From 1bebfc8d3aa615dfdd0221f21b87319e36821b71 Mon Sep 17 00:00:00 2001 From: Alex Morcos Date: Tue, 25 Apr 2017 15:39:32 -0400 Subject: [PATCH] Output Fee Estimation Calculations in CreateTransaction --- src/policy/fees.cpp | 90 ++++++++++++++++++++++++++++---------- src/policy/fees.h | 34 +++++++++++--- src/qt/sendcoinsdialog.cpp | 6 +-- src/rpc/mining.cpp | 6 +-- src/wallet/feebumper.cpp | 2 +- src/wallet/wallet.cpp | 37 ++++++++++++---- src/wallet/wallet.h | 3 +- 7 files changed, 134 insertions(+), 44 deletions(-) diff --git a/src/policy/fees.cpp b/src/policy/fees.cpp index 7a9af5edc..58a2f6da7 100644 --- a/src/policy/fees.cpp +++ b/src/policy/fees.cpp @@ -16,6 +16,26 @@ static constexpr double INF_FEERATE = 1e99; +std::string StringForFeeReason(FeeReason reason) { + static const std::map fee_reason_strings = { + {FeeReason::NONE, "None"}, + {FeeReason::HALF_ESTIMATE, "Half Target 60% Threshold"}, + {FeeReason::FULL_ESTIMATE, "Target 85% Threshold"}, + {FeeReason::DOUBLE_ESTIMATE, "Double Target 95% Threshold"}, + {FeeReason::CONSERVATIVE, "Conservative Double Target longer horizon"}, + {FeeReason::MEMPOOL_MIN, "Mempool Min Fee"}, + {FeeReason::PAYTXFEE, "PayTxFee set"}, + {FeeReason::FALLBACK, "Fallback fee"}, + {FeeReason::REQUIRED, "Minimum Required Fee"}, + {FeeReason::MAXTXFEE, "MaxTxFee limit"} + }; + auto reason_string = fee_reason_strings.find(reason); + + if (reason_string == fee_reason_strings.end()) return "Unknown"; + + return reason_string->second; +} + /** * 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 @@ -698,31 +718,36 @@ unsigned int CBlockPolicyEstimator::MaxUsableEstimate() const * 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 CBlockPolicyEstimator::estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon, EstimationResult *result) 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); + estimate = shortStats->EstimateMedianVal(confTarget, SUFFICIENT_TXS_SHORT, successThreshold, true, nBestSeenHeight, result); } else if (confTarget <= feeStats->GetMaxConfirms()) { // medium horizon - estimate = feeStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight); + estimate = feeStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight, result); } else { // long horizon - estimate = longStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight); + estimate = longStats->EstimateMedianVal(confTarget, SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight, result); } if (checkShorterHorizon) { + EstimationResult tempResult; // 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)) + double medMax = feeStats->EstimateMedianVal(feeStats->GetMaxConfirms(), SUFFICIENT_FEETXS, successThreshold, true, nBestSeenHeight, &tempResult); + if (medMax > 0 && (estimate == -1 || medMax < estimate)) { estimate = medMax; + if (result) *result = tempResult; + } } if (confTarget > shortStats->GetMaxConfirms()) { - double shortMax = shortStats->EstimateMedianVal(shortStats->GetMaxConfirms(), SUFFICIENT_TXS_SHORT, successThreshold, true, nBestSeenHeight); - if (shortMax > 0 && (estimate == -1 || shortMax < estimate)) + double shortMax = shortStats->EstimateMedianVal(shortStats->GetMaxConfirms(), SUFFICIENT_TXS_SHORT, successThreshold, true, nBestSeenHeight, &tempResult); + if (shortMax > 0 && (estimate == -1 || shortMax < estimate)) { estimate = shortMax; + if (result) *result = tempResult; + } } } } @@ -732,16 +757,18 @@ double CBlockPolicyEstimator::estimateCombinedFee(unsigned int confTarget, doubl /** Ensure that for a conservative estimate, the DOUBLE_SUCCESS_PCT is also met * at 2 * target for any longer time horizons. */ -double CBlockPolicyEstimator::estimateConservativeFee(unsigned int doubleTarget) const +double CBlockPolicyEstimator::estimateConservativeFee(unsigned int doubleTarget, EstimationResult *result) const { double estimate = -1; + EstimationResult tempResult; if (doubleTarget <= shortStats->GetMaxConfirms()) { - estimate = feeStats->EstimateMedianVal(doubleTarget, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight); + estimate = feeStats->EstimateMedianVal(doubleTarget, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight, result); } if (doubleTarget <= feeStats->GetMaxConfirms()) { - double longEstimate = longStats->EstimateMedianVal(doubleTarget, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight); + double longEstimate = longStats->EstimateMedianVal(doubleTarget, SUFFICIENT_FEETXS, DOUBLE_SUCCESS_PCT, true, nBestSeenHeight, &tempResult); if (longEstimate > estimate) { estimate = longEstimate; + if (result) *result = tempResult; } } return estimate; @@ -754,12 +781,15 @@ double CBlockPolicyEstimator::estimateConservativeFee(unsigned int doubleTarget) * estimates, however, required the 95% threshold at 2 * target be met for any * longer time horizons also. */ -CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool, bool conservative) const +CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, FeeCalculation *feeCalc, const CTxMemPool& pool, bool conservative) const { - if (answerFoundAtTarget) - *answerFoundAtTarget = confTarget; + if (feeCalc) { + feeCalc->desiredTarget = confTarget; + feeCalc->returnedTarget = confTarget; + } double median = -1; + EstimationResult tempResult; { LOCK(cs_feeEstimator); @@ -780,7 +810,6 @@ CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoun } 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. @@ -791,32 +820,49 @@ CFeeRate CBlockPolicyEstimator::estimateSmartFee(int confTarget, int *answerFoun * 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); + double halfEst = estimateCombinedFee(confTarget/2, HALF_SUCCESS_PCT, true, &tempResult); + if (feeCalc) { + feeCalc->est = tempResult; + feeCalc->reason = FeeReason::HALF_ESTIMATE; + } median = halfEst; + double actualEst = estimateCombinedFee(confTarget, SUCCESS_PCT, true, &tempResult); if (actualEst > median) { median = actualEst; + if (feeCalc) { + feeCalc->est = tempResult; + feeCalc->reason = FeeReason::FULL_ESTIMATE; + } } + double doubleEst = estimateCombinedFee(2 * confTarget, DOUBLE_SUCCESS_PCT, !conservative, &tempResult); if (doubleEst > median) { median = doubleEst; + if (feeCalc) { + feeCalc->est = tempResult; + feeCalc->reason = FeeReason::DOUBLE_ESTIMATE; + } } if (conservative || median == -1) { - double consEst = estimateConservativeFee(2 * confTarget); + double consEst = estimateConservativeFee(2 * confTarget, &tempResult); if (consEst > median) { median = consEst; + if (feeCalc) { + feeCalc->est = tempResult; + feeCalc->reason = FeeReason::CONSERVATIVE; + } } } } // Must unlock cs_feeEstimator before taking mempool locks - if (answerFoundAtTarget) - *answerFoundAtTarget = confTarget; + if (feeCalc) feeCalc->returnedTarget = 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(); - if (minPoolFee > 0 && minPoolFee > median) + if (minPoolFee > 0 && minPoolFee > median) { + if (feeCalc) feeCalc->reason = FeeReason::MEMPOOL_MIN; return CFeeRate(minPoolFee); + } if (median < 0) return CFeeRate(0); diff --git a/src/policy/fees.h b/src/policy/fees.h index e99fec2c3..7125a74f0 100644 --- a/src/policy/fees.h +++ b/src/policy/fees.h @@ -74,6 +74,22 @@ enum FeeEstimateHorizon { LONG_HALFLIFE = 2 }; +/* Enumeration of reason for returned fee estimate */ +enum class FeeReason { + NONE, + HALF_ESTIMATE, + FULL_ESTIMATE, + DOUBLE_ESTIMATE, + CONSERVATIVE, + MEMPOOL_MIN, + PAYTXFEE, + FALLBACK, + REQUIRED, + MAXTXFEE, +}; + +std::string StringForFeeReason(FeeReason reason); + /* Used to return detailed information about a feerate bucket */ struct EstimatorBucket { @@ -90,8 +106,16 @@ struct EstimationResult { EstimatorBucket pass; EstimatorBucket fail; - double decay; - unsigned int scale; + double decay = 0; + unsigned int scale = 0; +}; + +struct FeeCalculation +{ + EstimationResult est; + FeeReason reason = FeeReason::NONE; + int desiredTarget = 0; + int returnedTarget = 0; }; /** @@ -173,7 +197,7 @@ public: * the closest target where one can be given. 'conservative' estimates are * valid over longer time horizons also. */ - CFeeRate estimateSmartFee(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool, bool conservative = true) const; + CFeeRate estimateSmartFee(int confTarget, FeeCalculation *feeCalc, const CTxMemPool& pool, bool conservative = true) const; /** Return a specific fee estimate calculation with a given success * threshold and time horizon, and optionally return detailed data about @@ -223,9 +247,9 @@ private: bool processBlockTx(unsigned int nBlockHeight, const CTxMemPoolEntry* entry); /** Helper for estimateSmartFee */ - double estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon) const; + double estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon, EstimationResult *result) const; /** Helper for estimateSmartFee */ - double estimateConservativeFee(unsigned int doubleTarget) const; + double estimateConservativeFee(unsigned int doubleTarget, EstimationResult *result) const; /** Number of blocks of data recorded while fee estimates have been running */ unsigned int BlockSpan() const; /** Number of blocks of recorded fee estimate data represented in saved data file */ diff --git a/src/qt/sendcoinsdialog.cpp b/src/qt/sendcoinsdialog.cpp index 272ab9486..ea5b5221c 100644 --- a/src/qt/sendcoinsdialog.cpp +++ b/src/qt/sendcoinsdialog.cpp @@ -651,8 +651,8 @@ void SendCoinsDialog::updateSmartFeeLabel() return; int nBlocksToConfirm = ui->sliderSmartFee->maximum() - ui->sliderSmartFee->value() + 2; - int estimateFoundAtBlocks = nBlocksToConfirm; - CFeeRate feeRate = ::feeEstimator.estimateSmartFee(nBlocksToConfirm, &estimateFoundAtBlocks, ::mempool); + FeeCalculation feeCalc; + CFeeRate feeRate = ::feeEstimator.estimateSmartFee(nBlocksToConfirm, &feeCalc, ::mempool); if (feeRate <= CFeeRate(0)) // not enough data => minfee { ui->labelSmartFee->setText(BitcoinUnits::formatWithUnit(model->getOptionsModel()->getDisplayUnit(), @@ -670,7 +670,7 @@ void SendCoinsDialog::updateSmartFeeLabel() ui->labelSmartFee->setText(BitcoinUnits::formatWithUnit(model->getOptionsModel()->getDisplayUnit(), std::max(feeRate.GetFeePerK(), CWallet::GetRequiredFee(1000))) + "/kB"); ui->labelSmartFee2->hide(); - ui->labelFeeEstimation->setText(tr("Estimated to begin confirmation within %n block(s).", "", estimateFoundAtBlocks)); + ui->labelFeeEstimation->setText(tr("Estimated to begin confirmation within %n block(s).", "", feeCalc.returnedTarget)); ui->fallbackFeeWarningLabel->setVisible(false); } diff --git a/src/rpc/mining.cpp b/src/rpc/mining.cpp index cfe42ec7d..5b999ec15 100644 --- a/src/rpc/mining.cpp +++ b/src/rpc/mining.cpp @@ -870,10 +870,10 @@ UniValue estimatesmartfee(const JSONRPCRequest& request) } UniValue result(UniValue::VOBJ); - int answerFound; - CFeeRate feeRate = ::feeEstimator.estimateSmartFee(nBlocks, &answerFound, ::mempool, conservative); + FeeCalculation feeCalc; + CFeeRate feeRate = ::feeEstimator.estimateSmartFee(nBlocks, &feeCalc, ::mempool, conservative); result.push_back(Pair("feerate", feeRate == CFeeRate(0) ? -1.0 : ValueFromAmount(feeRate.GetFeePerK()))); - result.push_back(Pair("blocks", answerFound)); + result.push_back(Pair("blocks", feeCalc.returnedTarget)); return result; } diff --git a/src/wallet/feebumper.cpp b/src/wallet/feebumper.cpp index 46ef87b7b..6a9e6cf9f 100644 --- a/src/wallet/feebumper.cpp +++ b/src/wallet/feebumper.cpp @@ -165,7 +165,7 @@ CFeeBumper::CFeeBumper(const CWallet *pWallet, const uint256 txidIn, int newConf nNewFee = totalFee; nNewFeeRate = CFeeRate(totalFee, maxNewTxSize); } else { - nNewFee = CWallet::GetMinimumFee(maxNewTxSize, newConfirmTarget, mempool, ::feeEstimator, ignoreGlobalPayTxFee); + nNewFee = CWallet::GetMinimumFee(maxNewTxSize, newConfirmTarget, mempool, ::feeEstimator, nullptr, ignoreGlobalPayTxFee); nNewFeeRate = CFeeRate(nNewFee, maxNewTxSize); // New fee rate must be at least old rate + minimum incremental relay rate diff --git a/src/wallet/wallet.cpp b/src/wallet/wallet.cpp index b2706d09f..796580728 100644 --- a/src/wallet/wallet.cpp +++ b/src/wallet/wallet.cpp @@ -2524,7 +2524,8 @@ bool CWallet::CreateTransaction(const std::vector& vecSend, CWalletT assert(txNew.nLockTime <= (unsigned int)chainActive.Height()); assert(txNew.nLockTime < LOCKTIME_THRESHOLD); - + FeeCalculation feeCalc; + unsigned int nBytes; { std::set setCoins; LOCK2(cs_main, cs_wallet); @@ -2696,7 +2697,7 @@ bool CWallet::CreateTransaction(const std::vector& vecSend, CWalletT return false; } - unsigned int nBytes = GetVirtualTransactionSize(txNew); + nBytes = GetVirtualTransactionSize(txNew); CTransaction txNewConst(txNew); @@ -2711,7 +2712,7 @@ bool CWallet::CreateTransaction(const std::vector& vecSend, CWalletT if (coinControl && coinControl->nConfirmTarget > 0) currentConfirmationTarget = coinControl->nConfirmTarget; - CAmount nFeeNeeded = GetMinimumFee(nBytes, currentConfirmationTarget, ::mempool, ::feeEstimator); + CAmount nFeeNeeded = GetMinimumFee(nBytes, currentConfirmationTarget, ::mempool, ::feeEstimator, &feeCalc); if (coinControl && coinControl->fOverrideFeeRate) nFeeNeeded = coinControl->nFeeRate.GetFee(nBytes); @@ -2808,6 +2809,15 @@ bool CWallet::CreateTransaction(const std::vector& vecSend, CWalletT return false; } } + + LogPrintf("Fee Calculation: Fee:%d Bytes:%u Tgt:%d (requested %d) Reason:\"%s\" Decay %.5f: Estimation: (%g - %g) %.2f%% %.1f/(%.1f %d mem %.1f out) Fail: (%g - %g) %.2f%% %.1f/(%.1f %d mem %.1f out)\n", + nFeeRet, nBytes, feeCalc.returnedTarget, feeCalc.desiredTarget, StringForFeeReason(feeCalc.reason), feeCalc.est.decay, + feeCalc.est.pass.start, feeCalc.est.pass.end, + 100 * feeCalc.est.pass.withinTarget / (feeCalc.est.pass.totalConfirmed + feeCalc.est.pass.inMempool + feeCalc.est.pass.leftMempool), + feeCalc.est.pass.withinTarget, feeCalc.est.pass.totalConfirmed, feeCalc.est.pass.inMempool, feeCalc.est.pass.leftMempool, + feeCalc.est.fail.start, feeCalc.est.fail.end, + 100 * feeCalc.est.fail.withinTarget / (feeCalc.est.fail.totalConfirmed + feeCalc.est.fail.inMempool + feeCalc.est.fail.leftMempool), + feeCalc.est.fail.withinTarget, feeCalc.est.fail.totalConfirmed, feeCalc.est.fail.inMempool, feeCalc.est.fail.leftMempool); return true; } @@ -2882,23 +2892,32 @@ CAmount CWallet::GetRequiredFee(unsigned int nTxBytes) return std::max(minTxFee.GetFee(nTxBytes), ::minRelayTxFee.GetFee(nTxBytes)); } -CAmount CWallet::GetMinimumFee(unsigned int nTxBytes, unsigned int nConfirmTarget, const CTxMemPool& pool, const CBlockPolicyEstimator& estimator, bool ignoreGlobalPayTxFee) +CAmount CWallet::GetMinimumFee(unsigned int nTxBytes, unsigned int nConfirmTarget, const CTxMemPool& pool, const CBlockPolicyEstimator& estimator, FeeCalculation *feeCalc, bool ignoreGlobalPayTxFee) { // payTxFee is the user-set global for desired feerate CAmount nFeeNeeded = payTxFee.GetFee(nTxBytes); // User didn't set: use -txconfirmtarget to estimate... if (nFeeNeeded == 0 || ignoreGlobalPayTxFee) { - int estimateFoundTarget = nConfirmTarget; - nFeeNeeded = estimator.estimateSmartFee(nConfirmTarget, &estimateFoundTarget, pool).GetFee(nTxBytes); + nFeeNeeded = estimator.estimateSmartFee(nConfirmTarget, feeCalc, pool, true).GetFee(nTxBytes); // ... unless we don't have enough mempool data for estimatefee, then use fallbackFee - if (nFeeNeeded == 0) + if (nFeeNeeded == 0) { nFeeNeeded = fallbackFee.GetFee(nTxBytes); + if (feeCalc) feeCalc->reason = FeeReason::FALLBACK; + } + } else { + if (feeCalc) feeCalc->reason = FeeReason::PAYTXFEE; } // prevent user from paying a fee below minRelayTxFee or minTxFee - nFeeNeeded = std::max(nFeeNeeded, GetRequiredFee(nTxBytes)); + CAmount requiredFee = GetRequiredFee(nTxBytes); + if (requiredFee > nFeeNeeded) { + nFeeNeeded = requiredFee; + if (feeCalc) feeCalc->reason = FeeReason::REQUIRED; + } // But always obey the maximum - if (nFeeNeeded > maxTxFee) + if (nFeeNeeded > maxTxFee) { nFeeNeeded = maxTxFee; + if (feeCalc) feeCalc->reason = FeeReason::MAXTXFEE; + } return nFeeNeeded; } diff --git a/src/wallet/wallet.h b/src/wallet/wallet.h index a9c50aee4..f0bf2c5af 100644 --- a/src/wallet/wallet.h +++ b/src/wallet/wallet.h @@ -76,6 +76,7 @@ class CScheduler; class CTxMemPool; class CBlockPolicyEstimator; class CWalletTx; +class FeeCalculation; /** (client) version numbers for particular wallet features */ enum WalletFeature @@ -956,7 +957,7 @@ public: * Estimate the minimum fee considering user set parameters * and the required fee */ - static CAmount GetMinimumFee(unsigned int nTxBytes, unsigned int nConfirmTarget, const CTxMemPool& pool, const CBlockPolicyEstimator& estimator, bool ignoreGlobalPayTxFee = false); + static CAmount GetMinimumFee(unsigned int nTxBytes, unsigned int nConfirmTarget, const CTxMemPool& pool, const CBlockPolicyEstimator& estimator, FeeCalculation *feeCalc = nullptr, bool ignoreGlobalPayTxFee = false); /** * Return the minimum required fee taking into account the * floating relay fee and user set minimum transaction fee