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Merge pull request #4588 from bjarnemagnussen/coinselect-align-fee-estimates

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chanfunding: fee estimation based on change output in `CoinSelect`
This commit is contained in:
Johan T. Halseth 2021-04-16 13:43:51 +02:00 committed by GitHub
commit a36c95f732
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GPG Key ID: 4AEE18F83AFDEB23
3 changed files with 257 additions and 111 deletions
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206
lnwallet/chanfunding/coin_select.go
View File

@ -25,6 +25,18 @@ func (e *ErrInsufficientFunds) Error() string {
e.amountAvailable, e.amountSelected)
}
// errUnsupportedInput is a type matching the error interface, which is returned
// when trying to calculate the fee of a transaction that references an
// unsupported script in the outpoint of a transaction input.
type errUnsupportedInput struct {
PkScript []byte
}
// Error returns a human readable string describing the error.
func (e *errUnsupportedInput) Error() string {
return fmt.Sprintf("unsupported address type: %x", e.PkScript)
}
// Coin represents a spendable UTXO which is available for channel funding.
// This UTXO need not reside in our internal wallet as an example, and instead
// may be derived from an existing watch-only wallet. It wraps both the output
@ -52,11 +64,65 @@ func selectInputs(amt btcutil.Amount, coins []Coin) (btcutil.Amount, []Coin, err
return 0, nil, &ErrInsufficientFunds{amt, satSelected}
}
// calculateFees returns for the specified utxos and fee rate two fee
// estimates, one calculated using a change output and one without. The weight
// added to the estimator from a change output is for a P2WKH output.
func calculateFees(utxos []Coin, feeRate chainfee.SatPerKWeight) (btcutil.Amount,
btcutil.Amount, error) {
var weightEstimate input.TxWeightEstimator
for _, utxo := range utxos {
switch {
case txscript.IsPayToWitnessPubKeyHash(utxo.PkScript):
weightEstimate.AddP2WKHInput()
case txscript.IsPayToScriptHash(utxo.PkScript):
weightEstimate.AddNestedP2WKHInput()
default:
return 0, 0, &errUnsupportedInput{utxo.PkScript}
}
}
// Channel funding multisig output is P2WSH.
weightEstimate.AddP2WSHOutput()
// Estimate the fee required for a transaction without a change
// output.
totalWeight := int64(weightEstimate.Weight())
requiredFeeNoChange := feeRate.FeeForWeight(totalWeight)
// Estimate the fee required for a transaction with a change output.
// Assume that change output is a P2WKH output.
weightEstimate.AddP2WKHOutput()
// Now that we have added the change output, redo the fee
// estimate.
totalWeight = int64(weightEstimate.Weight())
requiredFeeWithChange := feeRate.FeeForWeight(totalWeight)
return requiredFeeNoChange, requiredFeeWithChange, nil
}
// sanityCheckFee checks if the specified fee amounts to over 20% of the total
// output amount and raises an error.
func sanityCheckFee(totalOut, fee btcutil.Amount) error {
// Fail if more than 20% goes to fees.
// TODO(halseth): smarter fee limit. Make configurable or dynamic wrt
// total funding size?
if fee > totalOut/5 {
return fmt.Errorf("fee %v on total output value %v", fee,
totalOut)
}
return nil
}
// CoinSelect attempts to select a sufficient amount of coins, including a
// change output to fund amt satoshis, adhering to the specified fee rate. The
// specified fee rate should be expressed in sat/kw for coin selection to
// function properly.
func CoinSelect(feeRate chainfee.SatPerKWeight, amt btcutil.Amount,
func CoinSelect(feeRate chainfee.SatPerKWeight, amt, dustLimit btcutil.Amount,
coins []Coin) ([]Coin, btcutil.Amount, error) {
amtNeeded := amt
@ -68,53 +134,57 @@ func CoinSelect(feeRate chainfee.SatPerKWeight, amt btcutil.Amount,
return nil, 0, err
}
var weightEstimate input.TxWeightEstimator
for _, utxo := range selectedUtxos {
switch {
case txscript.IsPayToWitnessPubKeyHash(utxo.PkScript):
weightEstimate.AddP2WKHInput()
case txscript.IsPayToScriptHash(utxo.PkScript):
weightEstimate.AddNestedP2WKHInput()
default:
return nil, 0, fmt.Errorf("unsupported address type: %x",
utxo.PkScript)
}
// Obtain fee estimates both with and without using a change
// output.
requiredFeeNoChange, requiredFeeWithChange, err := calculateFees(
selectedUtxos, feeRate,
)
if err != nil {
return nil, 0, err
}
// Channel funding multisig output is P2WSH.
weightEstimate.AddP2WSHOutput()
// Assume that change output is a P2WKH output.
//
// TODO: Handle wallets that generate non-witness change
// addresses.
// TODO(halseth): make coinSelect not estimate change output
// for dust change.
weightEstimate.AddP2WKHOutput()
// The difference between the selected amount and the amount
// requested will be used to pay fees, and generate a change
// output with the remaining.
overShootAmt := totalSat - amt
// Based on the estimated size and fee rate, if the excess
// amount isn't enough to pay fees, then increase the requested
// coin amount by the estimate required fee, performing another
// round of coin selection.
totalWeight := int64(weightEstimate.Weight())
requiredFee := feeRate.FeeForWeight(totalWeight)
if overShootAmt < requiredFee {
amtNeeded = amt + requiredFee
var changeAmt btcutil.Amount
switch {
// If the excess amount isn't enough to pay for fees based on
// fee rate and estimated size without using a change output,
// then increase the requested coin amount by the estimate
// required fee without using change, performing another round
// of coin selection.
case overShootAmt < requiredFeeNoChange:
amtNeeded = amt + requiredFeeNoChange
continue
// If sufficient funds were selected to cover the fee required
// to include a change output, the remainder will be our change
// amount.
case overShootAmt > requiredFeeWithChange:
changeAmt = overShootAmt - requiredFeeWithChange
// Otherwise we have selected enough to pay for a tx without a
// change output.
default:
changeAmt = 0
}
// If the fee is sufficient, then calculate the size of the
// change output.
changeAmt := overShootAmt - requiredFee
if changeAmt < dustLimit {
changeAmt = 0
}
// Sanity check the resulting output values to make sure we
// don't burn a great part to fees.
totalOut := amt + changeAmt
err = sanityCheckFee(totalOut, totalSat-totalOut)
if err != nil {
return nil, 0, err
}
return selectedUtxos, changeAmt, nil
}
@ -134,37 +204,17 @@ func CoinSelectSubtractFees(feeRate chainfee.SatPerKWeight, amt,
return nil, 0, 0, err
}
var weightEstimate input.TxWeightEstimator
for _, utxo := range selectedUtxos {
switch {
case txscript.IsPayToWitnessPubKeyHash(utxo.PkScript):
weightEstimate.AddP2WKHInput()
case txscript.IsPayToScriptHash(utxo.PkScript):
weightEstimate.AddNestedP2WKHInput()
default:
return nil, 0, 0, fmt.Errorf("unsupported address "+
"type: %x", utxo.PkScript)
}
}
// Channel funding multisig output is P2WSH.
weightEstimate.AddP2WSHOutput()
// At this point we've got two possibilities, either create a
// change output, or not. We'll first try without creating a
// change output.
//
// Estimate the fee required for a transaction without a change
// Obtain fee estimates both with and without using a change
// output.
totalWeight := int64(weightEstimate.Weight())
requiredFee := feeRate.FeeForWeight(totalWeight)
requiredFeeNoChange, requiredFeeWithChange, err := calculateFees(
selectedUtxos, feeRate)
if err != nil {
return nil, 0, 0, err
}
// For a transaction without a change output, we'll let everything go
// to our multi-sig output after subtracting fees.
outputAmt := totalSat - requiredFee
outputAmt := totalSat - requiredFeeNoChange
changeAmt := btcutil.Amount(0)
// If the the output is too small after subtracting the fee, the coin
@ -172,24 +222,13 @@ func CoinSelectSubtractFees(feeRate chainfee.SatPerKWeight, amt,
if outputAmt <= dustLimit {
return nil, 0, 0, fmt.Errorf("output amount(%v) after "+
"subtracting fees(%v) below dust limit(%v)", outputAmt,
requiredFee, dustLimit)
requiredFeeNoChange, dustLimit)
}
// We were able to create a transaction with no change from the
// selected inputs. We'll remember the resulting values for
// now, while we try to add a change output. Assume that change output
// is a P2WKH output.
weightEstimate.AddP2WKHOutput()
// Now that we have added the change output, redo the fee
// estimate.
totalWeight = int64(weightEstimate.Weight())
requiredFee = feeRate.FeeForWeight(totalWeight)
// For a transaction with a change output, everything we don't spend
// will go to change.
newOutput := amt - requiredFeeWithChange
newChange := totalSat - amt
newOutput := amt - requiredFee
// If adding a change output leads to both outputs being above
// the dust limit, we'll add the change output. Otherwise we'll
@ -202,14 +241,9 @@ func CoinSelectSubtractFees(feeRate chainfee.SatPerKWeight, amt,
// Sanity check the resulting output values to make sure we
// don't burn a great part to fees.
totalOut := outputAmt + changeAmt
fee := totalSat - totalOut
// Fail if more than 20% goes to fees.
// TODO(halseth): smarter fee limit. Make configurable or dynamic wrt
// total funding size?
if fee > totalOut/5 {
return nil, 0, 0, fmt.Errorf("fee %v on total output "+
"value %v", fee, totalOut)
err = sanityCheckFee(totalOut, totalSat-totalOut)
if err != nil {
return nil, 0, 0, err
}
return selectedUtxos, outputAmt, changeAmt, nil

145
lnwallet/chanfunding/coin_select_test.go
View File

@ -9,12 +9,21 @@ import (
"github.com/btcsuite/btcutil"
"github.com/lightningnetwork/lnd/input"
"github.com/lightningnetwork/lnd/lnwallet/chainfee"
"github.com/stretchr/testify/require"
)
var (
p2wkhScript, _ = hex.DecodeString(
"001411034bdcb6ccb7744fdfdeea958a6fb0b415a032",
)
np2wkhScript, _ = hex.DecodeString(
"a914f7bd5b8077b9549653dacf96f824af9d931663e687",
)
p2khScript, _ = hex.DecodeString(
"76a91411034bdcb6ccb7744fdfdeea958a6fb0b415a03288ac",
)
)
// fundingFee is a helper method that returns the fee estimate used for a tx
@ -42,6 +51,88 @@ func fundingFee(feeRate chainfee.SatPerKWeight, numInput int, // nolint:unparam
return feeRate.FeeForWeight(totalWeight)
}
// TestCalculateFees tests that the helper function to calculate the fees
// both with and without applying a change output is done correctly for
// (N)P2WKH inputs, and should raise an error otherwise.
func TestCalculateFees(t *testing.T) {
t.Parallel()
const feeRate = chainfee.SatPerKWeight(1000)
type testCase struct {
name string
utxos []Coin
expectedFeeNoChange btcutil.Amount
expectedFeeWithChange btcutil.Amount
expectedErr error
}
testCases := []testCase{
{
name: "one P2WKH input",
utxos: []Coin{
{
TxOut: wire.TxOut{
PkScript: p2wkhScript,
Value: 1,
},
},
},
expectedFeeNoChange: 487,
expectedFeeWithChange: 611,
expectedErr: nil,
},
{
name: "one NP2WKH input",
utxos: []Coin{
{
TxOut: wire.TxOut{
PkScript: np2wkhScript,
Value: 1,
},
},
},
expectedFeeNoChange: 579,
expectedFeeWithChange: 703,
expectedErr: nil,
},
{
name: "not supported P2KH input",
utxos: []Coin{
{
TxOut: wire.TxOut{
PkScript: p2khScript,
Value: 1,
},
},
},
expectedErr: &errUnsupportedInput{p2khScript},
},
}
for _, test := range testCases {
test := test
t.Run(test.name, func(t *testing.T) {
feeNoChange, feeWithChange, err := calculateFees(
test.utxos, feeRate,
)
require.Equal(t, test.expectedErr, err)
// Note: The error-case will have zero values returned
// for fees and therefore anyway pass the following
// requirements.
require.Equal(t, test.expectedFeeNoChange, feeNoChange)
require.Equal(t, test.expectedFeeWithChange, feeWithChange)
})
}
}
// TestCoinSelect tests that we pick coins adding up to the expected amount
// when creating a funding transaction, and that the calculated change is the
// expected amount.
@ -52,7 +143,7 @@ func TestCoinSelect(t *testing.T) {
t.Parallel()
const feeRate = chainfee.SatPerKWeight(100)
const dust = btcutil.Amount(100)
const dustLimit = btcutil.Amount(1000)
type testCase struct {
name string
@ -106,7 +197,7 @@ func TestCoinSelect(t *testing.T) {
{
// We have a 1 BTC input, and want to create an output
// as big as possible, such that the remaining change
// will be dust.
// would be dust but instead goes to fees.
name: "dust change",
coins: []Coin{
{
@ -117,41 +208,53 @@ func TestCoinSelect(t *testing.T) {
},
},
// We tune the output value by subtracting the expected
// fee and a small dust amount.
outputValue: 1*btcutil.SatoshiPerBitcoin - fundingFee(feeRate, 1, true) - dust,
// fee and the dustlimit.
outputValue: 1*btcutil.SatoshiPerBitcoin - fundingFee(feeRate, 1, false) - dustLimit,
expectedInput: []btcutil.Amount{
1 * btcutil.SatoshiPerBitcoin,
},
// Change will the dust.
expectedChange: dust,
// Change must be zero.
expectedChange: 0,
},
{
// We have a 1 BTC input, and want to create an output
// as big as possible, such that there is nothing left
// for change.
name: "no change",
// We got just enough funds to create a change output above the
// dust limit.
name: "change right above dustlimit",
coins: []Coin{
{
TxOut: wire.TxOut{
PkScript: p2wkhScript,
Value: 1 * btcutil.SatoshiPerBitcoin,
Value: int64(fundingFee(feeRate, 1, true) + 2*(dustLimit+1)),
},
},
},
// We tune the output value to be the maximum amount
// possible, leaving just enough for fees.
outputValue: 1*btcutil.SatoshiPerBitcoin - fundingFee(feeRate, 1, true),
// We tune the output value to be just above the dust limit.
outputValue: dustLimit + 1,
expectedInput: []btcutil.Amount{
1 * btcutil.SatoshiPerBitcoin,
fundingFee(feeRate, 1, true) + 2*(dustLimit+1),
},
// We have just enough left to pay the fee, so there is
// nothing left for change.
// TODO(halseth): currently coinselect estimates fees
// assuming a change output.
expectedChange: 0,
// After paying for the fee the change output should be just above
// the dust limit.
expectedChange: dustLimit + 1,
},
{
// If more than 20% of funds goes to fees, it should fail.
name: "high fee",
coins: []Coin{
{
TxOut: wire.TxOut{
PkScript: p2wkhScript,
Value: int64(5 * fundingFee(feeRate, 1, false)),
},
},
},
outputValue: 4 * fundingFee(feeRate, 1, false),
expectErr: true,
},
}
@ -161,7 +264,7 @@ func TestCoinSelect(t *testing.T) {
t.Parallel()
selected, changeAmt, err := CoinSelect(
feeRate, test.outputValue, test.coins,
feeRate, test.outputValue, dustLimit, test.coins,
)
if !test.expectErr && err != nil {
t.Fatalf(err.Error())

17
lnwallet/chanfunding/wallet_assembler.go
View File

@ -1,6 +1,7 @@
package chanfunding
import (
"fmt"
"math"
"github.com/btcsuite/btcd/btcec"
@ -289,20 +290,28 @@ func (w *WalletAssembler) ProvisionChannel(r *Request) (Intent, error) {
// Otherwise do a normal coin selection where we target a given
// funding amount.
default:
dustLimit := w.cfg.DustLimit
localContributionAmt = r.LocalAmt
selectedCoins, changeAmt, err = CoinSelect(
r.FeeRate, r.LocalAmt, coins,
r.FeeRate, r.LocalAmt, dustLimit, coins,
)
if err != nil {
return err
}
}
// Sanity check: The addition of the outputs should not lead to the
// creation of dust.
if changeAmt != 0 && changeAmt <= w.cfg.DustLimit {
return fmt.Errorf("change amount(%v) after coin "+
"select is below dust limit(%v)", changeAmt,
w.cfg.DustLimit)
}
// Record any change output(s) generated as a result of the
// coin selection, but only if the addition of the output won't
// lead to the creation of dust.
// coin selection.
var changeOutput *wire.TxOut
if changeAmt != 0 && changeAmt > w.cfg.DustLimit {
if changeAmt != 0 {
changeAddr, err := r.ChangeAddr()
if err != nil {
return err