chanfunding: refactor fee estimate calculation
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213b264e4c
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235e73205d
@ -25,6 +25,18 @@ func (e *ErrInsufficientFunds) Error() string {
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e.amountAvailable, e.amountSelected)
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}
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// errUnsupportedInput is a type matching the error interface, which is returned
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// when trying to calculate the fee of a transaction that references an
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// unsupported script in the outpoint of a transaction input.
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type errUnsupportedInput struct {
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PkScript []byte
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}
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// Error returns a human readable string describing the error.
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func (e *errUnsupportedInput) Error() string {
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return fmt.Sprintf("unsupported address type: %x", e.PkScript)
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}
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// Coin represents a spendable UTXO which is available for channel funding.
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// This UTXO need not reside in our internal wallet as an example, and instead
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// may be derived from an existing watch-only wallet. It wraps both the output
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@ -52,6 +64,60 @@ func selectInputs(amt btcutil.Amount, coins []Coin) (btcutil.Amount, []Coin, err
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return 0, nil, &ErrInsufficientFunds{amt, satSelected}
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}
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// calculateFees returns for the specified utxos and fee rate two fee
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// estimates, one calculated using a change output and one without. The weight
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// added to the estimator from a change output is for a P2WKH output.
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func calculateFees(utxos []Coin, feeRate chainfee.SatPerKWeight) (btcutil.Amount,
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btcutil.Amount, error) {
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var weightEstimate input.TxWeightEstimator
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for _, utxo := range utxos {
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switch {
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case txscript.IsPayToWitnessPubKeyHash(utxo.PkScript):
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weightEstimate.AddP2WKHInput()
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case txscript.IsPayToScriptHash(utxo.PkScript):
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weightEstimate.AddNestedP2WKHInput()
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default:
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return 0, 0, &errUnsupportedInput{utxo.PkScript}
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}
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}
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// Channel funding multisig output is P2WSH.
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weightEstimate.AddP2WSHOutput()
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// Estimate the fee required for a transaction without a change
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// output.
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totalWeight := int64(weightEstimate.Weight())
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requiredFeeNoChange := feeRate.FeeForWeight(totalWeight)
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// Estimate the fee required for a transaction with a change output.
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// Assume that change output is a P2WKH output.
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weightEstimate.AddP2WKHOutput()
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// Now that we have added the change output, redo the fee
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// estimate.
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totalWeight = int64(weightEstimate.Weight())
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requiredFeeWithChange := feeRate.FeeForWeight(totalWeight)
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return requiredFeeNoChange, requiredFeeWithChange, nil
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}
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// sanityCheckFee checks if the specified fee amounts to over 20% of the total
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// output amount and raises an error.
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func sanityCheckFee(totalOut, fee btcutil.Amount) error {
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// Fail if more than 20% goes to fees.
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// TODO(halseth): smarter fee limit. Make configurable or dynamic wrt
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// total funding size?
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if fee > totalOut/5 {
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return fmt.Errorf("fee %v on total output value %v", fee,
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totalOut)
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}
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return nil
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}
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// CoinSelect attempts to select a sufficient amount of coins, including a
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// change output to fund amt satoshis, adhering to the specified fee rate. The
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// specified fee rate should be expressed in sat/kw for coin selection to
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@ -68,34 +134,14 @@ func CoinSelect(feeRate chainfee.SatPerKWeight, amt btcutil.Amount,
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return nil, 0, err
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}
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var weightEstimate input.TxWeightEstimator
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for _, utxo := range selectedUtxos {
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switch {
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case txscript.IsPayToWitnessPubKeyHash(utxo.PkScript):
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weightEstimate.AddP2WKHInput()
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case txscript.IsPayToScriptHash(utxo.PkScript):
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weightEstimate.AddNestedP2WKHInput()
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default:
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return nil, 0, fmt.Errorf("unsupported address type: %x",
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utxo.PkScript)
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}
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// Obtain fee estimates both with and without using a change
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// output.
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_, requiredFeeWithChange, err := calculateFees(
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selectedUtxos, feeRate,
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)
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if err != nil {
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return nil, 0, err
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}
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// Channel funding multisig output is P2WSH.
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weightEstimate.AddP2WSHOutput()
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// Assume that change output is a P2WKH output.
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//
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// TODO: Handle wallets that generate non-witness change
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// addresses.
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// TODO(halseth): make coinSelect not estimate change output
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// for dust change.
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weightEstimate.AddP2WKHOutput()
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// The difference between the selected amount and the amount
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// requested will be used to pay fees, and generate a change
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// output with the remaining.
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@ -105,16 +151,14 @@ func CoinSelect(feeRate chainfee.SatPerKWeight, amt btcutil.Amount,
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// amount isn't enough to pay fees, then increase the requested
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// coin amount by the estimate required fee, performing another
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// round of coin selection.
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totalWeight := int64(weightEstimate.Weight())
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requiredFee := feeRate.FeeForWeight(totalWeight)
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if overShootAmt < requiredFee {
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amtNeeded = amt + requiredFee
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if overShootAmt < requiredFeeWithChange {
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amtNeeded = amt + requiredFeeWithChange
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continue
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}
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// If the fee is sufficient, then calculate the size of the
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// change output.
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changeAmt := overShootAmt - requiredFee
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changeAmt := overShootAmt - requiredFeeWithChange
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return selectedUtxos, changeAmt, nil
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}
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@ -134,37 +178,17 @@ func CoinSelectSubtractFees(feeRate chainfee.SatPerKWeight, amt,
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return nil, 0, 0, err
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}
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var weightEstimate input.TxWeightEstimator
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for _, utxo := range selectedUtxos {
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switch {
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case txscript.IsPayToWitnessPubKeyHash(utxo.PkScript):
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weightEstimate.AddP2WKHInput()
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case txscript.IsPayToScriptHash(utxo.PkScript):
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weightEstimate.AddNestedP2WKHInput()
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default:
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return nil, 0, 0, fmt.Errorf("unsupported address "+
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"type: %x", utxo.PkScript)
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}
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}
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// Channel funding multisig output is P2WSH.
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weightEstimate.AddP2WSHOutput()
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// At this point we've got two possibilities, either create a
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// change output, or not. We'll first try without creating a
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// change output.
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//
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// Estimate the fee required for a transaction without a change
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// Obtain fee estimates both with and without using a change
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// output.
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totalWeight := int64(weightEstimate.Weight())
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requiredFee := feeRate.FeeForWeight(totalWeight)
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requiredFeeNoChange, requiredFeeWithChange, err := calculateFees(
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selectedUtxos, feeRate)
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if err != nil {
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return nil, 0, 0, err
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}
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// For a transaction without a change output, we'll let everything go
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// to our multi-sig output after subtracting fees.
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outputAmt := totalSat - requiredFee
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outputAmt := totalSat - requiredFeeNoChange
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changeAmt := btcutil.Amount(0)
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// If the the output is too small after subtracting the fee, the coin
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@ -172,24 +196,13 @@ func CoinSelectSubtractFees(feeRate chainfee.SatPerKWeight, amt,
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if outputAmt <= dustLimit {
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return nil, 0, 0, fmt.Errorf("output amount(%v) after "+
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"subtracting fees(%v) below dust limit(%v)", outputAmt,
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requiredFee, dustLimit)
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requiredFeeNoChange, dustLimit)
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}
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// We were able to create a transaction with no change from the
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// selected inputs. We'll remember the resulting values for
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// now, while we try to add a change output. Assume that change output
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// is a P2WKH output.
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weightEstimate.AddP2WKHOutput()
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// Now that we have added the change output, redo the fee
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// estimate.
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totalWeight = int64(weightEstimate.Weight())
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requiredFee = feeRate.FeeForWeight(totalWeight)
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// For a transaction with a change output, everything we don't spend
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// will go to change.
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newOutput := amt - requiredFeeWithChange
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newChange := totalSat - amt
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newOutput := amt - requiredFee
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// If adding a change output leads to both outputs being above
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// the dust limit, we'll add the change output. Otherwise we'll
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@ -202,14 +215,9 @@ func CoinSelectSubtractFees(feeRate chainfee.SatPerKWeight, amt,
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// Sanity check the resulting output values to make sure we
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// don't burn a great part to fees.
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totalOut := outputAmt + changeAmt
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fee := totalSat - totalOut
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// Fail if more than 20% goes to fees.
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// TODO(halseth): smarter fee limit. Make configurable or dynamic wrt
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// total funding size?
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if fee > totalOut/5 {
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return nil, 0, 0, fmt.Errorf("fee %v on total output "+
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"value %v", fee, totalOut)
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err = sanityCheckFee(totalOut, totalSat-totalOut)
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if err != nil {
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return nil, 0, 0, err
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}
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return selectedUtxos, outputAmt, changeAmt, nil
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@ -9,12 +9,21 @@ import (
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"github.com/btcsuite/btcutil"
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"github.com/lightningnetwork/lnd/input"
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"github.com/lightningnetwork/lnd/lnwallet/chainfee"
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"github.com/stretchr/testify/require"
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)
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var (
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p2wkhScript, _ = hex.DecodeString(
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"001411034bdcb6ccb7744fdfdeea958a6fb0b415a032",
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)
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np2wkhScript, _ = hex.DecodeString(
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"a914f7bd5b8077b9549653dacf96f824af9d931663e687",
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)
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p2khScript, _ = hex.DecodeString(
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"76a91411034bdcb6ccb7744fdfdeea958a6fb0b415a03288ac",
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)
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)
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// fundingFee is a helper method that returns the fee estimate used for a tx
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@ -42,6 +51,88 @@ func fundingFee(feeRate chainfee.SatPerKWeight, numInput int, // nolint:unparam
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return feeRate.FeeForWeight(totalWeight)
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}
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// TestCalculateFees tests that the helper function to calculate the fees
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// both with and without applying a change output is done correctly for
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// (N)P2WKH inputs, and should raise an error otherwise.
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func TestCalculateFees(t *testing.T) {
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t.Parallel()
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const feeRate = chainfee.SatPerKWeight(1000)
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type testCase struct {
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name string
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utxos []Coin
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expectedFeeNoChange btcutil.Amount
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expectedFeeWithChange btcutil.Amount
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expectedErr error
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}
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testCases := []testCase{
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{
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name: "one P2WKH input",
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utxos: []Coin{
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{
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TxOut: wire.TxOut{
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PkScript: p2wkhScript,
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Value: 1,
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},
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},
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},
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expectedFeeNoChange: 487,
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expectedFeeWithChange: 611,
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expectedErr: nil,
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},
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{
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name: "one NP2WKH input",
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utxos: []Coin{
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{
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TxOut: wire.TxOut{
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PkScript: np2wkhScript,
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Value: 1,
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},
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},
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},
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expectedFeeNoChange: 579,
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expectedFeeWithChange: 703,
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expectedErr: nil,
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},
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{
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name: "not supported P2KH input",
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utxos: []Coin{
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{
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TxOut: wire.TxOut{
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PkScript: p2khScript,
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Value: 1,
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},
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},
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},
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expectedErr: &errUnsupportedInput{p2khScript},
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},
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}
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for _, test := range testCases {
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test := test
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t.Run(test.name, func(t *testing.T) {
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feeNoChange, feeWithChange, err := calculateFees(
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test.utxos, feeRate,
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)
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require.Equal(t, test.expectedErr, err)
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// Note: The error-case will have zero values returned
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// for fees and therefore anyway pass the following
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// requirements.
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require.Equal(t, test.expectedFeeNoChange, feeNoChange)
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require.Equal(t, test.expectedFeeWithChange, feeWithChange)
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})
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}
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}
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// TestCoinSelect tests that we pick coins adding up to the expected amount
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// when creating a funding transaction, and that the calculated change is the
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// expected amount.
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