Fee Estimation via Fee rate Forecasters

ismaelsadeeq commented at 11:44 am on May 23, 2024: member

This PR is the complete implementation of #30392 it aim to improve Bitcoin Core Fee Estimation by:

Reducing Overestimation: Address and mitigate the overestimation issues present in the current BlockPolicyEstimator. This issue has been documented and acknowledged by various sources:
- See Delving bitcoin posts
- Rene-pickhard Research
Mempool Awareness: Enable the fee estimator to be aware of the mempool state, allowing it to react faster and more accurately to rapidly changing fee market conditions, when targeting very short timeframes.
Empowering Node Users: Allow node users to be self-sovereign by using their node’s estimates, reducing reliance on third-party fee estimations.
Simplifying Strategy Integration: Simplify the process of adding new fee estimation strategies in the future.

The detailed design document for this PR can be found here.

Please note that the design is subject to change as we refine the approach.

This is a collaborative effort with @willcl-ark and incorporates insights from other contributors.

DrahtBot commented at 11:44 am on May 23, 2024: contributor

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Conflicts

Reviewers, this pull request conflicts with the following ones:

#31382 (kernel: Flush in ChainstateManager destructor by TheCharlatan)
#30079 (Fee Estimation: Ignore all transactions that are CPFP’d by ismaelsadeeq)
#29680 (wallet: fix unrelated parent conflict doesn’t cause child tx to be marked as conflict by Eunovo)

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Possible typos and grammar issues:

In feature_fee_estimation.py docstring: “Truend” → “True and”
In mempool_forecaster.cpp added error message: “Forecaster unable a fee rate due to insufficient data” → “Forecaster unable to provide a fee rate due to insufficient data”
In forecaster_man.cpp added log: “at least %d blocks needs to be processed” → “at least %d blocks need to be processed”
In forecaster_util.h comment for p95: “// 5th percentile” → “// 95th percentile”
No other incomprehensible typos were found.

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DrahtBot commented at 3:18 pm on May 23, 2024: contributor

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luke-jr commented at 5:20 pm on May 23, 2024: member

Make the fee estimator aware of the state of the mempool, allowing it to respond to changing conditions immediately.

The state of the node’s mempool may not accurately reflect the state of others’ mempools, and not even its own mempool when the block is found in the future. It isn’t a good single source of information. Perhaps it is a good idea to use it as a secondary source, but probably it should only ever adjust fee estimations upward, not down.

willcl-ark commented at 8:41 am on May 24, 2024: member

The state of the node’s mempool may not accurately reflect the state of others’ mempools, and not even its own mempool when the block is found in the future. It isn’t a good single source of information.

Correct. The rationale behind this set of changes can be summed up briefly as follows:

Add a new standalone modular fee estimation manager to which (many) Forcasters can be trivially added or removed (vs modifying BlockPolicyEstimator).
Provide two forcaster implementations which do not exist today ( 1. mempool-based and 2. previous-6-blocks-seen-in-mempool) to demonstrate functionality.

In the present, there is a strong tendency for users of Bitcoin Core to consult external fee estimation services when they want timely (next 1 or 2 blocks) confirmation of transactions, whilst also not overpaying. Examples of these include mempool.space, whatthefee.io, Samourai’s nextblock.is (now down), johoe, blockchair etc., with more popping up every month.

We also analysed/estimated Bitcoin Core users not using in-built estimation in a post here.

In our opinion having users feel the need to use external fee estimation services that they could equally have served to them by their own node, feels sub-optimal.

In addition to this, when users do use the current Bitcoin Core fee estimator, there are often times when they end up overpaying, see delving bitcoin post Mempool based fee estimation and various issues over the years e.g. #30009 . This is avoidable.

Work from a student of @renepickhardt link demonstrated something we also measured independently – that bitcoin core’s current estimates are often overpaying significantly following fee spikes. This effect can be directly mitigated by using a mempool-based estimation.

Perhaps it is a good idea to use it as a secondary source, but probably it should only ever adjust fee estimations upward, not down.

In this changeset we take the approach of using the lowest result from all “confident” Forcasters. The rationale is that we expect users wanting fast confirmation to have RBF enabled, allowing them to bump fees if we still undershoot.

Comments from @harding link explained that it may be possible for miners to artificially increase a strictly-mempool-based fee-rate. By taking the lower (confident) result from n Forcasters, we attempt to protect against this attack (and others like it), at the potential cost of having to RBF.

We do plan to add additional sanity checks to the mempool-based Forcaster as described in #27995, but these are not yet implemented. In any case, even without these additional checks we have been seeing much-improved short time-scale estimations from Bitcoin Core.

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DrahtBot commented at 5:02 pm on July 3, 2024: contributor

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DrahtBot commented at 12:14 pm on July 24, 2024: contributor

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ismaelsadeeq commented at 9:43 am on September 3, 2024: member

Rebased and added newly introduced files to cmakelist file instead makefile

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DrahtBot commented at 5:03 pm on October 14, 2024: contributor

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murchandamus commented at 5:57 pm on October 21, 2024: contributor

Concept ACK! Thank you for working on this.

vasild commented at 4:28 am on November 6, 2024: contributor

Concept ACK

Allow node users to be self-sovereign by using their node’s estimates, reducing reliance on third-party fee estimations.

having users feel the need to use external fee estimation services that they could equally have served to them by their own node, feels sub-optimal

Indeed, I do that :face_with_head_bandage:

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DrahtBot commented at 8:52 pm on November 14, 2024: contributor

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ismaelsadeeq commented at 9:52 pm on November 14, 2024: member

Thanks for your conceptual review, @murchandamus and @vasild. There’s also another review by @remyers in the tracking issue: #30392 (comment).

I have updated this PR based on feedback from #30391 and in-person conversations:

I am now using the newly introduced FeeFrac datatype, which does not lose precision like CFeeRate.
Updated the CalculatePercentile function to return a monotonically decreasing estimate for high and low priority. The previous approach took the fee rate of the package at the exact percentile, which could be high due to the ancestors of the percentile package included previously in a sibling package.

Relevant commit: 2ac86a8fd7fe108078511ef2f6ad77e315591a2b. I’ve also added a test for this.

Added a functional test for the estimatefee RPC behavior (commit ac8f2caf050e73b038a8e03a51dfe69e1ea7aa19).
Removed the tracing commit after merging #26593, as it changes the tracing structure, which I haven’t reviewed yet. The tracing commit was relevant for collecting node’s estimation data for analysis, it can be added later on.

This PR has now received a conceptual review from a few contributors, so we can proceed to code and approach review.

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glozow referenced this in commit 66aa6a47bd on Jan 8, 2025

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in src/rpc/fees.cpp:103 in e8c4e88c71 outdated

 95@@ -94,6 +96,76 @@ static RPCHelpMan estimatesmartfee()
 96     };
 97 }
 98 
 99+static RPCHelpMan estimatefee()
100+{
101+    return RPCHelpMan{
102+        "estimatefee",
103+        "\nEstimates the approximate fee per kilobyte needed for a transaction to begin\n"

yancyribbens commented at 9:29 pm on March 11, 2025:

This is confusing I think. It’s titled estimatefee however a fee is usually a bitcoin amount. A feerate however is a bitcoin amount per size.

yancyribbens commented at 9:30 pm on March 11, 2025:

should this be “estimatefeerate”?

ismaelsadeeq commented at 11:43 am on March 12, 2025:

I will update this here #31664

ismaelsadeeq commented at 2:31 pm on April 13, 2025:

The new RPC is gone; I’ve integrated this new feature into estimatesmartfee and maintained backward compatibility for users who want only block policy, using a flag.

in src/test/mempoolforecaster_tests.cpp:51 in e8c4e88c71 outdated

46+        // Test when targetBlocks > MEMPOOL_FORECAST_MAX_TARGET
47+        const auto fee_estimate = mempool_fee_estimator->EstimateFee(conf_target);
48+        BOOST_CHECK(fee_estimate.Empty());
49+        BOOST_CHECK(*fee_estimate.GetError() == strprintf("Confirmation target %s exceeds the maximum limit of %s. mempool conditions might change, "
50+                                                          "making forecasts above %s block may be unreliable",
51+                                                          MEMPOOL_FORECAST_MAX_TARGET + 1, MEMPOOL_FORECAST_MAX_TARGET, MEMPOOL_FORECAST_MAX_TARGET));

yancyribbens commented at 9:33 pm on March 11, 2025:

shouldn’t the first positional argument be conf_target ?

ismaelsadeeq commented at 11:45 am on March 12, 2025:

No, conf_target is a struct can not be passed to strprintf

yancyribbens commented at 3:16 pm on March 12, 2025:

Ok, it’s just that you are using MEMPOOL_FORECAST_MAX_TARGET + 1 as the positional argument for Confirmation target %s which doesn’t seem right, but maybe I’m mistaken.

in src/test/mempoolforecaster_tests.cpp:64 in e8c4e88c71 outdated

61+
62+    conf_target.value = MEMPOOL_FORECAST_MAX_TARGET;
63+    // Test when there are not enough mempool transactions to get an accurate estimate
64+    {
65+        std::vector<CTransactionRef> highfee_txs;
66+        // Add transactions with high_fee fee until mempool transactions weight is more than 25th percent of DEFAULT_BLOCK_MAX_WEIGHT

yancyribbens commented at 9:34 pm on March 11, 2025:

0        // Add transactions with high_fee until mempool transactions weight is more than 25th percent of DEFAULT_BLOCK_MAX_WEIGHT

yancyribbens commented at 9:36 pm on March 11, 2025:

than 25th percent of DEFAULT_BLOCK_MAX_WEIGHT

Maybe others understand this, but I’m not sure what 25th percent of … means. Is that the same as 25% of ..?

ismaelsadeeq commented at 11:48 am on March 12, 2025:

It is 0.25 * DEFAULT_BLOCK_MAX_WEIGHT see https://delvingbitcoin.org/t/mempool-based-fee-estimation-on-bitcoin-core/703/2 where the term was used.

yancyribbens commented at 3:20 pm on March 12, 2025:

Oh, you mean to say 25th percentile of DEFAULT_BLOCK_MAX_WEIGHT

ismaelsadeeq force-pushed on Apr 13, 2025

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DrahtBot commented at 1:18 pm on April 13, 2025: contributor

🚧 At least one of the CI tasks failed. Debug: https://github.com/bitcoin/bitcoin/runs/40463061038

Try to run the tests locally, according to the documentation. However, a CI failure may still happen due to a number of reasons, for example:

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ismaelsadeeq force-pushed on Apr 13, 2025

ismaelsadeeq commented at 2:34 pm on April 13, 2025: member

Rebased

DrahtBot removed the label CI failed on Apr 13, 2025

Babam1111qqqqqq11qw commented at 3:13 pm on April 13, 2025: none

سلام…من یه مدت درگیر مشکلات شخصی بودم…به هیچ چیزی دسترسی نداشتم…چند نفر بجای من فعال بود…چیززیادی از دست دادم.؟؟لطفا کمک کنید..بتونم مشکل رو حل کنم.. tabasom12

در تاریخ یکشنبه ۱۳ آوریل ۲۰۲۵،‏ ۱۹:۰۴ Abubakar Sadiq Ismail < @.***> نوشت:

Rebased

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DrahtBot added the label Needs rebase on Apr 14, 2025

fees: refactor: rename policy_fee_tests.cpp to feerounder_tests.cpp

- Also remame the test suite name to match the new name.

4187ad19c3

fees: refactor: rename fees to block_policy_estimator

- Also move it to policy/fees and update the includes

87f9d4af9d

fees: rename fees_args to block_policy_estimator_args

- Also move them to policy/fees/ and update includes
- Note: the block_policy_estimator_args.h include in block_policy_estimator_args.cpp was done manually.

7f7da59d65

fees: return current block height in `estimateSmartFee` 47f012dd9f

fees: add forecaster structures

i  - Forecaster abstract class is the base class of fee rate forecasters.
     Derived classes must provide concrete implementation
     of the virtual methods.

ii - ForecastResult struct represent the response returned by
     a fee rate forecaster.

iii - ForecastType will be used to identify forecasters.
      Each time a new forecaster is added, a corresponding
      enum value should be added to ForecastType.

Co-authored-by: willcl-ark <will@256k1.dev>

cbf568f564

fees: add ForecasterMan class

- Its a module for managing and utilising multiple
  fee rate forecasters to provide fee rate forecast.

- The ForecasterManager class allows for the registration of
  multiple fee rate forecasters.

Co-authored-by: willcl-ark <will@256k1.dev>

1ac79fc5a9

fees: make block_policy_estimator a forecaster b996a12cf4

fees: add block policy estimator to forecaster manager

- This changes `CBlockPolicyEstimator` to a shared pointer
  this gives us three advantages.
   - Registering to validation interface using shared pointer
   - Scheduling block policy estimator flushes using shared pointer
   - Registering block policy estimator to forecaster_man

f320b7c501

fees: add `forecastTypeToString` method

- This method converts a ForecastType enum to its
  string representation.

6bb23b1cae

fees: add `CalculatePercentiles` function

- The CalculatePercentiles function, given
  a vector of feerates in the order they were added
  to the block, will return the 25th, 50th, 75th,
  and 95th percentile feerates.

- Also add a unit test for this function.

95e678d578

fees: add `MemPoolForecaster` class

- The mempool forecaster uses the unconfirmed transactions in the mempool
  to generate a fee rate that a package should have for it to confirm as soon as possible.

Co-authored-by: willcl-ark <will@256k1.dev>

73e72cc129

test: add mempool forecaster unit test d8c2f8c2f0

ismaelsadeeq force-pushed on Apr 15, 2025

DrahtBot removed the label Needs rebase on Apr 15, 2025

ismaelsadeeq force-pushed on Apr 25, 2025

fees: cache `MemPoolPolicyEstimator` forecasts

- Provide new forecast only when the time delta from previous
  forecast is older than 30 seconds.

- This caching helps avoid the high cost of frequently generating block templates.

Co-authored-by: willcl-ark <will@256k1.dev>

7bf7b212a5

fees: add `ForecastFeeRateFromForecasters` method

- Polls all registered forecasters and selects the lowest fee rate.

75e6bb5ada

===== End of FeeRateForecasterMan commits ===== 821d58a825

rpc: update `estimatefeesmartfee` to use forecaster_man

- Given a confirmation target, we use fee estimator module that call all
available fee estimator forcasters and return the lowest fee rate that if
a transaction use will likely confirm in a given confirmation target.

- This also provides backward compatibility

Co-authored-by: willcl-ark <will@256k1.dev>

88aad65959

test: add `estimatesmartfee` new functionality 4ce9df0e15

===== End of RPC commits ===== 02a0639602

fees: introduce locks to forecaster manager 491b4799e7

fees: add sanity check to forecaster manager

- Only return fee rate forecast when 95th percentile txs of the last
  6 blocks were seen in the node's mempool.

- Also add functional test

fe5964a614

==== End Of Sanity Check ==== add8b0159e

ismaelsadeeq force-pushed on Apr 27, 2025

Fee Estimation via Fee rate Forecasters #30157

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