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       1                 :            : // Copyright (c) 2009-2010 Satoshi Nakamoto
       2                 :            : // Copyright (c) 2009-2022 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                 :            : #include <util/fs.h>
      15                 :            : 
      16                 :            : #include <array>
      17                 :            : #include <chrono>
      18                 :            : #include <map>
      19                 :            : #include <memory>
      20                 :            : #include <set>
      21                 :            : #include <string>
      22                 :            : #include <vector>
      23                 :            : 
      24                 :            : 
      25                 :            : // How often to flush fee estimates to fee_estimates.dat.
      26                 :            : static constexpr std::chrono::hours FEE_FLUSH_INTERVAL{1};
      27                 :            : 
      28                 :            : /** fee_estimates.dat that are more than 60 hours (2.5 days) old will not be read,
      29                 :            :  * as fee estimates are based on historical data and may be inaccurate if
      30                 :            :  * network activity has changed.
      31                 :            :  */
      32                 :            : static constexpr std::chrono::hours MAX_FILE_AGE{60};
      33                 :            : 
      34                 :            : // Whether we allow importing a fee_estimates file older than MAX_FILE_AGE.
      35                 :            : static constexpr bool DEFAULT_ACCEPT_STALE_FEE_ESTIMATES{false};
      36                 :            : 
      37                 :            : class AutoFile;
      38                 :            : class CTxMemPoolEntry;
      39                 :            : class TxConfirmStats;
      40                 :            : 
      41                 :            : /* Identifier for each of the 3 different TxConfirmStats which will track
      42                 :            :  * history over different time horizons. */
      43                 :            : enum class FeeEstimateHorizon {
      44                 :            :     SHORT_HALFLIFE,
      45                 :            :     MED_HALFLIFE,
      46                 :            :     LONG_HALFLIFE,
      47                 :            : };
      48                 :            : 
      49                 :            : static constexpr auto ALL_FEE_ESTIMATE_HORIZONS = std::array{
      50                 :            :     FeeEstimateHorizon::SHORT_HALFLIFE,
      51                 :            :     FeeEstimateHorizon::MED_HALFLIFE,
      52                 :            :     FeeEstimateHorizon::LONG_HALFLIFE,
      53                 :            : };
      54                 :            : 
      55                 :            : std::string StringForFeeEstimateHorizon(FeeEstimateHorizon horizon);
      56                 :            : 
      57                 :            : /* Enumeration of reason for returned fee estimate */
      58                 :            : enum class FeeReason {
      59                 :            :     NONE,
      60                 :            :     HALF_ESTIMATE,
      61                 :            :     FULL_ESTIMATE,
      62                 :            :     DOUBLE_ESTIMATE,
      63                 :            :     CONSERVATIVE,
      64                 :            :     MEMPOOL_MIN,
      65                 :            :     PAYTXFEE,
      66                 :            :     FALLBACK,
      67                 :            :     REQUIRED,
      68                 :            : };
      69                 :            : 
      70                 :            : /* Used to return detailed information about a feerate bucket */
      71                 :          0 : struct EstimatorBucket
      72                 :            : {
      73                 :          0 :     double start = -1;
      74                 :          0 :     double end = -1;
      75                 :          0 :     double withinTarget = 0;
      76                 :          0 :     double totalConfirmed = 0;
      77                 :          0 :     double inMempool = 0;
      78                 :          0 :     double leftMempool = 0;
      79                 :            : };
      80                 :            : 
      81                 :            : /* Used to return detailed information about a fee estimate calculation */
      82                 :          0 : struct EstimationResult
      83                 :            : {
      84                 :            :     EstimatorBucket pass;
      85                 :            :     EstimatorBucket fail;
      86                 :          0 :     double decay = 0;
      87                 :          0 :     unsigned int scale = 0;
      88                 :            : };
      89                 :            : 
      90                 :          0 : struct FeeCalculation
      91                 :            : {
      92                 :            :     EstimationResult est;
      93                 :          0 :     FeeReason reason = FeeReason::NONE;
      94                 :          0 :     int desiredTarget = 0;
      95                 :          0 :     int returnedTarget = 0;
      96                 :            : };
      97                 :            : 
      98                 :            : /** \class CBlockPolicyEstimator
      99                 :            :  * The BlockPolicyEstimator is used for estimating the feerate needed
     100                 :            :  * for a transaction to be included in a block within a certain number of
     101                 :            :  * blocks.
     102                 :            :  *
     103                 :            :  * At a high level the algorithm works by grouping transactions into buckets
     104                 :            :  * based on having similar feerates and then tracking how long it
     105                 :            :  * takes transactions in the various buckets to be mined.  It operates under
     106                 :            :  * the assumption that in general transactions of higher feerate will be
     107                 :            :  * included in blocks before transactions of lower feerate.   So for
     108                 :            :  * example if you wanted to know what feerate you should put on a transaction to
     109                 :            :  * be included in a block within the next 5 blocks, you would start by looking
     110                 :            :  * at the bucket with the highest feerate transactions and verifying that a
     111                 :            :  * sufficiently high percentage of them were confirmed within 5 blocks and
     112                 :            :  * then you would look at the next highest feerate bucket, and so on, stopping at
     113                 :            :  * the last bucket to pass the test.   The average feerate of transactions in this
     114                 :            :  * bucket will give you an indication of the lowest feerate you can put on a
     115                 :            :  * transaction and still have a sufficiently high chance of being confirmed
     116                 :            :  * within your desired 5 blocks.
     117                 :            :  *
     118                 :            :  * Here is a brief description of the implementation:
     119                 :            :  * When a transaction enters the mempool, we track the height of the block chain
     120                 :            :  * at entry.  All further calculations are conducted only on this set of "seen"
     121                 :            :  * transactions. Whenever a block comes in, we count the number of transactions
     122                 :            :  * in each bucket and the total amount of feerate paid in each bucket. Then we
     123                 :            :  * calculate how many blocks Y it took each transaction to be mined.  We convert
     124                 :            :  * from a number of blocks to a number of periods Y' each encompassing "scale"
     125                 :            :  * blocks.  This is tracked in 3 different data sets each up to a maximum
     126                 :            :  * number of periods. Within each data set we have an array of counters in each
     127                 :            :  * feerate bucket and we increment all the counters from Y' up to max periods
     128                 :            :  * representing that a tx was successfully confirmed in less than or equal to
     129                 :            :  * that many periods. We want to save a history of this information, so at any
     130                 :            :  * time we have a counter of the total number of transactions that happened in a
     131                 :            :  * given feerate bucket and the total number that were confirmed in each of the
     132                 :            :  * periods or less for any bucket.  We save this history by keeping an
     133                 :            :  * exponentially decaying moving average of each one of these stats.  This is
     134                 :            :  * done for a different decay in each of the 3 data sets to keep relevant data
     135                 :            :  * from different time horizons.  Furthermore we also keep track of the number
     136                 :            :  * unmined (in mempool or left mempool without being included in a block)
     137                 :            :  * transactions in each bucket and for how many blocks they have been
     138                 :            :  * outstanding and use both of these numbers to increase the number of transactions
     139                 :            :  * we've seen in that feerate bucket when calculating an estimate for any number
     140                 :            :  * of confirmations below the number of blocks they've been outstanding.
     141                 :            :  *
     142                 :            :  *  We want to be able to estimate feerates that are needed on tx's to be included in
     143                 :            :  * a certain number of blocks.  Every time a block is added to the best chain, this class records
     144                 :            :  * stats on the transactions included in that block
     145                 :            :  */
     146                 :            : class CBlockPolicyEstimator
     147                 :            : {
     148                 :            : private:
     149                 :            :     /** Track confirm delays up to 12 blocks for short horizon */
     150                 :            :     static constexpr unsigned int SHORT_BLOCK_PERIODS = 12;
     151                 :            :     static constexpr unsigned int SHORT_SCALE = 1;
     152                 :            :     /** Track confirm delays up to 48 blocks for medium horizon */
     153                 :            :     static constexpr unsigned int MED_BLOCK_PERIODS = 24;
     154                 :            :     static constexpr unsigned int MED_SCALE = 2;
     155                 :            :     /** Track confirm delays up to 1008 blocks for long horizon */
     156                 :            :     static constexpr unsigned int LONG_BLOCK_PERIODS = 42;
     157                 :            :     static constexpr unsigned int LONG_SCALE = 24;
     158                 :            :     /** Historical estimates that are older than this aren't valid */
     159                 :            :     static const unsigned int OLDEST_ESTIMATE_HISTORY = 6 * 1008;
     160                 :            : 
     161                 :            :     /** Decay of .962 is a half-life of 18 blocks or about 3 hours */
     162                 :            :     static constexpr double SHORT_DECAY = .962;
     163                 :            :     /** Decay of .9952 is a half-life of 144 blocks or about 1 day */
     164                 :            :     static constexpr double MED_DECAY = .9952;
     165                 :            :     /** Decay of .99931 is a half-life of 1008 blocks or about 1 week */
     166                 :            :     static constexpr double LONG_DECAY = .99931;
     167                 :            : 
     168                 :            :     /** Require greater than 60% of X feerate transactions to be confirmed within Y/2 blocks*/
     169                 :            :     static constexpr double HALF_SUCCESS_PCT = .6;
     170                 :            :     /** Require greater than 85% of X feerate transactions to be confirmed within Y blocks*/
     171                 :            :     static constexpr double SUCCESS_PCT = .85;
     172                 :            :     /** Require greater than 95% of X feerate transactions to be confirmed within 2 * Y blocks*/
     173                 :            :     static constexpr double DOUBLE_SUCCESS_PCT = .95;
     174                 :            : 
     175                 :            :     /** Require an avg of 0.1 tx in the combined feerate bucket per block to have stat significance */
     176                 :            :     static constexpr double SUFFICIENT_FEETXS = 0.1;
     177                 :            :     /** Require an avg of 0.5 tx when using short decay since there are fewer blocks considered*/
     178                 :            :     static constexpr double SUFFICIENT_TXS_SHORT = 0.5;
     179                 :            : 
     180                 :            :     /** Minimum and Maximum values for tracking feerates
     181                 :            :      * The MIN_BUCKET_FEERATE should just be set to the lowest reasonable feerate we
     182                 :            :      * might ever want to track.  Historically this has been 1000 since it was
     183                 :            :      * inheriting DEFAULT_MIN_RELAY_TX_FEE and changing it is disruptive as it
     184                 :            :      * invalidates old estimates files. So leave it at 1000 unless it becomes
     185                 :            :      * necessary to lower it, and then lower it substantially.
     186                 :            :      */
     187                 :            :     static constexpr double MIN_BUCKET_FEERATE = 1000;
     188                 :            :     static constexpr double MAX_BUCKET_FEERATE = 1e7;
     189                 :            : 
     190                 :            :     /** Spacing of FeeRate buckets
     191                 :            :      * We have to lump transactions into buckets based on feerate, but we want to be able
     192                 :            :      * to give accurate estimates over a large range of potential feerates
     193                 :            :      * Therefore it makes sense to exponentially space the buckets
     194                 :            :      */
     195                 :            :     static constexpr double FEE_SPACING = 1.05;
     196                 :            : 
     197                 :            :     const fs::path m_estimation_filepath;
     198                 :            : public:
     199                 :            :     /** Create new BlockPolicyEstimator and initialize stats tracking classes with default values */
     200                 :            :     CBlockPolicyEstimator(const fs::path& estimation_filepath, const bool read_stale_estimates);
     201                 :            :     ~CBlockPolicyEstimator();
     202                 :            : 
     203                 :            :     /** Process all the transactions that have been included in a block */
     204                 :            :     void processBlock(unsigned int nBlockHeight,
     205                 :            :                       std::vector<const CTxMemPoolEntry*>& entries)
     206                 :            :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     207                 :            : 
     208                 :            :     /** Process a transaction accepted to the mempool*/
     209                 :            :     void processTransaction(const CTxMemPoolEntry& entry, bool validFeeEstimate)
     210                 :            :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     211                 :            : 
     212                 :            :     /** Remove a transaction from the mempool tracking stats*/
     213                 :            :     bool removeTx(uint256 hash, bool inBlock)
     214                 :            :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     215                 :            : 
     216                 :            :     /** DEPRECATED. Return a feerate estimate */
     217                 :            :     CFeeRate estimateFee(int confTarget) const
     218                 :            :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     219                 :            : 
     220                 :            :     /** Estimate feerate needed to get be included in a block within confTarget
     221                 :            :      *  blocks. If no answer can be given at confTarget, return an estimate at
     222                 :            :      *  the closest target where one can be given.  'conservative' estimates are
     223                 :            :      *  valid over longer time horizons also.
     224                 :            :      */
     225                 :            :     CFeeRate estimateSmartFee(int confTarget, FeeCalculation *feeCalc, bool conservative) const
     226                 :            :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     227                 :            : 
     228                 :            :     /** Return a specific fee estimate calculation with a given success
     229                 :            :      * threshold and time horizon, and optionally return detailed data about
     230                 :            :      * calculation
     231                 :            :      */
     232                 :            :     CFeeRate estimateRawFee(int confTarget, double successThreshold, FeeEstimateHorizon horizon,
     233                 :            :                             EstimationResult* result = nullptr) const
     234                 :            :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     235                 :            : 
     236                 :            :     /** Write estimation data to a file */
     237                 :            :     bool Write(AutoFile& fileout) const
     238                 :            :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     239                 :            : 
     240                 :            :     /** Read estimation data from a file */
     241                 :            :     bool Read(AutoFile& filein)
     242                 :            :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     243                 :            : 
     244                 :            :     /** Empty mempool transactions on shutdown to record failure to confirm for txs still in mempool */
     245                 :            :     void FlushUnconfirmed()
     246                 :            :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     247                 :            : 
     248                 :            :     /** Calculation of highest target that estimates are tracked for */
     249                 :            :     unsigned int HighestTargetTracked(FeeEstimateHorizon horizon) const
     250                 :            :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     251                 :            : 
     252                 :            :     /** Drop still unconfirmed transactions and record current estimations, if the fee estimation file is present. */
     253                 :            :     void Flush()
     254                 :            :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     255                 :            : 
     256                 :            :     /** Record current fee estimations. */
     257                 :            :     void FlushFeeEstimates()
     258                 :            :         EXCLUSIVE_LOCKS_REQUIRED(!m_cs_fee_estimator);
     259                 :            : 
     260                 :            :     /** Calculates the age of the file, since last modified */
     261                 :            :     std::chrono::hours GetFeeEstimatorFileAge();
     262                 :            : 
     263                 :            : private:
     264                 :            :     mutable Mutex m_cs_fee_estimator;
     265                 :            : 
     266                 :            :     unsigned int nBestSeenHeight GUARDED_BY(m_cs_fee_estimator){0};
     267                 :            :     unsigned int firstRecordedHeight GUARDED_BY(m_cs_fee_estimator){0};
     268                 :            :     unsigned int historicalFirst GUARDED_BY(m_cs_fee_estimator){0};
     269                 :            :     unsigned int historicalBest GUARDED_BY(m_cs_fee_estimator){0};
     270                 :            : 
     271                 :            :     struct TxStatsInfo
     272                 :            :     {
     273                 :          0 :         unsigned int blockHeight{0};
     274                 :          0 :         unsigned int bucketIndex{0};
     275                 :          0 :         TxStatsInfo() {}
     276                 :            :     };
     277                 :            : 
     278                 :            :     // map of txids to information about that transaction
     279                 :            :     std::map<uint256, TxStatsInfo> mapMemPoolTxs GUARDED_BY(m_cs_fee_estimator);
     280                 :            : 
     281                 :            :     /** Classes to track historical data on transaction confirmations */
     282                 :            :     std::unique_ptr<TxConfirmStats> feeStats PT_GUARDED_BY(m_cs_fee_estimator);
     283                 :            :     std::unique_ptr<TxConfirmStats> shortStats PT_GUARDED_BY(m_cs_fee_estimator);
     284                 :            :     std::unique_ptr<TxConfirmStats> longStats PT_GUARDED_BY(m_cs_fee_estimator);
     285                 :            : 
     286                 :            :     unsigned int trackedTxs GUARDED_BY(m_cs_fee_estimator){0};
     287                 :            :     unsigned int untrackedTxs GUARDED_BY(m_cs_fee_estimator){0};
     288                 :            : 
     289                 :            :     std::vector<double> buckets GUARDED_BY(m_cs_fee_estimator); // The upper-bound of the range for the bucket (inclusive)
     290                 :            :     std::map<double, unsigned int> bucketMap GUARDED_BY(m_cs_fee_estimator); // Map of bucket upper-bound to index into all vectors by bucket
     291                 :            : 
     292                 :            :     /** Process a transaction confirmed in a block*/
     293                 :            :     bool processBlockTx(unsigned int nBlockHeight, const CTxMemPoolEntry* entry) EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
     294                 :            : 
     295                 :            :     /** Helper for estimateSmartFee */
     296                 :            :     double estimateCombinedFee(unsigned int confTarget, double successThreshold, bool checkShorterHorizon, EstimationResult *result) const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
     297                 :            :     /** Helper for estimateSmartFee */
     298                 :            :     double estimateConservativeFee(unsigned int doubleTarget, EstimationResult *result) const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
     299                 :            :     /** Number of blocks of data recorded while fee estimates have been running */
     300                 :            :     unsigned int BlockSpan() const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
     301                 :            :     /** Number of blocks of recorded fee estimate data represented in saved data file */
     302                 :            :     unsigned int HistoricalBlockSpan() const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
     303                 :            :     /** Calculation of highest target that reasonable estimate can be provided for */
     304                 :            :     unsigned int MaxUsableEstimate() const EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
     305                 :            : 
     306                 :            :     /** A non-thread-safe helper for the removeTx function */
     307                 :            :     bool _removeTx(const uint256& hash, bool inBlock)
     308                 :            :         EXCLUSIVE_LOCKS_REQUIRED(m_cs_fee_estimator);
     309                 :            : };
     310                 :            : 
     311                 :            : class FeeFilterRounder
     312                 :            : {
     313                 :            : private:
     314                 :            :     static constexpr double MAX_FILTER_FEERATE = 1e7;
     315                 :            :     /** FEE_FILTER_SPACING is just used to provide some quantization of fee
     316                 :            :      * filter results.  Historically it reused FEE_SPACING, but it is completely
     317                 :            :      * unrelated, and was made a separate constant so the two concepts are not
     318                 :            :      * tied together */
     319                 :            :     static constexpr double FEE_FILTER_SPACING = 1.1;
     320                 :            : 
     321                 :            : public:
     322                 :            :     /** Create new FeeFilterRounder */
     323                 :            :     explicit FeeFilterRounder(const CFeeRate& min_incremental_fee);
     324                 :            : 
     325                 :            :     /** Quantize a minimum fee for privacy purpose before broadcast. */
     326                 :            :     CAmount round(CAmount currentMinFee) EXCLUSIVE_LOCKS_REQUIRED(!m_insecure_rand_mutex);
     327                 :            : 
     328                 :            : private:
     329                 :            :     const std::set<double> m_fee_set;
     330                 :            :     Mutex m_insecure_rand_mutex;
     331                 :            :     FastRandomContext insecure_rand GUARDED_BY(m_insecure_rand_mutex);
     332                 :            : };
     333                 :            : 
     334                 :            : #endif // BITCOIN_POLICY_FEES_H