Improve Fee estimation based on mempool histogram (WalletWasabi#13279)

* Use cumulative count to skip fee groups * Remove SELECT1+N. * Fix unit test. The test was never removing any element from the histogram because the fee rate groups were wrongly built and because the mempool.Size was always zero. --------- Co-authored-by: Turbolay <[email protected]> Co-authored-by: Lucas Ontivero <[email protected]>
Kukks · Jul 29, 2024 · 00e8f0f · 00e8f0f
1 parent 69b03f3
commit 00e8f0f
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Showing 2 changed files with 22 additions and 14 deletions.
diff --git a/WalletWasabi.Tests/UnitTests/AllFeeEstimateTests.cs b/WalletWasabi.Tests/UnitTests/AllFeeEstimateTests.cs
@@ -235,19 +235,22 @@ public async Task FixObviouslyWrongEstimationsAsync()
 	{
 		var mockRpc = CreateAndConfigureRpcClient(hasPeersInfo: true);
 
+		var histogram = MempoolInfoGenerator.FeeRanges.Reverse().Select((x, i) => new FeeRateGroup
+		{
+			Count = (uint) (100 * Math.Pow(i + 1, 2)),
+			Sizes = (uint) (40 * 100 * (i + 1)),
+			From = new FeeRate((decimal) x.from),
+			To = new FeeRate((decimal) x.to),
+			Fees = Money.Zero,
+			Group = x.from
+		}).ToArray();
+
 		mockRpc.OnGetMempoolInfoAsync = () =>
 			Task.FromResult(new MemPoolInfo
 			{
 				MemPoolMinFee = 0.00001000, // 1 s/b (default value)
-				Histogram = MempoolInfoGenerator.FeeRanges.Select((x, i) => new FeeRateGroup
-				{
-					Count = (uint)(200 * (i + 1)),
-					Sizes = (uint)(40 * 100 * (i + 1)),
-					From = new FeeRate((decimal)x.from),
-					To = new FeeRate((decimal)x.to),
-					Fees = Money.Zero,
-					Group = x.from
-				}).ToArray()
+				Histogram = histogram,
+				Size = (int)histogram.Sum(x => x.Count)
 			});
 
 		mockRpc.OnEstimateSmartFeeAsync = (target, _) =>
@@ -263,11 +266,12 @@ public async Task FixObviouslyWrongEstimationsAsync()
 			};
 
 		var allFee = await mockRpc.EstimateAllFeeAsync();
-		Assert.Equal(3_000, allFee.Estimations[2]);
-		Assert.True(allFee.Estimations[3] > 500);
+		Assert.Equal(140, allFee.Estimations[2]);
+		Assert.Equal(124, allFee.Estimations[144]);
 		Assert.True(allFee.Estimations[1008] > 1);
 	}
 
+
 	[Fact]
 	public async Task WorksWithBitcoinCoreEstimationsAsync()
 	{

diff --git a/WalletWasabi/Extensions/RPCClientExtensions.cs b/WalletWasabi/Extensions/RPCClientExtensions.cs
@@ -162,9 +162,13 @@ private static FeeRateByConfirmationTarget GetFeeEstimationsFromMempoolInfo(MemP
 		// Filter those groups with very high fee transactions (less than 0.1%).
 		// This is because in case a few transactions pay unreasonably high fees
 		// then we don't want our estimations to be affected by those rare cases.
-		var relevantFeeGroups = mempoolInfo.Histogram
-			.OrderByDescending(x => x.Group)
-			.SkipWhile(x => x.Count < mempoolInfo.Size / 1_000);
+		var histogram = mempoolInfo.Histogram.OrderByDescending(x => x.Group).ToArray();
+		var relevantFeeGroups = histogram
+			.Scan(0u, (acc, g) => acc + g.Count)
+			.Zip(histogram, (x, y) => (AccumulativeCount: x, Group: y))
+			.SkipWhile(x => x.AccumulativeCount < mempoolInfo.Size / 1_000)
+			.Select(x => x.Group)
+			.ToList();
 
 		// Splits multi-megabyte fee rate groups in 1mb chunk
 		// We need to count blocks (or 1MvB transaction chunks) so, in case fee