Greg/gpo fix 1

eth/gasprice/gasprice.go

@@ -29,7 +29,9 @@ import (
 	"github.com/ethereum/go-ethereum/rpc"
 )
 
-const sampleNumber = 3 // Number of transactions sampled in a block
+// Number of transactions sampled in a block
+// Roughly the last 5 minutes
+const sampleNumber = 20
 
 var DefaultMaxPrice = big.NewInt(500 * params.GWei)
 
@@ -207,12 +209,57 @@ func (gpo *Oracle) getBlockPrices(ctx context.Context, signer types.Signer, bloc
 			}
 		}
 	}
+	if len(prices) > 0 {
+		prices = removeOutliers(prices)
+	}
 	select {
 	case result <- getBlockPricesResult{prices, nil}:
 	case <-quit:
 	}
 }
 
+// removeOutliers calculates the interquartile range of gas prices that are
+// significant outliers with the goal of removing edge cases where MEV skews
+// the gas prices
+func removeOutliers(prices []*big.Int) []*big.Int {
+	var (
+		mean       *big.Int
+		sd         *big.Int // Standard deviation
+		variance   = big.NewInt(0)
+		sum        = big.NewInt(0)
+		length     = big.NewInt(int64(len(prices)))
+		deviations = big.NewInt(3) // The max acceptable std, anything outsid will be removed from the set
+	)
+	for _, price := range prices {
+		// Calculate sum
+		sum.Add(sum, price)
+	}
+	mean = big.NewInt(0).Div(sum, length)
+	// Calculate variance (sum(x - mean)^2 )/ length
+	for _, price := range prices {
+		// Calculate the summation
+		x := big.NewInt(0).Sub(price, mean)
+		square := big.NewInt(0).Mul(x, x)
+		variance.Add(variance, square)
+	}
+	variance.Div(variance, length)
+	// Calculate standard deviation from the variance
+	sd = big.NewInt(0).Sqrt(variance)
+
+	filtered := []*big.Int{}
+	deviation := big.NewInt(0).Mul(deviations, sd)
+	lowerBound := big.NewInt(0).Sub(mean, deviation)
+	upperBound := big.NewInt(0).Add(mean, deviation)
+
+	for _, price := range prices {
+		// Remove items that are not within the upper and lower bounds of the deviation
+		if price.Cmp(lowerBound) == 1 && price.Cmp(upperBound) == -1 {
+			filtered = append(filtered, price)
+		}
+	}
+	return filtered
+}
+
 type bigIntArray []*big.Int
 
 func (s bigIntArray) Len() int           { return len(s) }

eth/gasprice/gasprice_test.go

@@ -20,7 +20,9 @@ import (
 	"context"
 	"math"
 	"math/big"
+	"math/rand"
 	"testing"
+	"time"
 
 	"github.com/ethereum/go-ethereum/common"
 	"github.com/ethereum/go-ethereum/consensus/ethash"
@@ -116,3 +118,83 @@ func TestSuggestPrice(t *testing.T) {
 		t.Fatalf("Gas price mismatch, want %d, got %d", expect, got)
 	}
 }
+
+func generateFakeGasPrices(min, max int) []*big.Int {
+	rand.Seed(time.Now().UnixNano())
+	gasPrices := make([]*big.Int, 0)
+	for i := 0; i < 300; i++ {
+		randGasPrice := rand.Intn(max-min+1) + min
+		gasPrices = append(gasPrices, big.NewInt(int64(randGasPrice)))
+	}
+	return gasPrices
+}
+
+func TestRemoveLowOutliers(t *testing.T) {
+	gasPrices := generateFakeGasPrices(180, 220)
+	cpy := make([]*big.Int, len(gasPrices))
+	copy(cpy, gasPrices)
+	// add low gas prices
+	cpy = append(cpy, big.NewInt(5))
+	cpy = append(cpy, big.NewInt(10))
+	cpy = append(cpy, big.NewInt(10))
+	cpy = append(cpy, big.NewInt(10))
+	cpy = append(cpy, big.NewInt(15))
+	cpy = append(cpy, big.NewInt(15))
+	cpy = append(cpy, big.NewInt(15))
+	cpy = append(cpy, big.NewInt(15))
+
+	res := removeOutliers(cpy)
+	// It should remove all the lower  gasPrices in the extreme case
+	if len(gasPrices) != len(res) {
+		t.Fatalf("Low gas prices not removed, want length less than %d, got %d", len(gasPrices), len(res))
+	}
+}
+
+func TestRemoveHighOutliars(t *testing.T) {
+	gasPrices := generateFakeGasPrices(180, 220)
+	cpy := make([]*big.Int, len(gasPrices))
+	copy(cpy, gasPrices)
+	// add low gas prices
+	cpy = append(cpy, big.NewInt(300))
+	cpy = append(cpy, big.NewInt(310))
+	cpy = append(cpy, big.NewInt(350))
+	cpy = append(cpy, big.NewInt(250))
+	cpy = append(cpy, big.NewInt(251))
+	cpy = append(cpy, big.NewInt(245))
+	cpy = append(cpy, big.NewInt(255))
+	cpy = append(cpy, big.NewInt(256))
+
+	res := removeOutliers(cpy)
+	// It should remove most of the higher values
+	if len(cpy) < len(res) {
+		t.Fatalf("Low gas prices not removed, want length less than %d, got %d", len(gasPrices), len(res))
+	}
+}
+
+func TestRemoveHighAndLowOutliars(t *testing.T) {
+	gasPrices := generateFakeGasPrices(180, 220)
+	cpy := make([]*big.Int, len(gasPrices))
+	copy(cpy, gasPrices)
+	// add low gas prices
+	cpy = append(cpy, big.NewInt(300))
+	cpy = append(cpy, big.NewInt(310))
+	cpy = append(cpy, big.NewInt(350))
+	cpy = append(cpy, big.NewInt(250))
+	cpy = append(cpy, big.NewInt(251))
+	cpy = append(cpy, big.NewInt(245))
+	cpy = append(cpy, big.NewInt(255))
+	cpy = append(cpy, big.NewInt(256))
+	cpy = append(cpy, big.NewInt(50))
+	cpy = append(cpy, big.NewInt(100))
+	cpy = append(cpy, big.NewInt(70))
+	cpy = append(cpy, big.NewInt(75))
+	cpy = append(cpy, big.NewInt(5))
+	cpy = append(cpy, big.NewInt(0))
+	cpy = append(cpy, big.NewInt(4))
+	cpy = append(cpy, big.NewInt(2))
+	res := removeOutliers(cpy)
+	// It should remove most of the higher values
+	if len(cpy) < len(res) {
+		t.Fatalf("Low gas prices not removed, want length less than %d, got %d", len(gasPrices), len(res))
+	}
+}