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feat(coin_select): Implement
LowestFee metric
This is an initial non-tested implementation.
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,175 @@ | ||
| use crate::{ | ||
| float::Ordf32, metrics::change_lower_bound, BnbMetric, Candidate, CoinSelector, Drain, | ||
| DrainWeights, FeeRate, Target, | ||
| }; | ||
|
|
||
| pub struct LowestFee<'c, C> { | ||
| pub target: Target, | ||
| pub long_term_feerate: FeeRate, | ||
| pub change_policy: &'c C, | ||
| } | ||
|
|
||
| impl<'c, C> LowestFee<'c, C> | ||
| where | ||
| for<'a, 'b> C: Fn(&'b CoinSelector<'a>, Target) -> Drain, | ||
| { | ||
| fn calculate_metric(&self, cs: &CoinSelector<'_>, drain_weights: Option<DrainWeights>) -> f32 { | ||
| match drain_weights { | ||
| // with change | ||
| Some(drain_weights) => { | ||
| (cs.input_weight() + drain_weights.output_weight) as f32 | ||
| * self.target.feerate.spwu() | ||
| + drain_weights.spend_weight as f32 * self.long_term_feerate.spwu() | ||
| } | ||
| // changeless | ||
| None => { | ||
| cs.input_weight() as f32 * self.target.feerate.spwu() | ||
| + (cs.selected_value() - self.target.value) as f32 | ||
| } | ||
| } | ||
| } | ||
| } | ||
|
|
||
| impl<'c, C> BnbMetric for LowestFee<'c, C> | ||
| where | ||
| for<'a, 'b> C: Fn(&'b CoinSelector<'a>, Target) -> Drain, | ||
| { | ||
| type Score = Ordf32; | ||
|
|
||
| fn score(&mut self, cs: &CoinSelector<'_>) -> Option<Self::Score> { | ||
| let drain = (self.change_policy)(cs, self.target); | ||
| if !cs.is_target_met(self.target, drain) { | ||
| return None; | ||
| } | ||
|
|
||
| let drain_weights = if drain.is_some() { | ||
| Some(drain.weights) | ||
| } else { | ||
| None | ||
| }; | ||
|
|
||
| Some(Ordf32(self.calculate_metric(cs, drain_weights))) | ||
| } | ||
|
|
||
| fn bound(&mut self, cs: &CoinSelector<'_>) -> Option<Self::Score> { | ||
| // this either returns: | ||
| // * None: change output may or may not exist | ||
| // * Some: change output must exist from this branch onwards | ||
| let change_lb = change_lower_bound(cs, self.target, &self.change_policy); | ||
| let change_lb_weights = if change_lb.is_some() { | ||
| Some(change_lb.weights) | ||
| } else { | ||
| None | ||
| }; | ||
|
|
||
| if cs.is_target_met(self.target, change_lb) { | ||
| // Target is met, is it possible to add further inputs to remove drain output? | ||
| // If we do, can we get a better score? | ||
|
|
||
| // First lower bound candidate is just the selection itself. | ||
| let mut lower_bound = self.calculate_metric(cs, change_lb_weights); | ||
|
|
||
| // Since a changeless solution may exist, we should try reduce the excess | ||
| if change_lb.is_none() { | ||
| let selection_with_as_much_negative_ev_as_possible = cs | ||
| .clone() | ||
| .select_iter() | ||
| .rev() | ||
| .take_while(|(cs, _, candidate)| { | ||
| candidate.effective_value(self.target.feerate).0 < 0.0 | ||
| && cs.is_target_met(self.target, Drain::none()) | ||
| }) | ||
| .last() | ||
| .map(|(cs, _, _)| cs); | ||
|
|
||
| if let Some(cs) = selection_with_as_much_negative_ev_as_possible { | ||
| // we have selected as much "real" inputs as possible, is it possible to select | ||
| // one more with the perfect weight? | ||
| let can_do_better_by_slurping = | ||
| cs.unselected().next_back().and_then(|(_, candidate)| { | ||
| if candidate.effective_value(self.target.feerate).0 < 0.0 { | ||
| Some(candidate) | ||
| } else { | ||
| None | ||
| } | ||
| }); | ||
| let lower_bound_changeless = match can_do_better_by_slurping { | ||
| Some(finishing_input) => { | ||
| let excess = cs.rate_excess(self.target, Drain::none()); | ||
|
|
||
| // change the input's weight to make it's effective value match the excess | ||
| let perfect_input_weight = | ||
| slurp_candidate(finishing_input, excess, self.target.feerate); | ||
|
|
||
| (cs.input_weight() as f32 + perfect_input_weight) | ||
| * self.target.feerate.spwu() | ||
| } | ||
| None => self.calculate_metric(&cs, None), | ||
| }; | ||
|
|
||
| lower_bound = lower_bound.min(lower_bound_changeless) | ||
| } | ||
| } | ||
|
|
||
| return Some(Ordf32(lower_bound)); | ||
| } | ||
|
|
||
| // target is not met yet | ||
| // select until we just exceed target, then we slurp the last selection | ||
| let (mut cs, slurp_index, candidate_to_slurp) = cs | ||
| .clone() | ||
| .select_iter() | ||
| .find(|(cs, _, _)| cs.is_target_met(self.target, change_lb))?; | ||
| cs.deselect(slurp_index); | ||
|
|
||
| let perfect_excess = i64::min( | ||
| cs.rate_excess(self.target, Drain::none()), | ||
| cs.absolute_excess(self.target, Drain::none()), | ||
| ); | ||
|
|
||
| match change_lb_weights { | ||
| // must have change! | ||
| Some(change_weights) => { | ||
| // [todo] This will not be perfect, just a placeholder for now | ||
| let lowest_fee = (cs.input_weight() + change_weights.output_weight) as f32 | ||
| * self.target.feerate.spwu() | ||
| + change_weights.spend_weight as f32 * self.long_term_feerate.spwu(); | ||
|
|
||
| Some(Ordf32(lowest_fee)) | ||
| } | ||
| // can be changeless! | ||
| None => { | ||
| // use the lowest excess to find "perfect candidate weight" | ||
| let perfect_input_weight = | ||
| slurp_candidate(candidate_to_slurp, perfect_excess, self.target.feerate); | ||
|
|
||
| // the perfect input weight canned the excess and we assume no change | ||
| let lowest_fee = | ||
| (cs.input_weight() as f32 + perfect_input_weight) * self.target.feerate.spwu(); | ||
|
|
||
| Some(Ordf32(lowest_fee)) | ||
| } | ||
| } | ||
| } | ||
|
|
||
| fn requires_ordering_by_descending_value_pwu(&self) -> bool { | ||
| true | ||
| } | ||
| } | ||
|
|
||
| fn slurp_candidate(candidate: Candidate, excess: i64, feerate: FeeRate) -> f32 { | ||
| let candidate_weight = candidate.weight as f32; | ||
|
|
||
| // this equation is dervied from: | ||
| // * `input_effective_value = input_value - input_weight * feerate` | ||
| // * `input_value * new_input_weight = new_input_value * input_weight` | ||
| // (ensure we have the same value:weight ratio) | ||
| // where we want `input_effective_value` to match `-excess`. | ||
| let perfect_weight = -(candidate_weight * excess as f32) | ||
| / (candidate.value as f32 - candidate_weight * feerate.spwu()); | ||
|
|
||
| debug_assert!(perfect_weight <= candidate_weight); | ||
|
|
||
| // we can't allow the weight to go negative | ||
| perfect_weight.min(0.0) | ||
| } |
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