65             : 
      66             : /* Used to return detailed information about a fee estimate calculation */
      67       95410 : struct EstimationResult
      68             : {
      69             :     EstimatorBucket pass;
      70             :     EstimatorBucket fail;
      71       95410 :     double decay = 0;
      72       95410 :     unsigned int scale = 0;
      73             : };
      74             : 
      75       14774 : struct FeeCalculation
      76             : {
      77             :     EstimationResult est;
      78       14774 :     FeeReason reason = FeeReason::NONE;
      79       14774 :     int desiredTarget = 0;
      80       14774 :     int returnedTarget = 0;
      81             : };
      82             : 
      83             : /** \class CBlockPolicyEstimator
      84             :  * The BlockPolicyEstimator is used for estimating the feerate needed
      85             :  * for a transaction to be included in a block within a certain number of
      86             :  * blocks.
      87             :  *
      88             :  * At a high level the algorithm works by grouping transactions into buckets
      89             :  * based on having similar feerates and then tracking how long it
      90             :  * takes transactions in the various buckets to be mined.  It operates under
      91             :  * the assumption that in general transactions of higher feerate will be
      92             :  * included in blocks before transactions of lower feerate.   So for
      93             :  * example if you wanted to know what feerate you should put on a transaction to
      94             :  * be included in a block within the next 5 blocks, you would start by looking
      95             :  * at the bucket with the highest feerate transactions and verifying that a
      96             :  * sufficiently high percentage of them were confirmed within 5 blocks and
      97             :  * then you would look at the next highest feerate bucket, and so on, stopping at
      98             :  * the last bucket to pass the test.   The average feerate of transactions in this
      99             :  * bucket will give you an indication of the lowest feerate you can put on a
     100             :  * transaction and still have a sufficiently high chance of being confirmed
     101             :  * within your desired 5 blocks.
     102             :  *
     103             :  * Here is a brief description of the implementation:
     104             :  * When a transaction enters the mempool, we track the height of the block chain
     105             :  * at entry.  All further calculations are conducted only on this set of "seen"
     106             :  * transactions. Whenever a block comes in, we count the number of transactions
     107             :  * in each bucket and the total amount of feerate paid in each bucket. Then we
     108             :  * calculate how many blocks Y it took each transaction to be mined.  We convert
     109             :  * from a number of blocks to a number of periods Y' each encompassing "scale"
     110             :  * blocks.  This is tracked in 3 different data sets each up to a maximum
     111             :  * number of periods. Within each data set we have an array of counters in each
     112             :  * feerate bucket and we increment all the counters from Y' up to max periods
     113             :  * representing that a tx was successfully confirmed in less than or equal to
     114             :  * that many periods. We want to save a history of this information, so at any
     115             :  * time we have a counter of the total number of transactions that happened in a
     116             :  * given feerate bucket and the total number that were confirmed in each of the
     117             :  * periods or less for any bucket.  We save this history by keeping an
     118             :  * exponentially decaying moving average of each one of these stats.  This is
     119             :  * done for a different decay in each of the 3 data sets to keep relevant data
     120             :  * from different time horizons.  Furthermore we also keep track of the number
     121             :  * unmined (in mempool or left mempool without being included in a block)
     122             :  * transactions in each bucket and for how many blocks they have been
     123             :  * outstanding and use both of these numbers to increase the number of transactions
     124             :  * we've seen in that feerate bucket when calculating an estimate for any number
     125             :  * of confirmations below the number of blocks they've been outstanding.
     126             :  *
     127             :  *  We want to be able to estimate feerates that are needed on tx's to be included in
     128             :  * a certain number of blocks.  Every time a block is added to the best chain, this class records
     129             :  * stats on the transactions included in that block
     130             :  */
     131             : class CBlockPolicyEstimator
     132             : {
     133             : private:
     134             :     /** Track confirm delays up to 12 blocks for short horizon */
     135             :     static constexpr unsigned int SHORT_BLOCK_PERIODS = 12;
     136             :     static constexpr unsigned int SHORT_SCALE = 1;
     137             :     /** Track confirm delays up to 48 blocks for medium horizon */
     138             :     static constexpr unsigned int MED_BLOCK_PERIODS = 24;
     139             :     static constexpr unsigned int MED_SCALE = 2;
     140             :     /** Track confirm delays up to 1008 blocks for long horizon */
     141             :     static constexpr unsigned int LONG_BLOCK_PERIODS = 42;
     142             :     static constexpr unsigned int LONG_SCALE = 24;
     143             :     /** Historical estimates that are older than this aren't valid */
     144             :     static const unsigned int OLDEST_ESTIMATE_HISTORY = 6 * 1008;
     145             : 
     146             :     /** Decay of .962 is a half-life of 18 blocks or about 45 minutes */
     147             :     static constexpr double SHORT_DECAY = .962;
     148             :     /** Decay of .9952 is a half-life of 144 blocks or about 6 hours */
     149             :     static constexpr double MED_DECAY = .9952;
     150             :     /** Decay of .99931 is a half-life of 1008 blocks or about 2 days */
     151             :     static constexpr double LONG_DECAY = .99931;
     152             : 
     153             :     /** Require greater than 60% of X feerate transactions to be confirmed within Y/2 blocks*/
     154             :     static constexpr double HALF_SUCCESS_PCT = .6;
     155             :     /** Require greater than 85% of X feerate transactions to be confirmed within Y blocks*/
     156             :     static constexpr double SUCCESS_PCT = .85;
     157             :     /** Require greater than 95% of X feerate transactions to be confirmed within 2 * Y blocks*/
     158             :     static constexpr double DOUBLE_SUCCESS_PCT = .95;
     159             : 
     160             :     /** Require an avg of 0.1 tx in the combined feerate bucket per block to have stat significance */
     161             :     static constexpr double SUFFICIENT_FEETXS = 0.1;
     162             :     /** Require an avg of 0.5 tx when using short decay since there are fewer blocks considered*/
     163             :     static constexpr double SUFFICIENT_TXS_SHORT = 0.5;
     164             : 
     165             :     /** Minimum and Maximum values for tracking feerates
     166             :      * The MIN_BUCKET_FEERATE should just be set to the lowest reasonable feerate we
     167             :      * might ever want to track.  Historically this has been 1000 since it was
     168             :      * inheriting DEFAULT_MIN_RELAY_TX_FEE and changing it is disruptive as it
     169             :      * invalidates old estimates files. So leave it at 1000 unless it becomes
     170             :      * necessary to lower it, and then lower it substantially.
     171             :      */
     172             :     static constexpr double MIN_BUCKET_FEERATE = 1000;
     173             :     static constexpr double MAX_BUCKET_FEERATE = 1e7;
     174             : 
     175             :     /** Spacing of FeeRate buckets
     176             :      * We have to lump transactions into buckets based on feerate, but we want to be able
     177             :      * to give accurate estimates over a large range of potential feerates
     178             :      * Therefore it makes sense to exponentially space the buckets
     179             :      */
     180             :     static constexpr double FEE_SPACING = 1.05;
     181             : 
     182             : public:
     183             :     /** Create new BlockPolicyEstimator and initialize stats tracking classes with default values */
     184             :     CBlockPolicyEstimator();
     185             :     ~CBlockPolicyEstimator();
     186             : 
     187             :     /** Process all the transactions that have been included in a block */
     188             :     void processBlock(unsigned int nBlockHeight,
     189             :                       std::vector<const CTxMemPoolEntry*>& entries)
     190             :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     191             : 
     192             :     /** Process a transaction accepted to the mempool*/
     193             :     void processTransaction(const CTxMemPoolEntry& entry, bool validFeeEstimate)
     194             :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     195             : 
     196             :     /** Remove a transaction from the mempool tracking stats*/
     197             :     bool removeTx(uint256 hash, bool inBlock)
     198             :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     199             : 
     200             :     /** DEPRECATED. Return a feerate estimate */
     201             :     CFeeRate estimateFee(int confTarget) const
     202             :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     203             : 
     204             :     /** Estimate feerate needed to get be included in a block within confTarget
     205             :      *  blocks. If no answer can be given at confTarget, return an estimate at
     206             :      *  the closest target where one can be given.  'conservative' estimates are
     207             :      *  valid over longer time horizons also.
     208             :      */
     209             :     CFeeRate estimateSmartFee(int confTarget, FeeCalculation *feeCalc, bool conservative) const
     210             :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     211             : 
     212             :     /** Return a specific fee estimate calculation with a given success
     213             :      * threshold and time horizon, and optionally return detailed data about
     214             :      * calculation
     215             :      */
     216             :     CFeeRate estimateRawFee(int confTarget, double successThreshold, FeeEstimateHorizon horizon,
     217             :                             EstimationResult* result = nullptr) const
     218             :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     219             : 
     220             :     /** Write estimation data to a file */
     221             :     bool Write(AutoFile& fileout) const
     222             :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     223             : 
     224             :     /** Read estimation data from a file */
     225             :     bool Read(AutoFile& filein)
     226             :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     227             : 
     228             :     /** Empty mempool transactions on shutdown to record failure to confirm for txs still in mempool */
     229             :     void FlushUnconfirmed()
     230             :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     231             : 
     232             :     /** Calculation of highest target that estimates are tracked for */
     233             :     unsigned int HighestTargetTracked(FeeEstimateHorizon horizon) const
     234             :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     235             : 
     236             :     /** Drop still unconfirmed transactions and record current estimations, if the fee estimation file is present. */
     237             :     void Flush()
     238             :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     239             : 
     240             : private:
     241             :     mutable Mutex m_cs_fee_estimator;
     242             : 
     243             :     unsigned int nBestSeenHeight GUARDED_BY(m_cs_fee_estimator){0};
     244             :     unsigned int firstRecordedHeight GUARDED_BY(m_cs_fee_estimator){0};
     245             :     unsigned int historicalFirst GUARDED_BY(m_cs_fee_estimator){0};
     246             :     unsigned int historicalBest GUARDED_BY(m_cs_fee_estimator){0};
     247             : 
     248             :     struct TxStatsInfo
     249             :     {
     250       56814 :         unsigned int blockHeight{0};
     251       56814 :         unsigned int bucketIndex{0};
     252      170442 :         TxStatsInfo() {}
     253             :     };
     254             : 
     255             :     // map of txids to information about that transaction
     256             :     std::map<uint256, TxStatsInfo> mapMemPoolTxs GUARDED_BY(m_cs_fee_estimator);
     257             : 
     258             :     /** Classes to track historical data on transaction confirmations */
     259             :     std::unique_ptr<TxConfirmStats> feeStats PT_GUARDED_BY(m_cs_fee_estimator);
     260             :     std::unique_ptr<TxConfirmStats> shortStats PT_GUARDED_BY(m_cs_fee_estimator);
     261             :     std::unique_ptr<TxConfirmStats> longStats PT_GUARDED_BY(m_cs_fee_estimator);
     262             : 
     263             :     unsigned int trackedTxs GUARDED_BY(m_cs_fee_estimator){0};
     264             :     unsigned int untrackedTxs GUARDED_BY(m_cs_fee_estimator){0};
     265             : 
     266             :     std::vector<double> buckets GUARDED_BY(m_cs_fee_estimator); // The upper-bound of the range for the bucket (inclusive)
     267             :     std::map<double, unsigned int> bucketMap GUARDED_BY(m_cs_fee_estimator); // Map of bucket upper-bound to index into all vectors by bucket
     268             : 
     269             :     /** Process a transaction confirmed in a block*/
     270             :     bool processBlockTx(unsigned int nBlockHeight, const CTxMemPoolEntry* entry) EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
     271             : 
     272             :     /** Helper for estimateSmartFee */
     273             :     double estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon, EstimationResult *result) const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
     274             :     /** Helper for estimateSmartFee */
     275             :     double estimateConservativeFee(unsigned int doubleTarget, EstimationResult *result) const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
     276             :     /** Number of blocks of data recorded while fee estimates have been running */
     277             :     unsigned int BlockSpan() const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
     278             :     /** Number of blocks of recorded fee estimate data represented in saved data file */
     279             :     unsigned int HistoricalBlockSpan() const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
     280             :     /** Calculation of highest target that reasonable estimate can be provided for */
     281             :     unsigned int MaxUsableEstimate() const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
     282             : 
     283             :     /** A non-thread-safe helper for the removeTx function */
     284             :     bool _removeTx(const uint256& hash, bool inBlock)
     285             :         EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
     286             : };
     287             : 
     288             : #endif // BITCOIN_POLICY_FEES_H