sweepbatcher: add greedy batch selection algorithm

If custom fee rates are used, the algorithm is tried. It selects a batch for the
sweep using the greedy algorithm, which minimizes costs, and adds the sweep to
the batch. If it fails, old algorithm is used, trying to add to any batch, or
starting a new batch.

Author: starius

sweepbatcher/greedy_batch_selection.go

@@ -0,0 +1,347 @@
+package sweepbatcher
+
+import (
+	"context"
+	"errors"
+	"fmt"
+	"sort"
+
+	"github.com/btcsuite/btcd/btcutil"
+	"github.com/btcsuite/btcd/txscript"
+	sweeppkg "github.com/lightninglabs/loop/sweep"
+	"github.com/lightningnetwork/lnd/input"
+	"github.com/lightningnetwork/lnd/lntypes"
+	"github.com/lightningnetwork/lnd/lnwallet/chainfee"
+)
+
+// greedyAddSweep selects a batch for the sweep using the greedy algorithm,
+// which minimizes costs, and adds the sweep to the batch. To accomplish this,
+// it first collects fee details about the sweep being added, about a potential
+// new batch composed of this sweep only, and about all existing batches. Then
+// it passes the data to selectBatches() function, which emulates adding the
+// sweep to each batch and creating new batch for the sweep, and calculates the
+// costs of each alternative. Based on the estimates of selectBatches(), this
+// method adds the sweep to the batch that results in the least overall fee
+// increase, or creates new batch for it. If the sweep is not accepted by an
+// existing batch (may happen because of too distant timeouts), next batch is
+// tried in the list returned by selectBatches(). If adding fails or new batch
+// creation fails, this method returns an error. If this method fails for any
+// reason, the caller falls back to the simple algorithm (method handleSweep).
+func (b *Batcher) greedyAddSweep(ctx context.Context, sweep *sweep) error {
+	if b.customFeeRate == nil {
+		return errors.New("greedy batch selection algorithm requires " +
+			"setting custom fee rate provider")
+	}
+
+	// Collect weight and fee rate info about the sweep and new batch.
+	sweepFeeDetails, newBatchFeeDetails, err := estimateSweepFeeIncrement(
+		sweep,
+	)
+	if err != nil {
+		return fmt.Errorf("failed to estimate tx weight for "+
+			"sweep %x: %w", sweep.swapHash[:6], err)
+	}
+
+	// Collect weight and fee rate info about existing batches.
+	batches := make([]feeDetails, 0, len(b.batches))
+	for _, existingBatch := range b.batches {
+		batchFeeDetails, err := estimateBatchWeight(existingBatch)
+		if err != nil {
+			return fmt.Errorf("failed to estimate tx weight for "+
+				"batch %d: %w", existingBatch.id, err)
+		}
+		batches = append(batches, batchFeeDetails)
+	}
+
+	// Run the algorithm. Get batchId of possible batches, sorted from best
+	// to worst.
+	batchesIds, err := selectBatches(
+		batches, sweepFeeDetails, newBatchFeeDetails,
+	)
+	if err != nil {
+		return fmt.Errorf("batch selection algorithm failed for sweep "+
+			"%x: %w", sweep.swapHash[:6], err)
+	}
+
+	// Try batches, starting with the best.
+	for _, batchId := range batchesIds {
+		// If the best option is to start new batch, do it.
+		if batchId == newBatchSignal {
+			return b.spinUpNewBatch(ctx, sweep)
+		}
+
+		// Locate the batch to add the sweep to.
+		bestBatch, has := b.batches[batchId]
+		if !has {
+			return fmt.Errorf("batch selection algorithm returned "+
+				"batch id %d which doesn't exist, for sweep %x",
+				batchId, sweep.swapHash[:6])
+		}
+
+		// Add the sweep to the batch.
+		accepted, err := bestBatch.addSweep(ctx, sweep)
+		if err != nil {
+			return fmt.Errorf("batch selection algorithm returned "+
+				"batch id %d for sweep %x, but adding failed: "+
+				"%w", batchId, sweep.swapHash[:6], err)
+		}
+		if accepted {
+			return nil
+		}
+
+		log.Debugf("Batch selection algorithm returned batch id %d for"+
+			" sweep %x, but acceptance failed.", batchId,
+			sweep.swapHash[:6])
+	}
+
+	return fmt.Errorf("no batch accepted sweep %x", sweep.swapHash[:6])
+}
+
+// estimateSweepFeeIncrement returns fee details for adding the sweep to a batch
+// and for creating new batch with this sweep only.
+func estimateSweepFeeIncrement(s *sweep) (feeDetails, feeDetails, error) {
+	// Create a fake batch with this sweep.
+	batch := &batch{
+		rbfCache: rbfCache{
+			FeeRate: s.minFeeRate,
+		},
+		sweeps: map[lntypes.Hash]sweep{
+			s.swapHash: *s,
+		},
+	}
+
+	// Estimate new batch.
+	fd1, err := estimateBatchWeight(batch)
+	if err != nil {
+		return feeDetails{}, feeDetails{}, err
+	}
+
+	// Add the same sweep again to measure weight increments.
+	swapHash2 := s.swapHash
+	swapHash2[0]++
+	batch.sweeps[swapHash2] = *s
+
+	// Estimate weight of a batch with two sweeps.
+	fd2, err := estimateBatchWeight(batch)
+	if err != nil {
+		return feeDetails{}, feeDetails{}, err
+	}
+
+	// Create feeDetails for sweep.
+	sweepFeeDetails := feeDetails{
+		FeeRate:        s.minFeeRate,
+		NonCoopHint:    s.nonCoopHint,
+		IsExternalAddr: s.isExternalAddr,
+
+		// Calculate sweep weight as a difference.
+		CoopWeight:    fd2.CoopWeight - fd1.CoopWeight,
+		NonCoopWeight: fd2.NonCoopWeight - fd1.NonCoopWeight,
+	}
+
+	return sweepFeeDetails, fd1, nil
+}
+
+// estimateBatchWeight estimates batch weight and returns its fee details.
+func estimateBatchWeight(batch *batch) (feeDetails, error) {
+	// Make sure the batch is not empty.
+	if len(batch.sweeps) == 0 {
+		return feeDetails{}, errors.New("empty batch")
+	}
+
+	// Make sure fee rate is valid.
+	if batch.rbfCache.FeeRate < chainfee.AbsoluteFeePerKwFloor {
+		return feeDetails{}, fmt.Errorf("feeRate is too low: %v",
+			batch.rbfCache.FeeRate)
+	}
+
+	// Find if the batch has at least one non-cooperative sweep.
+	hasNonCoop := false
+	for _, sweep := range batch.sweeps {
+		if sweep.nonCoopHint {
+			hasNonCoop = true
+		}
+	}
+
+	// Find some sweep of the batch. It is used if there is just one sweep.
+	var theSweep sweep
+	for _, sweep := range batch.sweeps {
+		theSweep = sweep
+		break
+	}
+
+	// Find sweep destination address (type) for weight estimations.
+	var destAddr btcutil.Address
+	if theSweep.isExternalAddr {
+		if theSweep.destAddr == nil {
+			return feeDetails{}, errors.New("isExternalAddr=true," +
+				" but destAddr is nil")
+		}
+		destAddr = theSweep.destAddr
+	} else {
+		// Assume it is taproot by default.
+		destAddr = (*btcutil.AddressTaproot)(nil)
+	}
+
+	// Make two estimators: for coop and non-coop cases.
+	var coopWeight, nonCoopWeight input.TxWeightEstimator
+
+	// Add output weight to the estimator.
+	err := sweeppkg.AddOutputEstimate(&coopWeight, destAddr)
+	if err != nil {
+		return feeDetails{}, fmt.Errorf("sweep.AddOutputEstimate: %w",
+			err)
+	}
+	err = sweeppkg.AddOutputEstimate(&nonCoopWeight, destAddr)
+	if err != nil {
+		return feeDetails{}, fmt.Errorf("sweep.AddOutputEstimate: %w",
+			err)
+	}
+
+	// Add inputs.
+	for _, sweep := range batch.sweeps {
+		// TODO: it should be txscript.SigHashDefault.
+		coopWeight.AddTaprootKeySpendInput(txscript.SigHashAll)
+
+		err = sweep.htlcSuccessEstimator(&nonCoopWeight)
+		if err != nil {
+			return feeDetails{}, fmt.Errorf("htlcSuccessEstimator "+
+				"failed: %w", err)
+		}
+	}
+
+	return feeDetails{
+		BatchId:        batch.id,
+		FeeRate:        batch.rbfCache.FeeRate,
+		CoopWeight:     coopWeight.Weight(),
+		NonCoopWeight:  nonCoopWeight.Weight(),
+		NonCoopHint:    hasNonCoop,
+		IsExternalAddr: theSweep.isExternalAddr,
+	}, nil
+}
+
+// newBatchSignal is the value that indicates a new batch. It is returned by
+// selectBatches to encode new batch creation.
+const newBatchSignal = -1
+
+// feeDetails is either a batch or a sweep and it holds data important for
+// selection of a batch to add the sweep to (or new batch creation).
+type feeDetails struct {
+	BatchId        int32
+	FeeRate        chainfee.SatPerKWeight
+	CoopWeight     lntypes.WeightUnit
+	NonCoopWeight  lntypes.WeightUnit
+	NonCoopHint    bool
+	IsExternalAddr bool
+}
+
+// fee returns fee of onchain transaction representing this instance.
+func (e feeDetails) fee() btcutil.Amount {
+	var weight lntypes.WeightUnit
+	if e.NonCoopHint {
+		weight = e.NonCoopWeight
+	} else {
+		weight = e.CoopWeight
+	}
+
+	return e.FeeRate.FeeForWeight(weight)
+}
+
+// combine returns new feeDetails, combining properties.
+func (e1 feeDetails) combine(e2 feeDetails) feeDetails {
+	// The fee rate is max of two fee rates.
+	feeRate := e1.FeeRate
+	if feeRate < e2.FeeRate {
+		feeRate = e2.FeeRate
+	}
+
+	return feeDetails{
+		FeeRate:        feeRate,
+		CoopWeight:     e1.CoopWeight + e2.CoopWeight,
+		NonCoopWeight:  e1.NonCoopWeight + e2.NonCoopWeight,
+		NonCoopHint:    e1.NonCoopHint || e2.NonCoopHint,
+		IsExternalAddr: e1.IsExternalAddr || e2.IsExternalAddr,
+	}
+}
+
+// selectBatches returns the list of id of batches sorted from best to worst.
+// Creation a new batch is encoded as newBatchSignal. For each batch its fee
+// rate and two weights are provided: weight in case of cooperative spending and
+// weight in case non-cooperative spending (using preimages instead of taproot
+// key spend). Also, a hint is provided to signal if the batch has to use
+// non-cooperative spending path. The same data is also provided to the sweep
+// for which we are selecting a batch to add. In case of the sweep weights are
+// weight deltas resulted from adding the sweep. Finally, the same data is
+// provided for new batch having this sweep only. The algorithm compares costs
+// of adding the sweep to each existing batch, and costs of new batch creation
+// for this sweep and returns BatchId of the winning batch. If the best option
+// is to create a new batch, return newBatchSignal. Each fee details has also
+// IsExternalAddr flag. There is a rule that sweeps having flag IsExternalAddr
+// must go in individual batches. Cooperative spending is only available if all
+// the sweeps support cooperative spending path.
+func selectBatches(batches []feeDetails, sweep, oneSweepBatch feeDetails) (
+	[]int32, error) {
+
+	// If the sweep has IsExternalAddr flag, the sweep can't be added to
+	// a batch, so create new batch for it.
+	if sweep.IsExternalAddr {
+		return []int32{newBatchSignal}, nil
+	}
+
+	// alternative holds batch ID and its cost.
+	type alternative struct {
+		batchId int32
+		cost    btcutil.Amount
+	}
+
+	// Create the list of possible actions and their costs.
+	alternatives := make([]alternative, 0, len(batches)+1)
+
+	// Track the best batch to add a sweep to. The default case is new batch
+	// creation with this sweep only in it. The cost is its full fee.
+	alternatives = append(alternatives, alternative{
+		batchId: newBatchSignal,
+		cost:    oneSweepBatch.fee(),
+	})
+
+	// Try to add the sweep to every batch, calculate the costs and
+	// find the batch adding to which results in minimum costs.
+	for _, batch := range batches {
+		// If the batch has IsExternalAddr flag, the sweep can't be
+		// added to it, so skip the batch.
+		if batch.IsExternalAddr {
+			continue
+		}
+
+		// Add the sweep to the batch virtually.
+		combinedBatch := batch.combine(sweep)
+
+		// The cost is the fee increase.
+		cost := combinedBatch.fee() - batch.fee()
+
+		// The cost must be positive, because we added a sweep.
+		if cost <= 0 {
+			return nil, fmt.Errorf("got non-positive cost of "+
+				"adding sweep to batch %d: %d", batch.BatchId,
+				cost)
+		}
+
+		// Track the best batch, according to the costs.
+		alternatives = append(alternatives, alternative{
+			batchId: batch.BatchId,
+			cost:    cost,
+		})
+	}
+
+	// Sort the alternatives by cost. The lower the cost, the better.
+	sort.Slice(alternatives, func(i, j int) bool {
+		return alternatives[i].cost < alternatives[j].cost
+	})
+
+	// Collect batches IDs.
+	batchesIds := make([]int32, len(alternatives))
+	for i, alternative := range alternatives {
+		batchesIds[i] = alternative.batchId
+	}
+
+	return batchesIds, nil
+}