Fix vbytes and fee rate code
It was just pointed out that we are calculating the virtual bytes incorrectly by forgetting to take the ceiling after division by 4 [1] Add helper functions to encapsulate all weight unit -> virtual byte calculations including fee to and from fee rate. This makes the code easier to read, easier to write, and gives us a better chance that bugs like this will be easier to see. As an added bonus we can also stop using f32 values for fee amount, which is by definition an amount in sats so should be a u64. This removes a bunch of casts and the need for epsilon comparisons and just deep down feels nice :) [1] https://github.com/bitcoindevkit/bdk/pull/386#discussion_r670882678
This commit is contained in:
Tobin Harding
parent
474620e6a5
commit
2986fce7c6
43
src/types.rs
43
src/types.rs
@ -10,6 +10,7 @@
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// licenses.
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use std::convert::AsRef;
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use std::ops::Sub;
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use bitcoin::blockdata::transaction::{OutPoint, Transaction, TxOut};
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use bitcoin::{hash_types::Txid, util::psbt};
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@ -65,10 +66,31 @@ impl FeeRate {
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FeeRate(1.0)
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}
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/// Calculate fee rate from `fee` and weight units (`wu`).
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pub fn from_wu(fee: u64, wu: usize) -> FeeRate {
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Self::from_vb(fee, wu.vbytes())
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}
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/// Calculate fee rate from `fee` and `vbytes`.
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pub fn from_vb(fee: u64, vbytes: usize) -> FeeRate {
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let rate = fee as f32 / vbytes as f32;
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Self::from_sat_per_vb(rate)
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}
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/// Return the value as satoshi/vbyte
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pub fn as_sat_vb(&self) -> f32 {
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self.0
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}
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/// Calculate absolute fee in Satoshis using size in weight units.
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pub fn fee_wu(&self, wu: usize) -> u64 {
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self.fee_vb(wu.vbytes())
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}
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/// Calculate absolute fee in Satoshis using size in virtual bytes.
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pub fn fee_vb(&self, vbytes: usize) -> u64 {
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(self.as_sat_vb() * vbytes as f32).ceil() as u64
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}
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}
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impl std::default::Default for FeeRate {
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@ -77,6 +99,27 @@ impl std::default::Default for FeeRate {
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}
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}
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impl Sub for FeeRate {
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type Output = Self;
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fn sub(self, other: FeeRate) -> Self::Output {
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FeeRate(self.0 - other.0)
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}
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}
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/// Trait implemented by types that can be used to measure weight units.
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pub trait Vbytes {
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/// Convert weight units to virtual bytes.
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fn vbytes(self) -> usize;
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}
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impl Vbytes for usize {
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fn vbytes(self) -> usize {
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// ref: https://github.com/bitcoin/bips/blob/master/bip-0141.mediawiki#transaction-size-calculations
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(self as f32 / 4.0).ceil() as usize
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}
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}
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/// An unspent output owned by a [`Wallet`].
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///
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/// [`Wallet`]: crate::Wallet
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@ -26,7 +26,7 @@
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//! ```
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//! # use std::str::FromStr;
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//! # use bitcoin::*;
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//! # use bdk::wallet::coin_selection::*;
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//! # use bdk::wallet::{self, coin_selection::*};
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//! # use bdk::database::Database;
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//! # use bdk::*;
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//! # const TXIN_BASE_WEIGHT: usize = (32 + 4 + 4 + 1) * 4;
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@ -41,7 +41,7 @@
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//! optional_utxos: Vec<WeightedUtxo>,
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//! fee_rate: FeeRate,
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//! amount_needed: u64,
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//! fee_amount: f32,
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//! fee_amount: u64,
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//! ) -> Result<CoinSelectionResult, bdk::Error> {
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//! let mut selected_amount = 0;
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//! let mut additional_weight = 0;
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@ -57,9 +57,8 @@
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//! },
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//! )
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//! .collect::<Vec<_>>();
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//! let additional_fees = additional_weight as f32 * fee_rate.as_sat_vb() / 4.0;
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//! let amount_needed_with_fees =
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//! (fee_amount + additional_fees).ceil() as u64 + amount_needed;
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//! let additional_fees = fee_rate.fee_wu(additional_weight);
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//! let amount_needed_with_fees = (fee_amount + additional_fees) + amount_needed;
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//! if amount_needed_with_fees > selected_amount {
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//! return Err(bdk::Error::InsufficientFunds {
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//! needed: amount_needed_with_fees,
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@ -90,7 +89,6 @@
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//! ```
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use crate::types::FeeRate;
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use crate::wallet::Vbytes;
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use crate::{database::Database, WeightedUtxo};
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use crate::{error::Error, Utxo};
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@ -118,7 +116,7 @@ pub struct CoinSelectionResult {
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/// List of outputs selected for use as inputs
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pub selected: Vec<Utxo>,
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/// Total fee amount in satoshi
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pub fee_amount: f32,
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pub fee_amount: u64,
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}
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impl CoinSelectionResult {
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@ -165,7 +163,7 @@ pub trait CoinSelectionAlgorithm<D: Database>: std::fmt::Debug {
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optional_utxos: Vec<WeightedUtxo>,
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fee_rate: FeeRate,
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amount_needed: u64,
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fee_amount: f32,
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fee_amount: u64,
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) -> Result<CoinSelectionResult, Error>;
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}
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@ -184,10 +182,8 @@ impl<D: Database> CoinSelectionAlgorithm<D> for LargestFirstCoinSelection {
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mut optional_utxos: Vec<WeightedUtxo>,
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fee_rate: FeeRate,
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amount_needed: u64,
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mut fee_amount: f32,
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mut fee_amount: u64,
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) -> Result<CoinSelectionResult, Error> {
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let calc_fee_bytes = |wu| (wu as f32) * fee_rate.as_sat_vb() / 4.0;
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log::debug!(
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"amount_needed = `{}`, fee_amount = `{}`, fee_rate = `{:?}`",
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amount_needed,
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@ -212,9 +208,9 @@ impl<D: Database> CoinSelectionAlgorithm<D> for LargestFirstCoinSelection {
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.scan(
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(&mut selected_amount, &mut fee_amount),
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|(selected_amount, fee_amount), (must_use, weighted_utxo)| {
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if must_use || **selected_amount < amount_needed + (fee_amount.ceil() as u64) {
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if must_use || **selected_amount < amount_needed + **fee_amount {
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**fee_amount +=
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calc_fee_bytes(TXIN_BASE_WEIGHT + weighted_utxo.satisfaction_weight);
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fee_rate.fee_wu(TXIN_BASE_WEIGHT + weighted_utxo.satisfaction_weight);
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**selected_amount += weighted_utxo.utxo.txout().value;
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log::debug!(
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@ -231,7 +227,7 @@ impl<D: Database> CoinSelectionAlgorithm<D> for LargestFirstCoinSelection {
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)
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.collect::<Vec<_>>();
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let amount_needed_with_fees = amount_needed + (fee_amount.ceil() as u64);
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let amount_needed_with_fees = amount_needed + fee_amount;
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if selected_amount < amount_needed_with_fees {
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return Err(Error::InsufficientFunds {
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needed: amount_needed_with_fees,
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@ -251,16 +247,15 @@ impl<D: Database> CoinSelectionAlgorithm<D> for LargestFirstCoinSelection {
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struct OutputGroup {
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weighted_utxo: WeightedUtxo,
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// Amount of fees for spending a certain utxo, calculated using a certain FeeRate
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fee: f32,
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fee: u64,
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// The effective value of the UTXO, i.e., the utxo value minus the fee for spending it
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effective_value: i64,
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}
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impl OutputGroup {
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fn new(weighted_utxo: WeightedUtxo, fee_rate: FeeRate) -> Self {
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let fee =
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(TXIN_BASE_WEIGHT + weighted_utxo.satisfaction_weight).vbytes() * fee_rate.as_sat_vb();
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let effective_value = weighted_utxo.utxo.txout().value as i64 - fee.ceil() as i64;
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let fee = fee_rate.fee_wu(TXIN_BASE_WEIGHT + weighted_utxo.satisfaction_weight);
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let effective_value = weighted_utxo.utxo.txout().value as i64 - fee as i64;
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OutputGroup {
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weighted_utxo,
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fee,
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@ -303,7 +298,7 @@ impl<D: Database> CoinSelectionAlgorithm<D> for BranchAndBoundCoinSelection {
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optional_utxos: Vec<WeightedUtxo>,
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fee_rate: FeeRate,
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amount_needed: u64,
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fee_amount: f32,
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fee_amount: u64,
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) -> Result<CoinSelectionResult, Error> {
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// Mapping every (UTXO, usize) to an output group
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let required_utxos: Vec<OutputGroup> = required_utxos
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@ -325,7 +320,7 @@ impl<D: Database> CoinSelectionAlgorithm<D> for BranchAndBoundCoinSelection {
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.iter()
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.fold(0, |acc, x| acc + x.effective_value);
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let actual_target = fee_amount.ceil() as u64 + amount_needed;
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let actual_target = fee_amount + amount_needed;
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let cost_of_change = self.size_of_change as f32 * fee_rate.as_sat_vb();
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let expected = (curr_available_value + curr_value)
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@ -378,7 +373,7 @@ impl BranchAndBoundCoinSelection {
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mut curr_value: i64,
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mut curr_available_value: i64,
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actual_target: i64,
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fee_amount: f32,
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fee_amount: u64,
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cost_of_change: f32,
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) -> Result<CoinSelectionResult, Error> {
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// current_selection[i] will contain true if we are using optional_utxos[i],
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@ -486,7 +481,7 @@ impl BranchAndBoundCoinSelection {
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mut optional_utxos: Vec<OutputGroup>,
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curr_value: i64,
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actual_target: i64,
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fee_amount: f32,
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fee_amount: u64,
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) -> CoinSelectionResult {
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#[cfg(not(test))]
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optional_utxos.shuffle(&mut thread_rng());
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@ -515,10 +510,10 @@ impl BranchAndBoundCoinSelection {
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fn calculate_cs_result(
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mut selected_utxos: Vec<OutputGroup>,
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mut required_utxos: Vec<OutputGroup>,
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mut fee_amount: f32,
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mut fee_amount: u64,
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) -> CoinSelectionResult {
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selected_utxos.append(&mut required_utxos);
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fee_amount += selected_utxos.iter().map(|u| u.fee).sum::<f32>();
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fee_amount += selected_utxos.iter().map(|u| u.fee).sum::<u64>();
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let selected = selected_utxos
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.into_iter()
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.map(|u| u.weighted_utxo.utxo)
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@ -540,6 +535,7 @@ mod test {
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use super::*;
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use crate::database::MemoryDatabase;
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use crate::types::*;
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use crate::wallet::Vbytes;
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use rand::rngs::StdRng;
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use rand::seq::SliceRandom;
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@ -547,7 +543,7 @@ mod test {
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const P2WPKH_WITNESS_SIZE: usize = 73 + 33 + 2;
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const FEE_AMOUNT: f32 = 50.0;
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const FEE_AMOUNT: u64 = 50;
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fn get_test_utxos() -> Vec<WeightedUtxo> {
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vec![
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@ -656,13 +652,13 @@ mod test {
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vec![],
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FeeRate::from_sat_per_vb(1.0),
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250_000,
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50.0,
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FEE_AMOUNT,
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)
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.unwrap();
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assert_eq!(result.selected.len(), 3);
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assert_eq!(result.selected_amount(), 300_010);
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assert!((result.fee_amount - 254.0).abs() < f32::EPSILON);
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assert_eq!(result.fee_amount, 254)
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}
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#[test]
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@ -677,13 +673,13 @@ mod test {
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vec![],
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FeeRate::from_sat_per_vb(1.0),
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20_000,
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50.0,
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FEE_AMOUNT,
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)
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.unwrap();
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assert_eq!(result.selected.len(), 3);
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assert_eq!(result.selected_amount(), 300_010);
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assert!((result.fee_amount - 254.0).abs() < f32::EPSILON);
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assert_eq!(result.fee_amount, 254);
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}
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#[test]
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@ -698,13 +694,13 @@ mod test {
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utxos,
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FeeRate::from_sat_per_vb(1.0),
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20_000,
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50.0,
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FEE_AMOUNT,
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)
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.unwrap();
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assert_eq!(result.selected.len(), 1);
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assert_eq!(result.selected_amount(), 200_000);
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assert!((result.fee_amount - 118.0).abs() < f32::EPSILON);
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assert_eq!(result.fee_amount, 118);
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}
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#[test]
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@ -720,7 +716,7 @@ mod test {
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utxos,
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FeeRate::from_sat_per_vb(1.0),
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500_000,
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50.0,
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FEE_AMOUNT,
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)
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.unwrap();
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}
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@ -738,7 +734,7 @@ mod test {
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utxos,
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FeeRate::from_sat_per_vb(1000.0),
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250_000,
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50.0,
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FEE_AMOUNT,
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)
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.unwrap();
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}
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@ -758,13 +754,13 @@ mod test {
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utxos,
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FeeRate::from_sat_per_vb(1.0),
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250_000,
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50.0,
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FEE_AMOUNT,
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)
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.unwrap();
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assert_eq!(result.selected.len(), 3);
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assert_eq!(result.selected_amount(), 300_000);
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assert!((result.fee_amount - 254.0).abs() < f32::EPSILON);
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assert_eq!(result.fee_amount, 254);
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}
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#[test]
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@ -785,7 +781,7 @@ mod test {
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assert_eq!(result.selected.len(), 3);
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assert_eq!(result.selected_amount(), 300_010);
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assert!((result.fee_amount - 254.0).abs() < f32::EPSILON);
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assert_eq!(result.fee_amount, 254);
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}
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#[test]
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@ -806,7 +802,7 @@ mod test {
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assert_eq!(result.selected.len(), 3);
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assert_eq!(result.selected_amount(), 300010);
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assert!((result.fee_amount - 254.0).abs() < f32::EPSILON);
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assert_eq!(result.fee_amount, 254);
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}
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#[test]
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@ -822,7 +818,7 @@ mod test {
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utxos,
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FeeRate::from_sat_per_vb(1.0),
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500_000,
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50.0,
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FEE_AMOUNT,
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)
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.unwrap();
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}
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@ -840,7 +836,7 @@ mod test {
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utxos,
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FeeRate::from_sat_per_vb(1000.0),
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250_000,
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50.0,
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FEE_AMOUNT,
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)
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.unwrap();
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}
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@ -857,7 +853,7 @@ mod test {
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utxos,
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FeeRate::from_sat_per_vb(1.0),
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99932, // first utxo's effective value
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0.0,
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0,
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)
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.unwrap();
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@ -865,7 +861,7 @@ mod test {
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assert_eq!(result.selected_amount(), 100_000);
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let input_size = (TXIN_BASE_WEIGHT + P2WPKH_WITNESS_SIZE).vbytes();
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let epsilon = 0.5;
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assert!((1.0 - (result.fee_amount / input_size)).abs() < epsilon);
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assert!((1.0 - (result.fee_amount as f32 / input_size as f32)).abs() < epsilon);
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}
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#[test]
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@ -884,7 +880,7 @@ mod test {
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optional_utxos,
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FeeRate::from_sat_per_vb(0.0),
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target_amount,
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0.0,
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0,
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)
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.unwrap();
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assert_eq!(result.selected_amount(), target_amount);
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@ -911,7 +907,7 @@ mod test {
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0,
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curr_available_value,
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20_000,
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50.0,
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FEE_AMOUNT,
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cost_of_change,
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)
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.unwrap();
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@ -938,7 +934,7 @@ mod test {
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0,
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curr_available_value,
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20_000,
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50.0,
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FEE_AMOUNT,
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cost_of_change,
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)
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.unwrap();
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@ -950,7 +946,6 @@ mod test {
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let fee_rate = FeeRate::from_sat_per_vb(1.0);
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let size_of_change = 31;
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let cost_of_change = size_of_change as f32 * fee_rate.as_sat_vb();
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let fee_amount = 50.0;
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let utxos: Vec<_> = generate_same_value_utxos(50_000, 10)
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.into_iter()
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@ -972,12 +967,12 @@ mod test {
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curr_value,
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curr_available_value,
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target_amount,
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fee_amount,
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FEE_AMOUNT,
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cost_of_change,
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)
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.unwrap();
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assert!((result.fee_amount - 186.0).abs() < f32::EPSILON);
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assert_eq!(result.selected_amount(), 100_000);
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assert_eq!(result.fee_amount, 186);
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}
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// TODO: bnb() function should be optimized, and this test should be done with more utxos
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@ -1009,7 +1004,7 @@ mod test {
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curr_value,
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curr_available_value,
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target_amount,
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0.0,
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0,
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0.0,
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)
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.unwrap();
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@ -1035,12 +1030,10 @@ mod test {
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utxos,
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0,
|
||||
target_amount as i64,
|
||||
50.0,
|
||||
FEE_AMOUNT,
|
||||
);
|
||||
|
||||
assert!(result.selected_amount() > target_amount);
|
||||
assert!(
|
||||
(result.fee_amount - (50.0 + result.selected.len() as f32 * 68.0)).abs() < f32::EPSILON
|
||||
);
|
||||
assert_eq!(result.fee_amount, (50 + result.selected.len() * 68) as u64);
|
||||
}
|
||||
}
|
||||
|
||||
@ -543,7 +543,7 @@ where
|
||||
});
|
||||
}
|
||||
}
|
||||
(FeeRate::from_sat_per_vb(0.0), *fee as f32)
|
||||
(FeeRate::from_sat_per_vb(0.0), *fee)
|
||||
}
|
||||
FeePolicy::FeeRate(rate) => {
|
||||
if let Some(previous_fee) = params.bumping_fee {
|
||||
@ -554,7 +554,7 @@ where
|
||||
});
|
||||
}
|
||||
}
|
||||
(*rate, 0.0)
|
||||
(*rate, 0)
|
||||
}
|
||||
};
|
||||
|
||||
@ -573,8 +573,7 @@ where
|
||||
let mut outgoing: u64 = 0;
|
||||
let mut received: u64 = 0;
|
||||
|
||||
let calc_fee_bytes = |wu| (wu as f32) * fee_rate.as_sat_vb() / 4.0;
|
||||
fee_amount += calc_fee_bytes(tx.get_weight());
|
||||
fee_amount += fee_rate.fee_wu(tx.get_weight());
|
||||
|
||||
let recipients = params.recipients.iter().map(|(r, v)| (r, *v));
|
||||
|
||||
@ -591,7 +590,7 @@ where
|
||||
script_pubkey: script_pubkey.clone(),
|
||||
value,
|
||||
};
|
||||
fee_amount += calc_fee_bytes(serialize(&new_out).len() * 4);
|
||||
fee_amount += fee_rate.fee_vb(serialize(&new_out).len());
|
||||
|
||||
tx.output.push(new_out);
|
||||
|
||||
@ -649,9 +648,8 @@ where
|
||||
}
|
||||
};
|
||||
|
||||
fee_amount += calc_fee_bytes(serialize(&drain_output).len() * 4);
|
||||
fee_amount += fee_rate.fee_vb(serialize(&drain_output).len());
|
||||
|
||||
let mut fee_amount = fee_amount.ceil() as u64;
|
||||
let drain_val = (coin_selection.selected_amount() - outgoing).saturating_sub(fee_amount);
|
||||
|
||||
if tx.output.is_empty() {
|
||||
@ -754,8 +752,10 @@ where
|
||||
return Err(Error::IrreplaceableTransaction);
|
||||
}
|
||||
|
||||
let vbytes = tx.get_weight().vbytes();
|
||||
let feerate = details.fee.ok_or(Error::FeeRateUnavailable)? as f32 / vbytes;
|
||||
let feerate = FeeRate::from_wu(
|
||||
details.fee.ok_or(Error::FeeRateUnavailable)?,
|
||||
tx.get_weight(),
|
||||
);
|
||||
|
||||
// remove the inputs from the tx and process them
|
||||
let original_txin = tx.input.drain(..).collect::<Vec<_>>();
|
||||
@ -832,7 +832,7 @@ where
|
||||
utxos: original_utxos,
|
||||
bumping_fee: Some(tx_builder::PreviousFee {
|
||||
absolute: details.fee.ok_or(Error::FeeRateUnavailable)?,
|
||||
rate: feerate,
|
||||
rate: feerate.as_sat_vb(),
|
||||
}),
|
||||
..Default::default()
|
||||
};
|
||||
@ -1548,18 +1548,6 @@ where
|
||||
}
|
||||
}
|
||||
|
||||
/// Trait implemented by types that can be used to measure weight units.
|
||||
pub trait Vbytes {
|
||||
/// Convert weight units to virtual bytes.
|
||||
fn vbytes(self) -> f32;
|
||||
}
|
||||
|
||||
impl Vbytes for usize {
|
||||
fn vbytes(self) -> f32 {
|
||||
self as f32 / 4.0
|
||||
}
|
||||
}
|
||||
|
||||
#[cfg(test)]
|
||||
pub(crate) mod test {
|
||||
use std::str::FromStr;
|
||||
@ -1746,13 +1734,13 @@ pub(crate) mod test {
|
||||
dust_change = true;
|
||||
)*
|
||||
|
||||
let tx_fee_rate = $fees as f32 / (tx.get_weight().vbytes());
|
||||
let fee_rate = $fee_rate.as_sat_vb();
|
||||
let tx_fee_rate = FeeRate::from_wu($fees, tx.get_weight());
|
||||
let fee_rate = $fee_rate;
|
||||
|
||||
if !dust_change {
|
||||
assert!((tx_fee_rate - fee_rate).abs() < 0.5, "Expected fee rate of {}, the tx has {}", fee_rate, tx_fee_rate);
|
||||
assert!((tx_fee_rate - fee_rate).as_sat_vb().abs() < 0.5, "Expected fee rate of {:?}, the tx has {:?}", fee_rate, tx_fee_rate);
|
||||
} else {
|
||||
assert!(tx_fee_rate >= fee_rate, "Expected fee rate of at least {}, the tx has {}", fee_rate, tx_fee_rate);
|
||||
assert!(tx_fee_rate >= fee_rate, "Expected fee rate of at least {:?}, the tx has {:?}", fee_rate, tx_fee_rate);
|
||||
}
|
||||
});
|
||||
}
|
||||
|
||||
Loading…
x
Reference in New Issue
Block a user