Rewrite estimateSmartFee

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.

Author: morcos

src/policy/fees.cpp

@@ -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 {

src/policy/fees.h

@@ -155,7 +155,7 @@ class CBlockPolicyEstimator
      *  confTarget blocks. If no answer can be given at confTarget, return an
      *  estimate at the lowest target where one can be given.
      */
-    CFeeRate estimateSmartFee(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool) const;
+    CFeeRate estimateSmartFee(int confTarget, int *answerFoundAtTarget, const CTxMemPool& pool, bool conservative = true) const;
 
     /** Return a specific fee estimate calculation with a given success threshold and time horizon.
      */
@@ -199,6 +199,8 @@ class CBlockPolicyEstimator
     /** Process a transaction confirmed in a block*/
     bool processBlockTx(unsigned int nBlockHeight, const CTxMemPoolEntry* entry);
 
+    double estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon) const;
+    double estimateConservativeFee(unsigned int doubleTarget) const;
 };
 
 class FeeFilterRounder

src/rpc/client.cpp

@@ -106,6 +106,7 @@ static const CRPCConvertParam vRPCConvertParams[] =
     { "getrawmempool", 0, "verbose" },
     { "estimatefee", 0, "nblocks" },
     { "estimatesmartfee", 0, "nblocks" },
+    { "estimatesmartfee", 1, "conservative" },
     { "estimaterawfee", 0, "nblocks" },
     { "estimaterawfee", 1, "threshold" },
     { "estimaterawfee", 2, "horizon" },

src/rpc/mining.cpp

@@ -828,16 +828,20 @@ UniValue estimatefee(const JSONRPCRequest& request)
 
 UniValue estimatesmartfee(const JSONRPCRequest& request)
 {
-    if (request.fHelp || request.params.size() != 1)
+    if (request.fHelp || request.params.size() < 1 || request.params.size() > 2)
         throw std::runtime_error(
-            "estimatesmartfee nblocks\n"
+            "estimatesmartfee nblocks (conservative)\n"
             "\nWARNING: This interface is unstable and may disappear or change!\n"
             "\nEstimates the approximate fee per kilobyte needed for a transaction to begin\n"
             "confirmation within nblocks blocks if possible and return the number of blocks\n"
             "for which the estimate is valid. Uses virtual transaction size as defined\n"
             "in BIP 141 (witness data is discounted).\n"
             "\nArguments:\n"
-            "1. nblocks     (numeric)\n"
+            "1. nblocks       (numeric)\n"
+            "2. conservative  (bool, optional, default=true) Whether to return a more conservative estimate which\n"
+            "                 also satisfies a longer history. A conservative estimate potentially returns a higher\n"
+            "                 feerate and is more likely to be sufficient for the desired target, but is not as\n"
+            "                 responsive to short term drops in the prevailing fee market\n"
             "\nResult:\n"
             "{\n"
             "  \"feerate\" : x.x,     (numeric) estimate fee-per-kilobyte (in BTC)\n"
@@ -854,10 +858,15 @@ UniValue estimatesmartfee(const JSONRPCRequest& request)
     RPCTypeCheck(request.params, boost::assign::list_of(UniValue::VNUM));
 
     int nBlocks = request.params[0].get_int();
+    bool conservative = true;
+    if (request.params.size() > 1 && !request.params[1].isNull()) {
+        RPCTypeCheckArgument(request.params[1], UniValue::VBOOL);
+        conservative = request.params[1].get_bool();
+    }
 
     UniValue result(UniValue::VOBJ);
     int answerFound;
-    CFeeRate feeRate = ::feeEstimator.estimateSmartFee(nBlocks, &answerFound, ::mempool);
+    CFeeRate feeRate = ::feeEstimator.estimateSmartFee(nBlocks, &answerFound, ::mempool, conservative);
     result.push_back(Pair("feerate", feeRate == CFeeRate(0) ? -1.0 : ValueFromAmount(feeRate.GetFeePerK())));
     result.push_back(Pair("blocks", answerFound));
     return result;
@@ -951,7 +960,7 @@ static const CRPCCommand commands[] =
     { "generating",         "generatetoaddress",      &generatetoaddress,      true,  {"nblocks","address","maxtries"} },
 
     { "util",               "estimatefee",            &estimatefee,            true,  {"nblocks"} },
-    { "util",               "estimatesmartfee",       &estimatesmartfee,       true,  {"nblocks"} },
+    { "util",               "estimatesmartfee",       &estimatesmartfee,       true,  {"nblocks", "conservative"} },
 
     { "hidden",             "estimaterawfee",         &estimaterawfee,         true,  {"nblocks", "threshold", "horizon"} },
 };

src/test/policyestimator_tests.cpp

@@ -83,11 +83,6 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
             BOOST_CHECK(feeEst.estimateFee(1) == CFeeRate(0));
             BOOST_CHECK(feeEst.estimateFee(2).GetFeePerK() < 9*baseRate.GetFeePerK() + deltaFee);
             BOOST_CHECK(feeEst.estimateFee(2).GetFeePerK() > 9*baseRate.GetFeePerK() - deltaFee);
-            int answerFound;
-            BOOST_CHECK(feeEst.estimateSmartFee(1, &answerFound, mpool) == feeEst.estimateFee(2) && answerFound == 2);
-            BOOST_CHECK(feeEst.estimateSmartFee(2, &answerFound, mpool) == feeEst.estimateFee(2) && answerFound == 2);
-            BOOST_CHECK(feeEst.estimateSmartFee(4, &answerFound, mpool) == feeEst.estimateFee(4) && answerFound == 4);
-            BOOST_CHECK(feeEst.estimateSmartFee(8, &answerFound, mpool) == feeEst.estimateFee(8) && answerFound == 8);
         }
     }
 
@@ -143,10 +138,8 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
         mpool.removeForBlock(block, ++blocknum);
     }
 
-    int answerFound;
     for (int i = 1; i < 10;i++) {
         BOOST_CHECK(feeEst.estimateFee(i) == CFeeRate(0) || feeEst.estimateFee(i).GetFeePerK() > origFeeEst[i-1] - deltaFee);
-        BOOST_CHECK(feeEst.estimateSmartFee(i, &answerFound, mpool).GetFeePerK() > origFeeEst[answerFound-1] - deltaFee);
     }
 
     // Mine all those transactions
@@ -194,7 +187,7 @@ BOOST_AUTO_TEST_CASE(BlockPolicyEstimates)
     mpool.TrimToSize(1);
     BOOST_CHECK(mpool.GetMinFee(1).GetFeePerK() > feeV[5]);
     for (int i = 1; i < 10; i++) {
-        BOOST_CHECK(feeEst.estimateSmartFee(i, NULL, mpool).GetFeePerK() >= feeEst.estimateFee(i).GetFeePerK());
+        BOOST_CHECK(feeEst.estimateSmartFee(i, NULL, mpool).GetFeePerK() >= feeEst.estimateRawFee(i, 0.85, FeeEstimateHorizon::MED_HALFLIFE).GetFeePerK());
         BOOST_CHECK(feeEst.estimateSmartFee(i, NULL, mpool).GetFeePerK() >= mpool.GetMinFee(1).GetFeePerK());
     }
 }

test/functional/smartfees.py

@@ -116,8 +116,8 @@ def check_estimates(node, fees_seen, max_invalid, print_estimates = True):
     for i,e in enumerate(all_estimates): # estimate is for i+1
         if e >= 0:
             valid_estimate = True
-            # estimatesmartfee should return the same result
-            assert_equal(node.estimatesmartfee(i+1)["feerate"], e)
+            if i >= 13:  # for n>=14 estimatesmartfee(n/2) should be at least as high as estimatefee(n)
+                assert(node.estimatesmartfee((i+1)//2)["feerate"] > float(e) - delta)
 
         else:
             invalid_estimates += 1