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Merge e95b915938 into a46065e36c

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Mark "Murch" Erhardt 2024-04-29 04:29:39 +02:00 committed by GitHub
parent a46065e36c e95b915938
commit e5ce62ac68
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6 changed files with 81 additions and 96 deletions
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8
src/bench/coin_selection.cpp
View File

@ -71,15 +71,15 @@ static void CoinSelection(benchmark::Bench& bench)
/*change_output_size=*/ 34,
/*change_spend_size=*/ 148,
/*min_change_target=*/ CHANGE_LOWER,
/*effective_feerate=*/ CFeeRate(0),
/*long_term_feerate=*/ CFeeRate(0),
/*discard_feerate=*/ CFeeRate(0),
/*effective_feerate=*/ CFeeRate(20'000),
/*long_term_feerate=*/ CFeeRate(10'000),
/*discard_feerate=*/ CFeeRate(3000),
/*tx_noinputs_size=*/ 0,
/*avoid_partial=*/ false,
};
auto group = wallet::GroupOutputs(wallet, available_coins, coin_selection_params, {{filter_standard}})[filter_standard];
bench.run([&] {
auto result = AttemptSelection(wallet.chain(), 1003 * COIN, group, coin_selection_params, /*allow_mixed_output_types=*/true);
auto result = AttemptSelection(wallet.chain(), 1002.99 * COIN, group, coin_selection_params, /*allow_mixed_output_types=*/true);
assert(result);
assert(result->GetSelectedValue() == 1003 * COIN);
assert(result->GetInputSet().size() == 2);

61
src/wallet/coinselection.cpp
View File

@ -194,7 +194,7 @@ util::Result<SelectionResult> SelectCoinsBnB(std::vector<OutputGroup>& utxo_pool
for (const size_t& i : best_selection) {
result.AddInput(utxo_pool.at(i));
}
result.ComputeAndSetWaste(cost_of_change, cost_of_change, CAmount{0});
result.RecalculateWaste(cost_of_change, cost_of_change, CAmount{0});
assert(best_waste == result.GetWaste());
return result;
@ -792,35 +792,6 @@ void OutputGroupTypeMap::Push(const OutputGroup& group, OutputType type, bool in
}
}
CAmount SelectionResult::GetSelectionWaste(CAmount change_cost, CAmount target, bool use_effective_value)
{
// This function should not be called with empty inputs as that would mean the selection failed
assert(!m_selected_inputs.empty());
// Always consider the cost of spending an input now vs in the future.
CAmount waste = 0;
for (const auto& coin_ptr : m_selected_inputs) {
const COutput& coin = *coin_ptr;
waste += coin.GetFee() - coin.long_term_fee;
}
// Bump fee of whole selection may diverge from sum of individual bump fees
waste -= bump_fee_group_discount;
if (change_cost) {
// Consider the cost of making change and spending it in the future
// If we aren't making change, the caller should've set change_cost to 0
assert(change_cost > 0);
waste += change_cost;
} else {
// When we are not making change (change_cost == 0), consider the excess we are throwing away to fees
CAmount selected_effective_value = use_effective_value ? GetSelectedEffectiveValue() : GetSelectedValue();
assert(selected_effective_value >= target);
waste += selected_effective_value - target;
}
return waste;
}
CAmount GenerateChangeTarget(const CAmount payment_value, const CAmount change_fee, FastRandomContext& rng)
{
if (payment_value <= CHANGE_LOWER / 2) {
@ -839,16 +810,32 @@ void SelectionResult::SetBumpFeeDiscount(const CAmount discount)
bump_fee_group_discount = discount;
}
void SelectionResult::ComputeAndSetWaste(const CAmount min_viable_change, const CAmount change_cost, const CAmount change_fee)
void SelectionResult::RecalculateWaste(const CAmount min_viable_change, const CAmount change_cost, const CAmount change_fee)
{
const CAmount change = GetChange(min_viable_change, change_fee);
// This function should not be called with empty inputs as that would mean the selection failed
assert(!m_selected_inputs.empty());
if (change > 0) {
m_waste = GetSelectionWaste(change_cost, m_target, m_use_effective);
} else {
m_waste = GetSelectionWaste(0, m_target, m_use_effective);
// Always consider the cost of spending an input now vs in the future.
CAmount waste = 0;
for (const auto& coin_ptr : m_selected_inputs) {
const COutput& coin = *coin_ptr;
waste += coin.GetFee() - coin.long_term_fee;
}
// Bump fee of whole selection may diverge from sum of individual bump fees
waste -= bump_fee_group_discount;
if (GetChange(min_viable_change, change_fee)) {
// if we have a minimum viable amount after deducting fees, account for
// cost of creating and spending change
waste += change_cost;
} else {
// When we are not making change (GetChange(…) == 0), consider the excess we are throwing away to fees
CAmount selected_effective_value = m_use_effective ? GetSelectedEffectiveValue() : GetSelectedValue();
assert(selected_effective_value >= m_target);
waste += selected_effective_value - m_target;
}
m_waste = waste;
}
void SelectionResult::SetAlgoCompleted(bool algo_completed)

32
src/wallet/coinselection.h
View File

@ -350,22 +350,6 @@ private:
}
}
/** Compute the waste for this result given the cost of change
* and the opportunity cost of spending these inputs now vs in the future.
* If change exists, waste = change_cost + inputs * (effective_feerate - long_term_feerate)
* If no change, waste = excess + inputs * (effective_feerate - long_term_feerate)
* where excess = selected_effective_value - target
* change_cost = effective_feerate * change_output_size + long_term_feerate * change_spend_size
*
* @param[in] change_cost The cost of creating change and spending it in the future.
* Only used if there is change, in which case it must be positive.
* Must be 0 if there is no change.
* @param[in] target The amount targeted by the coin selection algorithm.
* @param[in] use_effective_value Whether to use the input's effective value (when true) or the real value (when false).
* @return The waste
*/
[[nodiscard]] CAmount GetSelectionWaste(CAmount change_cost, CAmount target, bool use_effective_value = true);
public:
explicit SelectionResult(const CAmount target, SelectionAlgorithm algo)
: m_target(target), m_algo(algo) {}
@ -387,8 +371,20 @@ public:
/** How much individual inputs overestimated the bump fees for shared ancestries */
void SetBumpFeeDiscount(const CAmount discount);
/** Calculates and stores the waste for this selection via GetSelectionWaste */
void ComputeAndSetWaste(const CAmount min_viable_change, const CAmount change_cost, const CAmount change_fee);
/** Calculates and stores the waste for this result given the cost of change
* and the opportunity cost of spending these inputs now vs in the future.
* If change exists, waste = change_cost + inputs * (effective_feerate - long_term_feerate) - bump_fee_group_discount
* If no change, waste = excess + inputs * (effective_feerate - long_term_feerate) - bump_fee_group_discount
* where excess = selected_effective_value - target
* change_cost = effective_feerate * change_output_size + long_term_feerate * change_spend_size
*
* @param[in] min_viable_change The minimum amount necessary to make a change output economic
* @param[in] change_cost The cost of creating change and spending it in the future.
* Only used if there is change, in which case it must be positive.
* Must be 0 if there is no change.
* @param[in] change_fee The fee for creating a change output
*/
void RecalculateWaste(const CAmount min_viable_change, const CAmount change_cost, const CAmount change_fee);
[[nodiscard]] CAmount GetWaste() const;
/** Tracks that algorithm was able to exhaustively search the entire combination space before hitting limit of tries */

8
src/wallet/spend.cpp
View File

@ -711,7 +711,7 @@ util::Result<SelectionResult> ChooseSelectionResult(interfaces::Chain& chain, co
if (coin_selection_params.m_effective_feerate > CFeeRate{3 * coin_selection_params.m_long_term_feerate}) { // Minimize input set for feerates of at least 3×LTFRE (default: 30 ṩ/vB+)
if (auto cg_result{CoinGrinder(groups.positive_group, nTargetValue, coin_selection_params.m_min_change_target, max_inputs_weight)}) {
cg_result->ComputeAndSetWaste(coin_selection_params.min_viable_change, coin_selection_params.m_cost_of_change, coin_selection_params.m_change_fee);
cg_result->RecalculateWaste(coin_selection_params.min_viable_change, coin_selection_params.m_cost_of_change, coin_selection_params.m_change_fee);
results.push_back(*cg_result);
} else {
append_error(cg_result);
@ -746,7 +746,7 @@ util::Result<SelectionResult> ChooseSelectionResult(interfaces::Chain& chain, co
if (bump_fee_overestimate) {
result.SetBumpFeeDiscount(bump_fee_overestimate);
}
result.ComputeAndSetWaste(coin_selection_params.min_viable_change, coin_selection_params.m_cost_of_change, coin_selection_params.m_change_fee);
result.RecalculateWaste(coin_selection_params.min_viable_change, coin_selection_params.m_cost_of_change, coin_selection_params.m_change_fee);
}
// Choose the result with the least waste
@ -771,7 +771,7 @@ util::Result<SelectionResult> SelectCoins(const CWallet& wallet, CoinsResult& av
if (selection_target <= 0) {
SelectionResult result(nTargetValue, SelectionAlgorithm::MANUAL);
result.AddInputs(pre_set_inputs.coins, coin_selection_params.m_subtract_fee_outputs);
result.ComputeAndSetWaste(coin_selection_params.min_viable_change, coin_selection_params.m_cost_of_change, coin_selection_params.m_change_fee);
result.RecalculateWaste(coin_selection_params.min_viable_change, coin_selection_params.m_cost_of_change, coin_selection_params.m_change_fee);
return result;
}
@ -792,7 +792,7 @@ util::Result<SelectionResult> SelectCoins(const CWallet& wallet, CoinsResult& av
SelectionResult preselected(pre_set_inputs.total_amount, SelectionAlgorithm::MANUAL);
preselected.AddInputs(pre_set_inputs.coins, coin_selection_params.m_subtract_fee_outputs);
op_selection_result->Merge(preselected);
op_selection_result->ComputeAndSetWaste(coin_selection_params.min_viable_change,
op_selection_result->RecalculateWaste(coin_selection_params.min_viable_change,
coin_selection_params.m_cost_of_change,
coin_selection_params.m_change_fee);
}

64
src/wallet/test/coinselector_tests.cpp
View File

@ -874,14 +874,16 @@ BOOST_AUTO_TEST_CASE(SelectCoins_test)
BOOST_AUTO_TEST_CASE(waste_test)
{
const CAmount fee{100};
const CAmount min_viable_change{300};
const CAmount change_cost{125};
const CAmount change_fee{30};
const CAmount fee_diff{40};
const CAmount in_amt{3 * COIN};
const CAmount target{2 * COIN};
const CAmount excess{in_amt - fee * 2 - target};
const CAmount excess{80};
// The following tests that the waste is calculated correctly in various scenarios.
// ComputeAndSetWaste will first determine the size of the change output. We don't really
// RecalculateWaste will first determine the size of the change output. We don't really
// care about the change and just want to use the variant that always includes the change_cost,
// so min_viable_change and change_fee are set to 0 to ensure that.
{
@ -889,14 +891,14 @@ BOOST_AUTO_TEST_CASE(waste_test)
SelectionResult selection1{target, SelectionAlgorithm::MANUAL};
add_coin(1 * COIN, 1, selection1, fee, fee - fee_diff);
add_coin(2 * COIN, 2, selection1, fee, fee - fee_diff);
selection1.ComputeAndSetWaste(/*min_viable_change=*/0, change_cost, /*change_fee=*/0);
selection1.RecalculateWaste(min_viable_change, change_cost, change_fee);
BOOST_CHECK_EQUAL(fee_diff * 2 + change_cost, selection1.GetWaste());
// Waste will be greater when fee is greater, but long term fee is the same
SelectionResult selection2{target, SelectionAlgorithm::MANUAL};
add_coin(1 * COIN, 1, selection2, fee * 2, fee - fee_diff);
add_coin(2 * COIN, 2, selection2, fee * 2, fee - fee_diff);
selection2.ComputeAndSetWaste(/*min_viable_change=*/0, change_cost, /*change_fee=*/0);
selection2.RecalculateWaste(min_viable_change, change_cost, change_fee);
BOOST_CHECK_GT(selection2.GetWaste(), selection1.GetWaste());
// Waste with change is the change cost and difference between fee and long term fee
@ -904,25 +906,25 @@ BOOST_AUTO_TEST_CASE(waste_test)
SelectionResult selection3{target, SelectionAlgorithm::MANUAL};
add_coin(1 * COIN, 1, selection3, fee, fee + fee_diff);
add_coin(2 * COIN, 2, selection3, fee, fee + fee_diff);
selection3.ComputeAndSetWaste(/*min_viable_change=*/0, change_cost, /*change_fee=*/0);
selection3.RecalculateWaste(min_viable_change, change_cost, change_fee);
BOOST_CHECK_EQUAL(fee_diff * -2 + change_cost, selection3.GetWaste());
BOOST_CHECK_LT(selection3.GetWaste(), selection1.GetWaste());
}
{
// Waste without change is the excess and difference between fee and long term fee
SelectionResult selection_nochange1{target, SelectionAlgorithm::MANUAL};
SelectionResult selection_nochange1{/*target creates no change*/in_amt - 2 * fee - excess, SelectionAlgorithm::MANUAL};
add_coin(1 * COIN, 1, selection_nochange1, fee, fee - fee_diff);
add_coin(2 * COIN, 2, selection_nochange1, fee, fee - fee_diff);
selection_nochange1.ComputeAndSetWaste(/*min_viable_change=*/0, /*change_cost=*/0, /*change_fee=*/0);
selection_nochange1.RecalculateWaste(min_viable_change, change_cost, change_fee);
BOOST_CHECK_EQUAL(fee_diff * 2 + excess, selection_nochange1.GetWaste());
// Waste without change is the excess and difference between fee and long term fee
// With long term fee greater than fee, waste should be less than when long term fee is less than fee
SelectionResult selection_nochange2{target, SelectionAlgorithm::MANUAL};
SelectionResult selection_nochange2{/*target creates no change*/in_amt - 2 * fee - excess, SelectionAlgorithm::MANUAL};
add_coin(1 * COIN, 1, selection_nochange2, fee, fee + fee_diff);
add_coin(2 * COIN, 2, selection_nochange2, fee, fee + fee_diff);
selection_nochange2.ComputeAndSetWaste(/*min_viable_change=*/0, /*change_cost=*/0, /*change_fee=*/0);
selection_nochange2.RecalculateWaste(min_viable_change, change_cost, change_fee);
BOOST_CHECK_EQUAL(fee_diff * -2 + excess, selection_nochange2.GetWaste());
BOOST_CHECK_LT(selection_nochange2.GetWaste(), selection_nochange1.GetWaste());
}
@ -932,57 +934,56 @@ BOOST_AUTO_TEST_CASE(waste_test)
SelectionResult selection{target, SelectionAlgorithm::MANUAL};
add_coin(1 * COIN, 1, selection, fee, fee);
add_coin(2 * COIN, 2, selection, fee, fee);
selection.ComputeAndSetWaste(/*min_viable_change=*/0, change_cost, /*change_fee=*/0);
selection.RecalculateWaste(min_viable_change, change_cost, change_fee);
BOOST_CHECK_EQUAL(change_cost, selection.GetWaste());
}
{
// Waste without change and fee == long term fee is just the excess
SelectionResult selection{target, SelectionAlgorithm::MANUAL};
SelectionResult selection{/*target creates no change*/in_amt - 2 * fee - excess, SelectionAlgorithm::MANUAL};
add_coin(1 * COIN, 1, selection, fee, fee);
add_coin(2 * COIN, 2, selection, fee, fee);
selection.ComputeAndSetWaste(/*min_viable_change=*/0, /*change_cost=*/0, /*change_fee=*/0);
selection.RecalculateWaste(min_viable_change, change_cost, change_fee);
BOOST_CHECK_EQUAL(excess, selection.GetWaste());
}
{
// No Waste when fee == long_term_fee, no change, and no excess
// Waste is 0 when fee == long_term_fee, no change, and no excess
const CAmount exact_target{in_amt - fee * 2};
SelectionResult selection{exact_target, SelectionAlgorithm::MANUAL};
add_coin(1 * COIN, 1, selection, fee, fee);
add_coin(2 * COIN, 2, selection, fee, fee);
selection.ComputeAndSetWaste(/*min_viable_change=*/0, /*change_cost=*/0, /*change_fee=*/0);
selection.RecalculateWaste(min_viable_change, change_cost , change_fee);
BOOST_CHECK_EQUAL(0, selection.GetWaste());
}
{
// No Waste when (fee - long_term_fee) == (-cost_of_change), and no excess
// Waste is 0 when (fee - long_term_fee) == (-cost_of_change), and no excess
SelectionResult selection{target, SelectionAlgorithm::MANUAL};
const CAmount new_change_cost{fee_diff * 2};
add_coin(1 * COIN, 1, selection, fee, fee + fee_diff);
add_coin(2 * COIN, 2, selection, fee, fee + fee_diff);
selection.ComputeAndSetWaste(/*min_viable_change=*/0, new_change_cost, /*change_fee=*/0);
selection.RecalculateWaste(min_viable_change, /*change_cost=*/fee_diff * 2, change_fee);
BOOST_CHECK_EQUAL(0, selection.GetWaste());
}
{
// No Waste when (fee - long_term_fee) == (-excess), no change cost
const CAmount new_target{in_amt - fee * 2 - fee_diff * 2};
// Waste is 0 when (fee - long_term_fee) == (-excess), no change cost
const CAmount new_target{in_amt - fee * 2 - /*excess=*/fee_diff * 2};
SelectionResult selection{new_target, SelectionAlgorithm::MANUAL};
add_coin(1 * COIN, 1, selection, fee, fee + fee_diff);
add_coin(2 * COIN, 2, selection, fee, fee + fee_diff);
selection.ComputeAndSetWaste(/*min_viable_change=*/0, /*change_cost=*/0, /*change_fee=*/0);
selection.RecalculateWaste(min_viable_change, change_cost, change_fee);
BOOST_CHECK_EQUAL(0, selection.GetWaste());
}
{
// Negative waste when the long term fee is greater than the current fee and the selected value == target
const CAmount exact_target{3 * COIN - 2 * fee};
const CAmount exact_target{in_amt - 2 * fee};
SelectionResult selection{exact_target, SelectionAlgorithm::MANUAL};
const CAmount target_waste1{-2 * fee_diff}; // = (2 * fee) - (2 * (fee + fee_diff))
add_coin(1 * COIN, 1, selection, fee, fee + fee_diff);
add_coin(2 * COIN, 2, selection, fee, fee + fee_diff);
selection.ComputeAndSetWaste(/*min_viable_change=*/0, /*change_cost=*/0, /*change_fee=*/0);
selection.RecalculateWaste(min_viable_change, change_cost, change_fee);
BOOST_CHECK_EQUAL(target_waste1, selection.GetWaste());
}
@ -993,7 +994,7 @@ BOOST_AUTO_TEST_CASE(waste_test)
const CAmount target_waste2{-2 * large_fee_diff + change_cost}; // = (2 * fee) - (2 * (fee + large_fee_diff)) + change_cost
add_coin(1 * COIN, 1, selection, fee, fee + large_fee_diff);
add_coin(2 * COIN, 2, selection, fee, fee + large_fee_diff);
selection.ComputeAndSetWaste(/*min_viable_change=*/0, change_cost, /*change_fee=*/0);
selection.RecalculateWaste(min_viable_change, change_cost, change_fee);
BOOST_CHECK_EQUAL(target_waste2, selection.GetWaste());
}
}
@ -1018,12 +1019,12 @@ BOOST_AUTO_TEST_CASE(bump_fee_test)
inputs[i]->ApplyBumpFee(20*(i+1));
}
selection.ComputeAndSetWaste(min_viable_change, change_cost, change_fee);
selection.RecalculateWaste(min_viable_change, change_cost, change_fee);
CAmount expected_waste = fee_diff * -2 + change_cost + /*bump_fees=*/60;
BOOST_CHECK_EQUAL(expected_waste, selection.GetWaste());
selection.SetBumpFeeDiscount(30);
selection.ComputeAndSetWaste(min_viable_change, change_cost, change_fee);
selection.RecalculateWaste(min_viable_change, change_cost, change_fee);
expected_waste = fee_diff * -2 + change_cost + /*bump_fees=*/60 - /*group_discount=*/30;
BOOST_CHECK_EQUAL(expected_waste, selection.GetWaste());
}
@ -1044,12 +1045,12 @@ BOOST_AUTO_TEST_CASE(bump_fee_test)
inputs[i]->ApplyBumpFee(20*(i+1));
}
selection.ComputeAndSetWaste(min_viable_change, change_cost, change_fee);
selection.RecalculateWaste(min_viable_change, change_cost, change_fee);
CAmount expected_waste = fee_diff * -2 + /*bump_fees=*/60 + /*excess = 100 - bump_fees*/40;
BOOST_CHECK_EQUAL(expected_waste, selection.GetWaste());
selection.SetBumpFeeDiscount(30);
selection.ComputeAndSetWaste(min_viable_change, change_cost, change_fee);
selection.RecalculateWaste(min_viable_change, change_cost, change_fee);
expected_waste = fee_diff * -2 + /*bump_fees=*/60 - /*group_discount=*/30 + /*excess = 100 - bump_fees + group_discount*/70;
BOOST_CHECK_EQUAL(expected_waste, selection.GetWaste());
}
@ -1429,6 +1430,7 @@ BOOST_AUTO_TEST_CASE(check_max_weight)
/*avoid_partial=*/false,
};
int max_weight = MAX_STANDARD_TX_WEIGHT - WITNESS_SCALE_FACTOR * (cs_params.tx_noinputs_size + cs_params.change_output_size);
{
// Scenario 1:
// The actor starts with 1x 50.0 BTC and 1515x 0.033 BTC (~100.0 BTC total) unspent outputs
@ -1450,10 +1452,9 @@ BOOST_AUTO_TEST_CASE(check_max_weight)
m_node);
BOOST_CHECK(result);
// Verify that only the 50 BTC UTXO was selected
const auto& selection_res = result->GetInputSet();
BOOST_CHECK(selection_res.size() == 1);
BOOST_CHECK((*selection_res.begin())->GetEffectiveValue() == 50 * COIN);
// Verify that the 50 BTC UTXO was selected, and result is below max_weight
BOOST_CHECK(has_coin(result->GetInputSet(), CAmount(50 * COIN)));
BOOST_CHECK_LE(result->GetWeight(), max_weight);
}
{
@ -1479,6 +1480,7 @@ BOOST_AUTO_TEST_CASE(check_max_weight)
BOOST_CHECK(has_coin(result->GetInputSet(), CAmount(0.0625 * COIN)));
BOOST_CHECK(has_coin(result->GetInputSet(), CAmount(0.025 * COIN)));
BOOST_CHECK_LE(result->GetWeight(), max_weight);
}
{

4
src/wallet/test/fuzz/coinselection.cpp
View File

@ -270,7 +270,7 @@ FUZZ_TARGET(coinselection)
if (result_srd) {
assert(result_srd->GetSelectedValue() >= target);
assert(result_srd->GetChange(CHANGE_LOWER, coin_params.m_change_fee) > 0); // Demonstrate that SRD creates change of at least CHANGE_LOWER
result_srd->ComputeAndSetWaste(coin_params.min_viable_change, coin_params.m_cost_of_change, coin_params.m_change_fee);
result_srd->RecalculateWaste(coin_params.min_viable_change, coin_params.m_cost_of_change, coin_params.m_change_fee);
(void)result_srd->GetShuffledInputVector();
(void)result_srd->GetInputSet();
}
@ -279,7 +279,7 @@ FUZZ_TARGET(coinselection)
auto result_knapsack = KnapsackSolver(group_all, target, change_target, fast_random_context, MAX_STANDARD_TX_WEIGHT);
if (result_knapsack) {
assert(result_knapsack->GetSelectedValue() >= target);
result_knapsack->ComputeAndSetWaste(coin_params.min_viable_change, coin_params.m_cost_of_change, coin_params.m_change_fee);
result_knapsack->RecalculateWaste(coin_params.min_viable_change, coin_params.m_cost_of_change, coin_params.m_change_fee);
(void)result_knapsack->GetShuffledInputVector();
(void)result_knapsack->GetInputSet();
}