Merge pull request #3315 from mempool/mononaut/effective-fee-rates

Use effective fee rate heuristics for block fee span

backend/src/api/blocks.ts

@@ -2,7 +2,7 @@ import config from '../config';
 import bitcoinApi, { bitcoinCoreApi } from './bitcoin/bitcoin-api-factory';
 import logger from '../logger';
 import memPool from './mempool';
-import { BlockExtended, BlockExtension, BlockSummary, PoolTag, TransactionExtended, TransactionStripped, TransactionMinerInfo } from '../mempool.interfaces';
+import { BlockExtended, BlockExtension, BlockSummary, PoolTag, TransactionExtended, TransactionStripped, TransactionMinerInfo, CpfpSummary } from '../mempool.interfaces';
 import { Common } from './common';
 import diskCache from './disk-cache';
 import transactionUtils from './transaction-utils';
@@ -200,8 +200,15 @@ class Blocks {
       extras.segwitTotalWeight = 0;
     } else {
       const stats: IBitcoinApi.BlockStats = await bitcoinClient.getBlockStats(block.id);
-      extras.medianFee = stats.feerate_percentiles[2]; // 50th percentiles
+      let feeStats = {
-      extras.feeRange = [stats.minfeerate, stats.feerate_percentiles, stats.maxfeerate].flat();
+        medianFee: stats.feerate_percentiles[2], // 50th percentiles
+        feeRange: [stats.minfeerate, stats.feerate_percentiles, stats.maxfeerate].flat(),
+      };
+      if (transactions?.length > 1) {
+        feeStats = Common.calcEffectiveFeeStatistics(transactions);
+      }
+      extras.medianFee = feeStats.medianFee;
+      extras.feeRange = feeStats.feeRange;
       extras.totalFees = stats.totalfee;
       extras.avgFee = stats.avgfee;
       extras.avgFeeRate = stats.avgfeerate;
@@ -571,7 +578,8 @@ class Blocks {
       const block = BitcoinApi.convertBlock(verboseBlock);
       const txIds: string[] = await bitcoinApi.$getTxIdsForBlock(blockHash);
       const transactions = await this.$getTransactionsExtended(blockHash, block.height, false);
-      const blockExtended: BlockExtended = await this.$getBlockExtended(block, transactions);
+      const cpfpSummary: CpfpSummary = Common.calculateCpfp(block.height, transactions);
+      const blockExtended: BlockExtended = await this.$getBlockExtended(block, cpfpSummary.transactions);
       const blockSummary: BlockSummary = this.summarizeBlock(verboseBlock);
 
       // start async callbacks
@@ -619,7 +627,7 @@ class Blocks {
             await this.$getStrippedBlockTransactions(blockExtended.id, true);
           }
           if (config.MEMPOOL.CPFP_INDEXING) {
-            this.$indexCPFP(blockExtended.id, this.currentBlockHeight);
+            this.$saveCpfp(blockExtended.id, this.currentBlockHeight, cpfpSummary);
           }
         }
       }
@@ -913,42 +921,20 @@ class Blocks {
   public async $indexCPFP(hash: string, height: number): Promise<void> {
     const block = await bitcoinClient.getBlock(hash, 2);
     const transactions = block.tx.map(tx => {
-      tx.vsize = tx.weight / 4;
       tx.fee *= 100_000_000;
       return tx;
     });
 
-    const clusters: any[] = [];
+    const summary = Common.calculateCpfp(height, transactions);
 
-    let cluster: TransactionStripped[] = [];
+    await this.$saveCpfp(hash, height, summary);
-    let ancestors: { [txid: string]: boolean } = {};
+
-    for (let i = transactions.length - 1; i >= 0; i--) {
+    const effectiveFeeStats = Common.calcEffectiveFeeStatistics(summary.transactions);
-      const tx = transactions[i];
+    await blocksRepository.$saveEffectiveFeeStats(hash, effectiveFeeStats);
-      if (!ancestors[tx.txid]) {
-        let totalFee = 0;
-        let totalVSize = 0;
-        cluster.forEach(tx => {
-          totalFee += tx?.fee || 0;
-          totalVSize += tx.vsize;
-        });
-        const effectiveFeePerVsize = totalFee / totalVSize;
-        if (cluster.length > 1) {
-          clusters.push({
-            root: cluster[0].txid,
-            height,
-            txs: cluster.map(tx => { return { txid: tx.txid, weight: tx.vsize * 4, fee: tx.fee || 0 }; }),
-            effectiveFeePerVsize,
-          });
   }
-        cluster = [];
+
-        ancestors = {};
+  public async $saveCpfp(hash: string, height: number, cpfpSummary: CpfpSummary): Promise<void> {
-      }
+    const result = await cpfpRepository.$batchSaveClusters(cpfpSummary.clusters);
-      cluster.push(tx);
-      tx.vin.forEach(vin => {
-        ancestors[vin.txid] = true;
-      });
-    }
-    const result = await cpfpRepository.$batchSaveClusters(clusters);
     if (!result) {
       await cpfpRepository.$insertProgressMarker(height);
     }

backend/src/api/common.ts

@@ -1,4 +1,4 @@
-import { CpfpInfo, MempoolBlockWithTransactions, TransactionExtended, TransactionStripped } from '../mempool.interfaces';
+import { Ancestor, CpfpInfo, CpfpSummary, EffectiveFeeStats, MempoolBlockWithTransactions, TransactionExtended, TransactionStripped } from '../mempool.interfaces';
 import config from '../config';
 import { NodeSocket } from '../repositories/NodesSocketsRepository';
 import { isIP } from 'net';
@@ -345,4 +345,99 @@ export class Common {
       };
     }
   }
+
+  static calculateCpfp(height: number, transactions: TransactionExtended[]): CpfpSummary {
+    const clusters: { root: string, height: number, txs: Ancestor[], effectiveFeePerVsize: number }[] = [];
+    let cluster: TransactionExtended[] = [];
+    let ancestors: { [txid: string]: boolean } = {};
+    const txMap = {};
+    for (let i = transactions.length - 1; i >= 0; i--) {
+      const tx = transactions[i];
+      txMap[tx.txid] = tx;
+      if (!ancestors[tx.txid]) {
+        let totalFee = 0;
+        let totalVSize = 0;
+        cluster.forEach(tx => {
+          totalFee += tx?.fee || 0;
+          totalVSize += (tx.weight / 4);
+        });
+        const effectiveFeePerVsize = totalFee / totalVSize;
+        if (cluster.length > 1) {
+          clusters.push({
+            root: cluster[0].txid,
+            height,
+            txs: cluster.map(tx => { return { txid: tx.txid, weight: tx.weight, fee: tx.fee || 0 }; }),
+            effectiveFeePerVsize,
+          });
+        }
+        cluster.forEach(tx => {
+          txMap[tx.txid].effectiveFeePerVsize = effectiveFeePerVsize;
+        });
+        cluster = [];
+        ancestors = {};
+      }
+      cluster.push(tx);
+      tx.vin.forEach(vin => {
+        ancestors[vin.txid] = true;
+      });
+    }
+    return {
+      transactions,
+      clusters,
+    };
+  }
+
+  static calcEffectiveFeeStatistics(transactions: { weight: number, fee: number, effectiveFeePerVsize?: number, txid: string }[]): EffectiveFeeStats {
+    const sortedTxs = transactions.map(tx => { return { txid: tx.txid, weight: tx.weight, rate: tx.effectiveFeePerVsize || ((tx.fee || 0) / (tx.weight / 4)) }; }).sort((a, b) => a.rate - b.rate);
+
+    let weightCount = 0;
+    let medianFee = 0;
+    let medianWeight = 0;
+
+    // calculate the "medianFee" as the average fee rate of the middle 10000 weight units of transactions
+    const leftBound = 1995000;
+    const rightBound = 2005000;
+    for (let i = 0; i < sortedTxs.length && weightCount < rightBound; i++) {
+      const left = weightCount;
+      const right = weightCount + sortedTxs[i].weight;
+      if (right > leftBound) {
+        const weight = Math.min(right, rightBound) - Math.max(left, leftBound);
+        medianFee += (sortedTxs[i].rate * (weight / 4) );
+        medianWeight += weight;
+      }
+      weightCount += sortedTxs[i].weight;
+    }
+    const medianFeeRate = medianWeight ? (medianFee / (medianWeight / 4)) : 0;
+
+    // minimum effective fee heuristic:
+    // lowest of
+    // a) the 1st percentile of effective fee rates
+    // b) the minimum effective fee rate in the last 2% of transactions (in block order)
+    const minFee = Math.min(
+      Common.getNthPercentile(1, sortedTxs).rate,
+      transactions.slice(-transactions.length / 50).reduce((min, tx) => { return Math.min(min, tx.effectiveFeePerVsize || ((tx.fee || 0) / (tx.weight / 4))); }, Infinity)
+    );
+
+    // maximum effective fee heuristic:
+    // highest of
+    // a) the 99th percentile of effective fee rates
+    // b) the maximum effective fee rate in the first 2% of transactions (in block order)
+    const maxFee = Math.max(
+      Common.getNthPercentile(99, sortedTxs).rate,
+      transactions.slice(0, transactions.length / 50).reduce((max, tx) => { return Math.max(max, tx.effectiveFeePerVsize || ((tx.fee || 0) / (tx.weight / 4))); }, 0)
+    );
+
+    return {
+      medianFee: medianFeeRate,
+      feeRange: [
+        minFee,
+        [10,25,50,75,90].map(n => Common.getNthPercentile(n, sortedTxs).rate),
+        maxFee,
+      ].flat(),
+    };
+  }
+
+  static getNthPercentile(n: number, sortedDistribution: any[]): any {
+    return sortedDistribution[Math.floor((sortedDistribution.length - 1) * (n / 100))];
+  }
 }

backend/src/mempool.interfaces.ts

@@ -214,6 +214,16 @@ export interface MempoolStats {
   tx_count: number;
 }
 
+export interface EffectiveFeeStats {
+  medianFee: number; // median effective fee rate
+  feeRange: number[]; // 2nd, 10th, 25th, 50th, 75th, 90th, 98th percentiles
+}
+
+export interface CpfpSummary {
+  transactions: TransactionExtended[];
+  clusters: { root: string, height: number, txs: Ancestor[], effectiveFeePerVsize: number }[];
+}
+
 export interface Statistic {
   id?: number;
   added: string;

backend/src/repositories/BlocksRepository.ts

@@ -1,4 +1,4 @@
-import { BlockExtended, BlockExtension, BlockPrice } from '../mempool.interfaces';
+import { BlockExtended, BlockExtension, BlockPrice, EffectiveFeeStats } from '../mempool.interfaces';
 import DB from '../database';
 import logger from '../logger';
 import { Common } from '../api/common';
@@ -908,6 +908,25 @@ class BlocksRepository {
     }
   }
 
+  /**
+   * Save indexed effective fee statistics
+   * 
+   * @param id 
+   * @param feeStats 
+   */
+  public async $saveEffectiveFeeStats(id: string, feeStats: EffectiveFeeStats): Promise<void> {
+    try {
+      await DB.query(`
+        UPDATE blocks SET median_fee = ?, fee_span = ?
+        WHERE hash = ?`,
+        [feeStats.medianFee, JSON.stringify(feeStats.feeRange), id]
+      );
+    } catch (e) {
+      logger.err(`Cannot update block fee stats. Reason: ` + (e instanceof Error ? e.message : e));
+      throw e;
+    }
+  }
+
   /**
    * Convert a mysql row block into a BlockExtended. Note that you
    * must provide the correct field into dbBlk object param

backend/src/repositories/CpfpRepository.ts

@@ -48,7 +48,7 @@ class CpfpRepository {
     }
   }
 
-  public async $batchSaveClusters(clusters: { root: string, height: number, txs: any, effectiveFeePerVsize: number}[]): Promise<boolean> {
+  public async $batchSaveClusters(clusters: { root: string, height: number, txs: Ancestor[], effectiveFeePerVsize: number }[]): Promise<boolean> {
     try {
       const clusterValues: any[] = [];
       const txs: any[] = [];

frontend/src/app/components/blockchain-blocks/blockchain-blocks.component.html

@@ -25,7 +25,7 @@
           </ng-template>
           <div [attr.data-cy]="'bitcoin-block-' + offset + '-index-' + i + '-fee-span'" class="fee-span"
             *ngIf="block?.extras?.feeRange; else emptyfeespan">
-            {{ block?.extras?.feeRange?.[1] | number:feeRounding }} - {{
+            {{ block?.extras?.feeRange?.[0] | number:feeRounding }} - {{
             block?.extras?.feeRange[block?.extras?.feeRange?.length - 1] | number:feeRounding }} <ng-container
               i18n="shared.sat-vbyte|sat/vB">sat/vB</ng-container>
           </div>