The dataset is publicly available (~500MB gzip compressed, ~2GB as plain CSV).
The output of the model is the fee rate, expressed in
What about the inputs? Generally speaking, we have two main requirements for what can be included as input for our model:
To evaluate the approach we are taking, we also want to compare our model’s results with another available estimation: for this reason the dataset includes data to compute the error agains Bitcoin Core’s
estimatesmartfee results, even though we are not going to use it for this model.
The dataset will contain only transactions that spend already confirmed inputs. If we wanted to include transactions with unconfirmed inputs as well, the fee rate would have to be computed as a whole;
for example if transaction
t2 spends an unconfirmed input from
t1 only spends confirmed inputs, and all its other outputs are unspent), the aggregated fee rate would have to be used.
f() is extracts the absolute fee and
w() the transaction weight, the aggregated fee rate would be
(f(t1) + f(t2)) / (w(t1) + w(t2)). Thus, as already said previously, to keep things simple the model simply discards all the transaction
that would need to perform this computation.
For the same reason the dataset has the
parent_in_cpfp flag. When a transaction has inputs confirmed (so it’s not excluded by the previous rule) but one or more of its output have been spent by a transaction confirmed in the same block,
parent_in_cpfp = 1 are included in the dataset but excluded by the current model, since the miner probably considered an aggregated fee rate while picking the transactions to build a block.
The most important input of our model is the current status of the mempool itself. However, we cannot feed the model with a list of the fee rate of every unconfirmed transaction, because this array would have a variable length. To overcome this, the transaction contained in the mempool are grouped in “buckets” which are basically subsets of the mempool where all the transactions contained in a bucket have a similar fee rate. In particular we only care about the number of transaction in every bucket, not which transactions it contains.
The mempool buckets array is defined by two parameters, the
percentage_increment and the
Starting from the minimum fee rate value
ith element is:
a_i=min_relay_fee * (1+percentage_increment)^(i+1)
For instance, choosing the mempool buckets array to have parameters
percentage_increment = 50% and
array_max = 500.0 sat/vbytes the buckets would be constructed like so:
|bucket||bucket min fee rate||bucket max fee rate|
The array stops at
a16 would have a bucket min greater than
The model is for light-client such as neutrino based ones. In these clients the mempool is already available (it’s needed to check for received transactions) but we can’t compute fee rates of this transactions because previous confirmed inputs are not in the mempool!
Luckily, thanks to temporal locality 1, an important part of mempool transactions spend outputs created very recently, for example in the last 6 blocks.
The blocks are available through the p2p network, and downloading the last 6 is considered a good compromise between resource consumption and accurate prediction. We need the model to be built with the same data available in the prediction phase, as a consequence the mempool data in the dataset refers only to transactions having their inputs in the last 6 blocks. However the
bitcoin-csv tool inside the data logger allows to configure this parameter.
The dataset also contains the block percentile fee rate
r_i to be the rate of the
ith transaction in a block,
q_k is the fee rate value such that for each transaction in a block
q_k returns the
k% transactions in the block that are paying lower fees.
Percentiles are not used to feed the model but to filter some outliers tx.
Removing this observations is controversial at best and considered cheating at worse. However, it should be considered that Bitcoin Core
estimatesmartfee doesn’t even bother to give estimation for the next block, we think this is due to the fact that many transactions that are confirming in the next block are huge overestimation, or clearly errors like this one we found when we started logging data.
These outliers are several for transactions confirming in the next block (
confirms_in=1), less so for
confirms_in=2, mostly disappeared for
confirms_in=3 or more. It’s counterintuitive that overestimation exists for
confirms_in>1, by definition an overestimation is a fee rate way higher than needed, so how is possible that an overestimation doesn’t enter the very next block? There are a couple of reasons why a block is discovered without containing a transaction with high fee rate:
To keep the model balanced, when overestimation is filtered out, underestimation are filtered out as well. This also has the effect to remove some of the transactions possibly included because a fee is payed out-of-band.
Another reason to filter transactions is that the dataset is over-represented by transactions with low
confirms_in: more than 50% of transactions get confirmed in the next block, so we think it’s good to filter some of these transactions.
The applied filters are the following:
Not yet convinced by the removal of these outliers? The dataset contains all the observations, make your model :)
|column||used in the model||description|
|txid||no||Transaction hash, useful for debugging|
|timestamp||converted||The time when the transaction has been added in the mempool, in the model is used in the form
|current_height||no||The blockchain height seen by the node in this moment|
|confirms_in||yes||This transaction confirmed at block height
|fee_rate||target||This transaction fee rate measured in
|fee_rate_bytes||no||fee rate in satoshi / bytes, used to check Bitcoin Core
|block_avg_fee||no||block average fee rate
|core_cons||no||Same as above but with conservative mode|
|mempool_len||no||Sum of the mempool transactions with fee rate available (sum of every
|parent_in_cpfp||no||It’s 1 when the transaction has outputs that are spent in the same block in which the transaction is confirmed (they are parent in a CPFP relations).|
|q1-q30-…||no||Transaction confirming fast could be outliers, usually paying a lot more than required, this percentiles are used to filter those transactions,|
|a1-a2-…||yes||Contains the number of transaction in the mempool with known fee rate in the ith bucket.|
In the previous Part 1 we talked about the problem.
In the following Part 3 we are going to talk about the model.
In computer science temporal locality refers to the tendency to access recent data more often than older data. ↩︎