Merge pull request #1961 from TheBlueMatt/2023-01-expose-hist-buckets

Expose historical bucket data via new accessors

Author: TheBlueMatt

lightning/src/routing/gossip.rs

@@ -84,6 +84,11 @@ impl fmt::Debug for NodeId {
 		write!(f, "NodeId({})", log_bytes!(self.0))
 	}
 }
+impl fmt::Display for NodeId {
+	fn fmt(&self, f: &mut fmt::Formatter) -> fmt::Result {
+		write!(f, "{}", log_bytes!(self.0))
+	}
+}
 
 impl core::hash::Hash for NodeId {
 	fn hash<H: core::hash::Hasher>(&self, hasher: &mut H) {

lightning/src/routing/scoring.rs

@@ -597,7 +597,22 @@ struct HistoricalMinMaxBuckets<'a> {
 
 impl HistoricalMinMaxBuckets<'_> {
 	#[inline]
-	fn calculate_success_probability_times_billion(&self, required_decays: u32, payment_amt_64th_bucket: u8) -> Option<u64> {
+	fn get_decayed_buckets<T: Time>(&self, now: T, last_updated: T, half_life: Duration)
+	-> ([u16; 8], [u16; 8], u32) {
+		let required_decays = now.duration_since(last_updated).as_secs()
+			.checked_div(half_life.as_secs())
+			.map_or(u32::max_value(), |decays| cmp::min(decays, u32::max_value() as u64) as u32);
+		let mut min_buckets = *self.min_liquidity_offset_history;
+		min_buckets.time_decay_data(required_decays);
+		let mut max_buckets = *self.max_liquidity_offset_history;
+		max_buckets.time_decay_data(required_decays);
+		(min_buckets.buckets, max_buckets.buckets, required_decays)
+	}
+
+	#[inline]
+	fn calculate_success_probability_times_billion<T: Time>(
+		&self, now: T, last_updated: T, half_life: Duration, payment_amt_64th_bucket: u8)
+	-> Option<u64> {
 		// If historical penalties are enabled, calculate the penalty by walking the set of
 		// historical liquidity bucket (min, max) combinations (where min_idx < max_idx) and, for
 		// each, calculate the probability of success given our payment amount, then total the
@@ -619,23 +634,22 @@ impl HistoricalMinMaxBuckets<'_> {
 		// less than 1/16th of a channel's capacity, or 1/8th if we used the top of the bucket.
 		let mut total_valid_points_tracked = 0;
 
-		// Rather than actually decaying the individual buckets, which would lose precision, we
-		// simply track whether all buckets would be decayed to zero, in which case we treat it as
-		// if we had no data.
-		let mut is_fully_decayed = true;
-		let mut check_track_bucket_contains_undecayed_points =
-			|bucket_val: u16| if bucket_val.checked_shr(required_decays).unwrap_or(0) > 0 { is_fully_decayed = false; };
+		// Check if all our buckets are zero, once decayed and treat it as if we had no data. We
+		// don't actually use the decayed buckets, though, as that would lose precision.
+		let (decayed_min_buckets, decayed_max_buckets, required_decays) =
+			self.get_decayed_buckets(now, last_updated, half_life);
+		if decayed_min_buckets.iter().all(|v| *v == 0) || decayed_max_buckets.iter().all(|v| *v == 0) {
+			return None;
+		}
 
 		for (min_idx, min_bucket) in self.min_liquidity_offset_history.buckets.iter().enumerate() {
-			check_track_bucket_contains_undecayed_points(*min_bucket);
 			for max_bucket in self.max_liquidity_offset_history.buckets.iter().take(8 - min_idx) {
 				total_valid_points_tracked += (*min_bucket as u64) * (*max_bucket as u64);
-				check_track_bucket_contains_undecayed_points(*max_bucket);
 			}
 		}
 		// If the total valid points is smaller than 1.0 (i.e. 32 in our fixed-point scheme), treat
 		// it as if we were fully decayed.
-		if total_valid_points_tracked.checked_shr(required_decays).unwrap_or(0) < 32*32 || is_fully_decayed {
+		if total_valid_points_tracked.checked_shr(required_decays).unwrap_or(0) < 32*32 {
 			return None;
 		}
 
@@ -717,15 +731,34 @@ impl<G: Deref<Target = NetworkGraph<L>>, L: Deref, T: Time> ProbabilisticScorerU
 	/// Note that this writes roughly one line per channel for which we have a liquidity estimate,
 	/// which may be a substantial amount of log output.
 	pub fn debug_log_liquidity_stats(&self) {
+		let now = T::now();
+
 		let graph = self.network_graph.read_only();
 		for (scid, liq) in self.channel_liquidities.iter() {
 			if let Some(chan_debug) = graph.channels().get(scid) {
 				let log_direction = |source, target| {
 					if let Some((directed_info, _)) = chan_debug.as_directed_to(target) {
 						let amt = directed_info.effective_capacity().as_msat();
 						let dir_liq = liq.as_directed(source, target, amt, &self.params);
-						log_debug!(self.logger, "Liquidity from {:?} to {:?} via {} is in the range ({}, {})",
-							source, target, scid, dir_liq.min_liquidity_msat(), dir_liq.max_liquidity_msat());
+
+						let buckets = HistoricalMinMaxBuckets {
+							min_liquidity_offset_history: &dir_liq.min_liquidity_offset_history,
+							max_liquidity_offset_history: &dir_liq.max_liquidity_offset_history,
+						};
+						let (min_buckets, max_buckets, _) = buckets.get_decayed_buckets(now,
+							*dir_liq.last_updated, self.params.historical_no_updates_half_life);
+
+						log_debug!(self.logger, core::concat!(
+							"Liquidity from {} to {} via {} is in the range ({}, {}).\n",
+							"\tHistorical min liquidity octile relative probabilities: {} {} {} {} {} {} {} {}\n",
+							"\tHistorical max liquidity octile relative probabilities: {} {} {} {} {} {} {} {}"),
+							source, target, scid, dir_liq.min_liquidity_msat(), dir_liq.max_liquidity_msat(),
+							min_buckets[0], min_buckets[1], min_buckets[2], min_buckets[3],
+							min_buckets[4], min_buckets[5], min_buckets[6], min_buckets[7],
+							// Note that the liquidity buckets are an offset from the edge, so we
+							// inverse the max order to get the probabilities from zero.
+							max_buckets[7], max_buckets[6], max_buckets[5], max_buckets[4],
+							max_buckets[3], max_buckets[2], max_buckets[1], max_buckets[0]);
 					} else {
 						log_debug!(self.logger, "No amount known for SCID {} from {:?} to {:?}", scid, source, target);
 					}
@@ -756,6 +789,53 @@ impl<G: Deref<Target = NetworkGraph<L>>, L: Deref, T: Time> ProbabilisticScorerU
 		None
 	}
 
+	/// Query the historical estimated minimum and maximum liquidity available for sending a
+	/// payment over the channel with `scid` towards the given `target` node.
+	///
+	/// Returns two sets of 8 buckets. The first set describes the octiles for lower-bound
+	/// liquidity estimates, the second set describes the octiles for upper-bound liquidity
+	/// estimates. Each bucket describes the relative frequency at which we've seen a liquidity
+	/// bound in the octile relative to the channel's total capacity, on an arbitrary scale.
+	/// Because the values are slowly decayed, more recent data points are weighted more heavily
+	/// than older datapoints.
+	///
+	/// When scoring, the estimated probability that an upper-/lower-bound lies in a given octile
+	/// relative to the channel's total capacity is calculated by dividing that bucket's value with
+	/// the total of all buckets for the given bound.
+	///
+	/// For example, a value of `[0, 0, 0, 0, 0, 0, 32]` indicates that we believe the probability
+	/// of a bound being in the top octile to be 100%, and have never (recently) seen it in any
+	/// other octiles. A value of `[31, 0, 0, 0, 0, 0, 0, 32]` indicates we've seen the bound being
+	/// both in the top and bottom octile, and roughly with similar (recent) frequency.
+	///
+	/// Because the datapoints are decayed slowly over time, values will eventually return to
+	/// `Some(([0; 8], [0; 8]))`.
+	pub fn historical_estimated_channel_liquidity_probabilities(&self, scid: u64, target: &NodeId)
+	-> Option<([u16; 8], [u16; 8])> {
+		let graph = self.network_graph.read_only();
+
+		if let Some(chan) = graph.channels().get(&scid) {
+			if let Some(liq) = self.channel_liquidities.get(&scid) {
+				if let Some((directed_info, source)) = chan.as_directed_to(target) {
+					let amt = directed_info.effective_capacity().as_msat();
+					let dir_liq = liq.as_directed(source, target, amt, &self.params);
+
+					let buckets = HistoricalMinMaxBuckets {
+						min_liquidity_offset_history: &dir_liq.min_liquidity_offset_history,
+						max_liquidity_offset_history: &dir_liq.max_liquidity_offset_history,
+					};
+					let (min_buckets, mut max_buckets, _) = buckets.get_decayed_buckets(T::now(),
+						*dir_liq.last_updated, self.params.historical_no_updates_half_life);
+					// Note that the liquidity buckets are an offset from the edge, so we inverse
+					// the max order to get the probabilities from zero.
+					max_buckets.reverse();
+					return Some((min_buckets, max_buckets));
+				}
+			}
+		}
+		None
+	}
+
 	/// Marks the node with the given `node_id` as banned, i.e.,
 	/// it will be avoided during path finding.
 	pub fn add_banned(&mut self, node_id: &NodeId) {
@@ -942,9 +1022,6 @@ impl<L: Deref<Target = u64>, BRT: Deref<Target = HistoricalBucketRangeTracker>,
 
 		if params.historical_liquidity_penalty_multiplier_msat != 0 ||
 		   params.historical_liquidity_penalty_amount_multiplier_msat != 0 {
-			let required_decays = self.now.duration_since(*self.last_updated).as_secs()
-				.checked_div(params.historical_no_updates_half_life.as_secs())
-				.map_or(u32::max_value(), |decays| cmp::min(decays, u32::max_value() as u64) as u32);
 			let payment_amt_64th_bucket = amount_msat * 64 / self.capacity_msat;
 			debug_assert!(payment_amt_64th_bucket <= 64);
 			if payment_amt_64th_bucket > 64 { return res; }
@@ -954,7 +1031,9 @@ impl<L: Deref<Target = u64>, BRT: Deref<Target = HistoricalBucketRangeTracker>,
 				max_liquidity_offset_history: &self.max_liquidity_offset_history,
 			};
 			if let Some(cumulative_success_prob_times_billion) = buckets
-					.calculate_success_probability_times_billion(required_decays, payment_amt_64th_bucket as u8) {
+				.calculate_success_probability_times_billion(self.now, *self.last_updated,
+					params.historical_no_updates_half_life, payment_amt_64th_bucket as u8)
+			{
 				let historical_negative_log10_times_2048 = approx::negative_log10_times_2048(cumulative_success_prob_times_billion + 1, 1024 * 1024 * 1024);
 				res = res.saturating_add(Self::combined_penalty_msat(amount_msat,
 					historical_negative_log10_times_2048, params.historical_liquidity_penalty_multiplier_msat,
@@ -2671,19 +2750,32 @@ mod tests {
 		};
 		// With no historical data the normal liquidity penalty calculation is used.
 		assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 47);
+		assert_eq!(scorer.historical_estimated_channel_liquidity_probabilities(42, &target),
+			None);
 
 		scorer.payment_path_failed(&payment_path_for_amount(1).iter().collect::<Vec<_>>(), 42);
 		assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 2048);
+		// The "it failed" increment is 32, where the probability should lie fully in the first
+		// octile.
+		assert_eq!(scorer.historical_estimated_channel_liquidity_probabilities(42, &target),
+			Some(([32, 0, 0, 0, 0, 0, 0, 0], [32, 0, 0, 0, 0, 0, 0, 0])));
 
 		// Even after we tell the scorer we definitely have enough available liquidity, it will
 		// still remember that there was some failure in the past, and assign a non-0 penalty.
 		scorer.payment_path_failed(&payment_path_for_amount(1000).iter().collect::<Vec<_>>(), 43);
 		assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 198);
+		// The first octile should be decayed just slightly and the last octile has a new point.
+		assert_eq!(scorer.historical_estimated_channel_liquidity_probabilities(42, &target),
+			Some(([31, 0, 0, 0, 0, 0, 0, 32], [31, 0, 0, 0, 0, 0, 0, 32])));
 
 		// Advance the time forward 16 half-lives (which the docs claim will ensure all data is
 		// gone), and check that we're back to where we started.
 		SinceEpoch::advance(Duration::from_secs(10 * 16));
 		assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 47);
+		// Once fully decayed we still have data, but its all-0s. In the future we may remove the
+		// data entirely instead.
+		assert_eq!(scorer.historical_estimated_channel_liquidity_probabilities(42, &target),
+			Some(([0; 8], [0; 8])));
 	}
 
 	#[test]