We want to be able to estimate feerates that are needed on tx's to be included in a certain number of blocks.
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| | CBlockPolicyEstimator () |
| | Create new BlockPolicyEstimator and initialize stats tracking classes with default values. More...
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| | CBlockPolicyEstimator (const CFeeRate &minRelayFee) |
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| | ~CBlockPolicyEstimator () |
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| void | processBlock (unsigned int nBlockHeight, std::vector< const CTxMemPoolEntry * > &entries) |
| | Process all the transactions that have been included in a block. More...
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| bool | processBlockTx (unsigned int nBlockHeight, const CTxMemPoolEntry *entry) |
| | Process a transaction confirmed in a block. More...
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| void | processTransaction (const CTxMemPoolEntry &entry, bool validFeeEstimate) |
| | Process a transaction accepted to the mempool. More...
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| bool | removeTx (uint256 hash, bool inBlock) |
| | Remove a transaction from the mempool tracking stats. More...
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| CFeeRate | estimateFee (int confTarget) const |
| | DEPRECATED. More...
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| CFeeRate | estimateSmartFee (int confTarget, int *answerFoundAtTarget, const CTxMemPool &pool) |
| | Estimate feerate needed to get be included in a block within confTarget blocks. More...
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| CFeeRate | estimateSmartFee (int confTarget, FeeCalculation *feeCalc, bool conservative) const |
| | estimateSmartFee returns the max of the feerates calculated with a 60% threshold required at target / 2, an 85% threshold required at target and a 95% threshold required at 2 * target. More...
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| double | estimatePriority (int confTarget) |
| | Return a priority estimate. More...
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| double | estimateSmartPriority (int confTarget, int *answerFoundAtTarget, const CTxMemPool &pool) |
| | Estimate priority needed to get be included in a block within confTarget blocks. More...
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| CFeeRate | estimateRawFee (int confTarget, double successThreshold, FeeEstimateHorizon horizon, EstimationResult *result=nullptr) const |
| | Return a specific fee estimate calculation with a given success threshold and time horizon, and optionally return detailed data about calculation. More...
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| bool | Write (CAutoFile &fileout) const |
| | Write estimation data to a file. More...
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| bool | Read (CAutoFile &filein) |
| | Read estimation data from a file. More...
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| void | FlushUnconfirmed (CTxMemPool &pool) |
| | Empty mempool transactions on shutdown to record failure to confirm for txs still in mempool. More...
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| unsigned int | HighestTargetTracked (FeeEstimateHorizon horizon) const |
| | Calculation of highest target that estimates are tracked for. More...
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| static constexpr unsigned int | SHORT_BLOCK_PERIODS = 12 |
| | Track confirm delays up to 12 blocks for short horizon. More...
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| static constexpr unsigned int | SHORT_SCALE = 1 |
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| static constexpr unsigned int | MED_BLOCK_PERIODS = 24 |
| | Track confirm delays up to 48 blocks for medium horizon. More...
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| static constexpr unsigned int | MED_SCALE = 2 |
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| static constexpr unsigned int | LONG_BLOCK_PERIODS = 42 |
| | Track confirm delays up to 1008 blocks for long horizon. More...
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| static constexpr unsigned int | LONG_SCALE = 24 |
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| static const unsigned int | OLDEST_ESTIMATE_HISTORY = 6 * 1008 |
| | Historical estimates that are older than this aren't valid. More...
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| static constexpr double | SHORT_DECAY = .962 |
| | Decay of .962 is a half-life of 18 blocks or about 3 hours. More...
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| static constexpr double | MED_DECAY = .9952 |
| | Decay of .998 is a half-life of 144 blocks or about 1 day. More...
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| static constexpr double | LONG_DECAY = .99931 |
| | Decay of .9995 is a half-life of 1008 blocks or about 1 week. More...
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| static constexpr double | HALF_SUCCESS_PCT = .6 |
| | Require greater than 60% of X feerate transactions to be confirmed within Y/2 blocks. More...
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| static constexpr double | SUCCESS_PCT = .85 |
| | Require greater than 85% of X feerate transactions to be confirmed within Y blocks. More...
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| static constexpr double | DOUBLE_SUCCESS_PCT = .95 |
| | Require greater than 95% of X feerate transactions to be confirmed within 2 * Y blocks. More...
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| static constexpr double | SUFFICIENT_FEETXS = 0.1 |
| | Require an avg of 0.1 tx in the combined feerate bucket per block to have stat significance. More...
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| static constexpr double | SUFFICIENT_TXS_SHORT = 0.5 |
| | Require an avg of 0.5 tx when using short decay since there are fewer blocks considered. More...
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| static constexpr double | MIN_BUCKET_FEERATE = 1000 |
| | 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. More...
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| static constexpr double | MAX_BUCKET_FEERATE = 1e7 |
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| static constexpr double | FEE_SPACING = 1.05 |
| | 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. More...
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We want to be able to estimate feerates that are needed on tx's to be included in a certain number of blocks.
The BlockPolicyEstimator is used for estimating the feerate needed for a transaction to be included in a block within 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
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. All further calculations are conducted only on this set of "seen" transactions. 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. We convert from a number of blocks to a number of periods Y' each encompassing "scale" blocks. This is tracked in 3 different data sets each up to a maximum number of periods. Within each data set we have an array of counters in each feerate bucket and we increment all the counters from Y' up to max periods representing that a tx was successfully confirmed in less than or equal to that many periods. 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 of the periods or less for any bucket. We save this history by keeping an exponentially decaying moving average of each one of these stats. This is done for a different decay in each of the 3 data sets to keep relevant data from different time horizons. Furthermore we also keep track of the number unmined (in mempool or left mempool without being included in a block) transactions in each bucket and for how many blocks they have been outstanding and use both of these numbers 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.
Definition at line 162 of file fees.h.
| CFeeRate CBlockPolicyEstimator::estimateSmartFee |
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int |
confTarget, |
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FeeCalculation * |
feeCalc, |
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bool |
conservative |
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estimateSmartFee returns the max of the feerates calculated with a 60% threshold required at target / 2, an 85% threshold required at target and a 95% threshold required at 2 * target.
Each calculation is performed at the shortest time horizon which tracks the required target. Conservative estimates, however, required the 95% threshold at 2 * target be met for any longer time horizons also.
true is passed to estimateCombined fee for target/2 and target so that we check the max confirms for shorter time horizons as well. This is necessary to preserve monotonically increasing estimates. For non-conservative estimates we do the same thing for 2*target, but for conservative estimates we want to skip these shorter horizons checks for 2*target because we are taking the max over all time horizons so we already have monotonically increasing estimates and the purpose of conservative estimates is not to let short term fluctuations lower our estimates by too much.
Definition at line 880 of file fees.cpp.
1.8.11
