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Rewrite estimateSmartFee

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Change the logic of estimateSmartFee to check a 60% threshold at half the target, a 85% threshold at the target and a 95% threshold at double the target. Always check the shortest time horizon possible and ensure that estimates are monotonically decreasing.  Add a conservative mode, which makes sure that the 95% threshold is also met at longer time horizons as well.
This commit is contained in:
Alex Morcos
2017-03-07 11:33:44 -05:00
parent c7447ec303
commit 3810e976d6
6 changed files with 104 additions and 22 deletions
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src/policy/fees.cpp
+83 -6
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@@ -658,31 +658,107 @@ CFeeRate CBlockPolicyEstimator::estimateRawFee(int confTarget, double successThr
return CFeeRate(median);
}
CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool) const
/** Return a fee estimate at the required successThreshold from the shortest
* time horizon which tracks confirmations up to the desired target. If
* checkShorterHorizon is requested, also allow short time horizon estimates
* for a lower target to reduce the given answer */
double CBlockPolicyEstimator::estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon) const
{
double estimate = -1;
if (confTarget >= 1 && confTarget <= longStats->GetMaxConfirms()) {
// Find estimate from shortest time horizon possible
if (confTarget <= shortStats->GetMaxConfirms()) { // short horizon
estimate = shortStats->EstimateMedianVal(confTarget, SUFFICIENT_TXS_SHORT, successThreshold, true, nBestSeenHeight);
}
else if (confTarget <= feeStats->GetMaxConfirms()) { // medium horizon
estimate = feeStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight);
}
else { // long horizon
estimate = longStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight);
}
if (checkShorterHorizon) {
// If a lower confTarget from a more recent horizon returns a lower answer use it.
if (confTarget > feeStats->GetMaxConfirms()) {
double medMax = feeStats->EstimateMedianVal(feeStats->GetMaxConfirms(), SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight);
if (medMax > 0 && (estimate == -1 || medMax < estimate))
estimate = medMax;
}
if (confTarget > shortStats->GetMaxConfirms()) {
double shortMax = shortStats->EstimateMedianVal(shortStats->GetMaxConfirms(), SUFFICIENT_TXS_SHORT, successThreshold, true, nBestSeenHeight);
if (shortMax > 0 && (estimate == -1 || shortMax < estimate))
estimate = shortMax;
}
}
}
return estimate;
}
double CBlockPolicyEstimator::estimateConservativeFee(unsigned int doubleTarget) const
{
double estimate = -1;
if (doubleTarget <= shortStats->GetMaxConfirms()) {
estimate = feeStats->EstimateMedianVal(doubleTarget, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight);
}
if (doubleTarget <= feeStats->GetMaxConfirms()) {
double longEstimate = longStats->EstimateMedianVal(doubleTarget, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight);
if (longEstimate > estimate) {
estimate = longEstimate;
}
}
return estimate;
}
CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool, bool conservative) const
{
if (answerFoundAtTarget)
*answerFoundAtTarget = confTarget;
double median = -1;
{
LOCK(cs_feeEstimator);
// Return failure if trying to analyze a target we're not tracking
if (confTarget <= 0 || (unsigned int)confTarget > feeStats->GetMaxConfirms())
if (confTarget <= 0 || (unsigned int)confTarget > longStats->GetMaxConfirms())
return CFeeRate(0);
// It's not possible to get reasonable estimates for confTarget of 1
if (confTarget == 1)
confTarget = 2;
while (median < 0 && (unsigned int)confTarget <= feeStats->GetMaxConfirms()) {
median = feeStats->EstimateMedianVal(confTarget++, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight);
assert(confTarget > 0); //estimateCombinedFee and estimateConservativeFee take unsigned ints
/** 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 becuase 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.
*/
double halfEst = estimateCombinedFee(confTarget/2, HALF_SUCCESS_PCT, true);
double actualEst = estimateCombinedFee(confTarget, SUCCESS_PCT, true);
double doubleEst = estimateCombinedFee(2 * confTarget, DOUBLE_SUCCESS_PCT, !conservative);
median = halfEst;
if (actualEst > median) {
median = actualEst;
}
if (doubleEst > median) {
median = doubleEst;
}
if (conservative || median == -1) {
double consEst = estimateConservativeFee(2 * confTarget);
if (consEst > median) {
median = consEst;
}
}
} // Must unlock cs_feeEstimator before taking mempool locks
if (answerFoundAtTarget)
*answerFoundAtTarget = confTarget - 1;
*answerFoundAtTarget = confTarget;
// If mempool is limiting txs , return at least the min feerate from the mempool
CAmount minPoolFee = pool.GetMinFee(GetArg("-maxmempool", DEFAULT_MAX_MEMPOOL_SIZE) * 1000000).GetFeePerK();
@@ -695,6 +771,7 @@ CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoun
return CFeeRate(median);
}
bool CBlockPolicyEstimator::Write(CAutoFile& fileout) const
{
try {