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improves exponential smoothing of feerate estimates (#1699)

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- fixes problem with polling interval > 150 * 0.9
- fixes log message 'feerate hit floor' at every feerate change
- smoothed fee now reaches 90% of (exp weighted) fee estimates polled in last
120s, independent of polling interval
- only apply smoothing when effect > 10 percent so it doesn't correct forever
- fix indentation
This commit is contained in:
SimonVrouwe 2018-07-15 19:30:43 +03:00 • committed by Christian Decker
parent e0c21debc2
commit f2ffb6d03e
2 changed files with 22 additions and 14 deletions
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33
lightningd/chaintopology.c
View file

@ -237,8 +237,11 @@ static void update_feerates(struct bitcoind *bitcoind,
{ {
u32 old_feerates[NUM_FEERATES]; u32 old_feerates[NUM_FEERATES];
bool changed = false; bool changed = false;
/* Rate of change of the fee smoothing, depending on the poll-interval */ /* Smoothing factor alpha for simple exponential smoothing. The goal is to
double change_rate = (double)topo->poll_seconds / 150 * 0.9; * have the feerate account for 90 percent of the values polled in the last
* 2 minutes. The following will do that in a polling interval
* independent manner. */
double alpha = 1 - pow(0.1,(double)topo->poll_seconds / 120);
for (size_t i = 0; i < NUM_FEERATES; i++) { for (size_t i = 0; i < NUM_FEERATES; i++) {
u32 feerate = satoshi_per_kw[i]; u32 feerate = satoshi_per_kw[i];
@ -250,24 +253,28 @@ static void update_feerates(struct bitcoind *bitcoind,
if (!feerate) if (!feerate)
continue; continue;
/* Smooth the feerate to avoid spikes. The goal is to have the /* Smooth the feerate to avoid spikes. */
* fee consist of 0.9 * feerate + 0.1 * old_feerate after 300 u32 feerate_smooth = feerate * alpha + old_feerates[i] * (1 - alpha);
* seconds. The following will do that in a polling interval /* But to avoid updating forever, only apply smoothing when its
* independent manner. */ * effect is more then 10 percent */
feerate = if (abs(feerate - feerate_smooth) > (0.1 * feerate)) {
feerate * (1 - change_rate) + old_feerates[i] * change_rate; feerate = feerate_smooth;
log_debug(topo->log,
"...feerate %u smoothed to %u (alpha=%.2f)",
satoshi_per_kw[i], feerate, alpha);
}
if (feerate < feerate_floor()) if (feerate < feerate_floor()) {
feerate = feerate_floor(); feerate = feerate_floor();
log_debug(topo->log,
"...feerate %u hit floor %u",
satoshi_per_kw[i], feerate);
}
if (feerate != topo->feerate[i]) { if (feerate != topo->feerate[i]) {
log_debug(topo->log, "%s feerate %u (was %u)", log_debug(topo->log, "%s feerate %u (was %u)",
feerate_name(i), feerate_name(i),
feerate, topo->feerate[i]); feerate, topo->feerate[i]);
if (feerate != satoshi_per_kw[i])
log_debug(topo->log,
"...feerate %u hit floor %u",
satoshi_per_kw[i], feerate);
} }
topo->feerate[i] = feerate; topo->feerate[i] = feerate;
} }

1
lightningd/chaintopology.h
View file

@ -9,6 +9,7 @@
#include <ccan/time/time.h> #include <ccan/time/time.h>
#include <jsmn.h> #include <jsmn.h>
#include <lightningd/watch.h> #include <lightningd/watch.h>
#include <math.h>
#include <stddef.h> #include <stddef.h>
struct bitcoin_tx; struct bitcoin_tx;