Merge pull request #581 from GeorgeTsagk/fee-percentage-miner

liquidity: differentiate autoloop expected vs max miner fees

Author: GeorgeTsagk

liquidity/fees.go

@@ -38,10 +38,14 @@ const (
 	// sweep fees, (750 * 4 /1000 = 3 sat/vByte).
 	defaultSweepFeeRateLimit = chainfee.SatPerKWeight(750)
 
-	// minerMultiplier is a multiplier we use to scale our miner fee to
-	// ensure that we will still be able to complete our swap in the case
-	// of a severe fee spike.
-	minerMultiplier = 100
+	// minerMultiplier is a multiplier we use to predict the average chain
+	// costs towards miner fees.
+	minerMultiplier = 2
+
+	// maxMinerMultiplier is the maximum multiplier we use to scale our
+	// miner fee to ensure that we will still be able to complete our swap
+	// in the case of a severe fee spike.
+	maxMinerMultiplier = 50
 
 	// defaultFeePPM is the default percentage of swap amount that we
 	// allocate to fees, 2%.
@@ -341,6 +345,12 @@ func (f *FeePortion) loopOutLimits(swapAmt btcutil.Amount,
 
 	prepay, route, miner := f.loopOutFees(swapAmt, quote)
 
+	// Before checking our fees against our budget we remove the large
+	// multiplier from the miner fees. We do this because we want to
+	// consider the average case for our budget calculations and not the
+	// severe edge-case miner fees.
+	miner = miner / maxMinerMultiplier
+
 	// Calculate the worst case fees that we could pay for this swap,
 	// ensuring that we are within our fee limit even if the swap fails.
 	fees := worstCaseOutFees(
@@ -370,6 +380,8 @@ func (f *FeePortion) loopOutFees(amount btcutil.Amount,
 	// amounts provided by the quote to get the total available for
 	// off-chain fees.
 	feeLimit := ppmToSat(amount, f.PartsPerMillion)
+
+	// Apply the small miner multiplier for the fee budget calculations.
 	minerFee := scaleMinerFee(quote.MinerFee)
 
 	available := feeLimit - minerFee - quote.SwapFee
@@ -378,6 +390,9 @@ func (f *FeePortion) loopOutFees(amount btcutil.Amount,
 		available, quote.PrepayAmount, amount,
 	)
 
+	// Apply the big miner multiplier to get the worst case miner fees.
+	minerFee = scaleMaxMinerFee(minerFee)
+
 	return prepayMaxFee, routeMaxFee, minerFee
 }
 
@@ -394,11 +409,20 @@ func splitOffChain(available, prepayAmt,
 	return prepayMaxFee, routeMaxFee
 }
 
-// scaleMinerFee scales our miner fee by our constant multiplier.
+// scaleMinerFee scales our miner fee by a smaller multiplier. This scale does
+// not represent the worst-case maximum miner fees, but the average expected
+// fees.
 func scaleMinerFee(estimate btcutil.Amount) btcutil.Amount {
 	return estimate * btcutil.Amount(minerMultiplier)
 }
 
+// scaleMaxMinerFee scales our miner fee by a big multiplier. The returned value
+// represents the maximum amount that we consider spending for miner fees in
+// worst-case scenarios (fee-spikes).
+func scaleMaxMinerFee(estimate btcutil.Amount) btcutil.Amount {
+	return estimate * btcutil.Amount(maxMinerMultiplier)
+}
+
 func (f *FeePortion) loopInLimits(amount btcutil.Amount,
 	quote *loop.LoopInQuote) error {
 

liquidity/liquidity_test.go

@@ -73,11 +73,13 @@ var (
 		OutgoingChanSet:     loopdb.ChannelSet{chanID1.ToUint64()},
 		MaxPrepayRoutingFee: prepayFee,
 		MaxSwapRoutingFee:   routingFee,
-		MaxMinerFee:         scaleMinerFee(testQuote.MinerFee),
-		MaxSwapFee:          testQuote.SwapFee,
-		MaxPrepayAmount:     testQuote.PrepayAmount,
-		SweepConfTarget:     defaultConfTarget,
-		Initiator:           autoloopSwapInitiator,
+		MaxMinerFee: scaleMaxMinerFee(
+			scaleMinerFee(testQuote.MinerFee),
+		),
+		MaxSwapFee:      testQuote.SwapFee,
+		MaxPrepayAmount: testQuote.PrepayAmount,
+		SweepConfTarget: defaultConfTarget,
+		Initiator:       autoloopSwapInitiator,
 	}
 
 	// chan2Rec is the suggested swap for channel 2 when we use chanRule.
@@ -86,11 +88,13 @@ var (
 		OutgoingChanSet:     loopdb.ChannelSet{chanID2.ToUint64()},
 		MaxPrepayRoutingFee: prepayFee,
 		MaxSwapRoutingFee:   routingFee,
-		MaxMinerFee:         scaleMinerFee(testQuote.MinerFee),
-		MaxPrepayAmount:     testQuote.PrepayAmount,
-		MaxSwapFee:          testQuote.SwapFee,
-		SweepConfTarget:     defaultConfTarget,
-		Initiator:           autoloopSwapInitiator,
+		MaxMinerFee: scaleMaxMinerFee(
+			scaleMinerFee(testQuote.MinerFee),
+		),
+		MaxPrepayAmount: testQuote.PrepayAmount,
+		MaxSwapFee:      testQuote.SwapFee,
+		SweepConfTarget: defaultConfTarget,
+		Initiator:       autoloopSwapInitiator,
 	}
 
 	// chan1Out is a contract that uses channel 1, used to represent on
@@ -771,11 +775,13 @@ func TestSuggestSwaps(t *testing.T) {
 						},
 						MaxPrepayRoutingFee: prepay,
 						MaxSwapRoutingFee:   routing,
-						MaxMinerFee:         scaleMinerFee(testQuote.MinerFee),
-						MaxSwapFee:          testQuote.SwapFee,
-						MaxPrepayAmount:     testQuote.PrepayAmount,
-						SweepConfTarget:     defaultConfTarget,
-						Initiator:           autoloopSwapInitiator,
+						MaxMinerFee: scaleMaxMinerFee(
+							scaleMinerFee(testQuote.MinerFee),
+						),
+						MaxSwapFee:      testQuote.SwapFee,
+						MaxPrepayAmount: testQuote.PrepayAmount,
+						SweepConfTarget: defaultConfTarget,
+						Initiator:       autoloopSwapInitiator,
 					},
 				},
 				DisqualifiedChans: noneDisqualified,
@@ -1330,11 +1336,13 @@ func TestSizeRestrictions(t *testing.T) {
 			OutgoingChanSet:     loopdb.ChannelSet{chanID1.ToUint64()},
 			MaxPrepayRoutingFee: prepay,
 			MaxSwapRoutingFee:   routing,
-			MaxMinerFee:         scaleMinerFee(testQuote.MinerFee),
-			MaxSwapFee:          testQuote.SwapFee,
-			MaxPrepayAmount:     testQuote.PrepayAmount,
-			SweepConfTarget:     defaultConfTarget,
-			Initiator:           autoloopSwapInitiator,
+			MaxMinerFee: scaleMaxMinerFee(
+				scaleMinerFee(testQuote.MinerFee),
+			),
+			MaxSwapFee:      testQuote.SwapFee,
+			MaxPrepayAmount: testQuote.PrepayAmount,
+			SweepConfTarget: defaultConfTarget,
+			Initiator:       autoloopSwapInitiator,
 		}
 	)
 
@@ -1487,7 +1495,9 @@ func TestFeePercentage(t *testing.T) {
 		rec = loop.OutRequest{
 			Amount:          7500,
 			OutgoingChanSet: loopdb.ChannelSet{chanID1.ToUint64()},
-			MaxMinerFee:     scaleMinerFee(okQuote.MinerFee),
+			MaxMinerFee: scaleMaxMinerFee(
+				scaleMinerFee(testQuote.MinerFee),
+			),
 			MaxSwapFee:      okQuote.SwapFee,
 			MaxPrepayAmount: okQuote.PrepayAmount,
 			SweepConfTarget: defaultConfTarget,
@@ -1555,7 +1565,7 @@ func TestFeePercentage(t *testing.T) {
 			quote: &loop.LoopOutQuote{
 				SwapFee:      60,
 				PrepayAmount: 30,
-				MinerFee:     1,
+				MinerFee:     50,
 			},
 			suggestions: &Suggestions{
 				DisqualifiedChans: map[lnwire.ShortChannelID]Reason{
@@ -1650,7 +1660,9 @@ func TestBudgetWithLoopin(t *testing.T) {
 		rec = loop.OutRequest{
 			Amount:          7500,
 			OutgoingChanSet: loopdb.ChannelSet{chanID1.ToUint64()},
-			MaxMinerFee:     scaleMinerFee(okQuote.MinerFee),
+			MaxMinerFee: scaleMaxMinerFee(
+				scaleMinerFee(testQuote.MinerFee),
+			),
 			MaxSwapFee:      okQuote.SwapFee,
 			MaxPrepayAmount: okQuote.PrepayAmount,
 			SweepConfTarget: defaultConfTarget,