X-Git-Url: http://git.bitcoin.ninja/index.cgi?a=blobdiff_plain;f=lightning%2Fsrc%2Frouting%2Fscoring.rs;h=399126c6fd33bc5d4a0f799a1d0bd6145c619452;hb=5df414c25b1b710bea5e48e5183a28751b374659;hp=748edd31eaed679af2e6c5d767b9abd8139c25ec;hpb=a7e3575ccc7cba00f712df6cfe5dab6d9ca17cee;p=rust-lightning diff --git a/lightning/src/routing/scoring.rs b/lightning/src/routing/scoring.rs index 748edd31..399126c6 100644 --- a/lightning/src/routing/scoring.rs +++ b/lightning/src/routing/scoring.rs @@ -89,10 +89,14 @@ macro_rules! define_score { ($($supertrait: path)*) => { /// `ScoreLookUp` is used to determine the penalty for a given channel. /// /// Scoring is in terms of fees willing to be paid in order to avoid routing through a channel. -pub trait ScoreLookUp $(: $supertrait)* { +pub trait ScoreLookUp { + #[cfg(not(c_bindings))] /// A configurable type which should contain various passed-in parameters for configuring the scorer, /// on a per-routefinding-call basis through to the scorer methods, /// which are used to determine the parameters for the suitability of channels for use. + /// + /// Note that due to limitations in many other languages' generics features, language bindings + /// use [`ProbabilisticScoringFeeParameters`] for the parameters on all scorers. type ScoreParams; /// Returns the fee in msats willing to be paid to avoid routing `send_amt_msat` through the /// given channel in the direction from `source` to `target`. @@ -103,12 +107,12 @@ pub trait ScoreLookUp $(: $supertrait)* { /// [`u64::max_value`] is given to indicate sufficient capacity for the invoice's full amount. /// Thus, implementations should be overflow-safe. fn channel_penalty_msat( - &self, short_channel_id: u64, source: &NodeId, target: &NodeId, usage: ChannelUsage, score_params: &Self::ScoreParams + &self, short_channel_id: u64, source: &NodeId, target: &NodeId, usage: ChannelUsage, score_params: &ProbabilisticScoringFeeParameters ) -> u64; } /// `ScoreUpdate` is used to update the scorer's internal state after a payment attempt. -pub trait ScoreUpdate $(: $supertrait)* { +pub trait ScoreUpdate { /// Handles updating channel penalties after failing to route through a channel. fn payment_path_failed(&mut self, path: &Path, short_channel_id: u64); @@ -122,16 +126,30 @@ pub trait ScoreUpdate $(: $supertrait)* { fn probe_successful(&mut self, path: &Path); } -impl, T: Deref $(+ $supertrait)*> ScoreLookUp for T { - type ScoreParams = SP; +/// A trait which can both lookup and update routing channel penalty scores. +/// +/// This is used in places where both bounds are required and implemented for all types which +/// implement [`ScoreLookUp`] and [`ScoreUpdate`]. +/// +/// Bindings users may need to manually implement this for their custom scoring implementations. +pub trait Score : ScoreLookUp + ScoreUpdate $(+ $supertrait)* {} + +#[cfg(not(c_bindings))] +impl Score for T {} + +#[cfg(not(c_bindings))] +impl> ScoreLookUp for T { + #[cfg(not(c_bindings))] + type ScoreParams = S::ScoreParams; fn channel_penalty_msat( - &self, short_channel_id: u64, source: &NodeId, target: &NodeId, usage: ChannelUsage, score_params: &Self::ScoreParams + &self, short_channel_id: u64, source: &NodeId, target: &NodeId, usage: ChannelUsage, score_params: &ProbabilisticScoringFeeParameters ) -> u64 { self.deref().channel_penalty_msat(short_channel_id, source, target, usage, score_params) } } -impl $(+ $supertrait)*> ScoreUpdate for T { +#[cfg(not(c_bindings))] +impl> ScoreUpdate for T { fn payment_path_failed(&mut self, path: &Path, short_channel_id: u64) { self.deref_mut().payment_path_failed(path, short_channel_id) } @@ -192,7 +210,7 @@ pub trait WriteableScore<'a>: LockableScore<'a> + Writeable {} #[cfg(not(c_bindings))] impl<'a, T> WriteableScore<'a> for T where T: LockableScore<'a> + Writeable {} #[cfg(not(c_bindings))] -impl<'a, T: 'a + ScoreLookUp + ScoreUpdate> LockableScore<'a> for Mutex { +impl<'a, T: Score + 'a> LockableScore<'a> for Mutex { type ScoreUpdate = T; type ScoreLookUp = T; @@ -209,7 +227,7 @@ impl<'a, T: 'a + ScoreLookUp + ScoreUpdate> LockableScore<'a> for Mutex { } #[cfg(not(c_bindings))] -impl<'a, T: 'a + ScoreUpdate + ScoreLookUp> LockableScore<'a> for RefCell { +impl<'a, T: Score + 'a> LockableScore<'a> for RefCell { type ScoreUpdate = T; type ScoreLookUp = T; @@ -226,7 +244,7 @@ impl<'a, T: 'a + ScoreUpdate + ScoreLookUp> LockableScore<'a> for RefCell { } #[cfg(not(c_bindings))] -impl<'a, SP:Sized, T: 'a + ScoreUpdate + ScoreLookUp> LockableScore<'a> for RwLock { +impl<'a, T: Score + 'a> LockableScore<'a> for RwLock { type ScoreUpdate = T; type ScoreLookUp = T; @@ -244,12 +262,12 @@ impl<'a, SP:Sized, T: 'a + ScoreUpdate + ScoreLookUp> Lockabl #[cfg(c_bindings)] /// A concrete implementation of [`LockableScore`] which supports multi-threading. -pub struct MultiThreadedLockableScore { +pub struct MultiThreadedLockableScore { score: RwLock, } #[cfg(c_bindings)] -impl<'a, SP:Sized, T: 'a + ScoreLookUp + ScoreUpdate> LockableScore<'a> for MultiThreadedLockableScore { +impl<'a, T: Score + 'a> LockableScore<'a> for MultiThreadedLockableScore { type ScoreUpdate = T; type ScoreLookUp = T; type WriteLocked = MultiThreadedScoreLockWrite<'a, Self::ScoreUpdate>; @@ -265,17 +283,17 @@ impl<'a, SP:Sized, T: 'a + ScoreLookUp + ScoreUpdate> Lockable } #[cfg(c_bindings)] -impl Writeable for MultiThreadedLockableScore { +impl Writeable for MultiThreadedLockableScore { fn write(&self, writer: &mut W) -> Result<(), io::Error> { self.score.read().unwrap().write(writer) } } #[cfg(c_bindings)] -impl<'a, T: 'a + ScoreUpdate + ScoreLookUp> WriteableScore<'a> for MultiThreadedLockableScore {} +impl<'a, T: Score + 'a> WriteableScore<'a> for MultiThreadedLockableScore {} #[cfg(c_bindings)] -impl MultiThreadedLockableScore { +impl MultiThreadedLockableScore { /// Creates a new [`MultiThreadedLockableScore`] given an underlying [`Score`]. pub fn new(score: T) -> Self { MultiThreadedLockableScore { score: RwLock::new(score) } @@ -284,14 +302,14 @@ impl MultiThreadedLockableScore { #[cfg(c_bindings)] /// A locked `MultiThreadedLockableScore`. -pub struct MultiThreadedScoreLockRead<'a, T: ScoreLookUp>(RwLockReadGuard<'a, T>); +pub struct MultiThreadedScoreLockRead<'a, T: Score>(RwLockReadGuard<'a, T>); #[cfg(c_bindings)] /// A locked `MultiThreadedLockableScore`. -pub struct MultiThreadedScoreLockWrite<'a, T: ScoreUpdate>(RwLockWriteGuard<'a, T>); +pub struct MultiThreadedScoreLockWrite<'a, T: Score>(RwLockWriteGuard<'a, T>); #[cfg(c_bindings)] -impl<'a, T: 'a + ScoreLookUp> Deref for MultiThreadedScoreLockRead<'a, T> { +impl<'a, T: 'a + Score> Deref for MultiThreadedScoreLockRead<'a, T> { type Target = T; fn deref(&self) -> &Self::Target { @@ -300,14 +318,25 @@ impl<'a, T: 'a + ScoreLookUp> Deref for MultiThreadedScoreLockRead<'a, T> { } #[cfg(c_bindings)] -impl<'a, T: 'a + ScoreUpdate> Writeable for MultiThreadedScoreLockWrite<'a, T> { +impl<'a, T: Score> ScoreLookUp for MultiThreadedScoreLockRead<'a, T> { + #[cfg(not(c_bindings))] + type ScoreParams = T::ScoreParams; + fn channel_penalty_msat(&self, short_channel_id: u64, source: &NodeId, + target: &NodeId, usage: ChannelUsage, score_params: &ProbabilisticScoringFeeParameters + ) -> u64 { + self.0.channel_penalty_msat(short_channel_id, source, target, usage, score_params) + } +} + +#[cfg(c_bindings)] +impl<'a, T: Score> Writeable for MultiThreadedScoreLockWrite<'a, T> { fn write(&self, writer: &mut W) -> Result<(), io::Error> { self.0.write(writer) } } #[cfg(c_bindings)] -impl<'a, T: 'a + ScoreUpdate> Deref for MultiThreadedScoreLockWrite<'a, T> { +impl<'a, T: 'a + Score> Deref for MultiThreadedScoreLockWrite<'a, T> { type Target = T; fn deref(&self) -> &Self::Target { @@ -316,12 +345,31 @@ impl<'a, T: 'a + ScoreUpdate> Deref for MultiThreadedScoreLockWrite<'a, T> { } #[cfg(c_bindings)] -impl<'a, T: 'a + ScoreUpdate> DerefMut for MultiThreadedScoreLockWrite<'a, T> { +impl<'a, T: 'a + Score> DerefMut for MultiThreadedScoreLockWrite<'a, T> { fn deref_mut(&mut self) -> &mut Self::Target { self.0.deref_mut() } } +#[cfg(c_bindings)] +impl<'a, T: Score> ScoreUpdate for MultiThreadedScoreLockWrite<'a, T> { + fn payment_path_failed(&mut self, path: &Path, short_channel_id: u64) { + self.0.payment_path_failed(path, short_channel_id) + } + + fn payment_path_successful(&mut self, path: &Path) { + self.0.payment_path_successful(path) + } + + fn probe_failed(&mut self, path: &Path, short_channel_id: u64) { + self.0.probe_failed(path, short_channel_id) + } + + fn probe_successful(&mut self, path: &Path) { + self.0.probe_successful(path) + } +} + /// Proposed use of a channel passed as a parameter to [`ScoreLookUp::channel_penalty_msat`]. #[derive(Clone, Copy, Debug, PartialEq)] @@ -351,8 +399,9 @@ impl FixedPenaltyScorer { } impl ScoreLookUp for FixedPenaltyScorer { + #[cfg(not(c_bindings))] type ScoreParams = (); - fn channel_penalty_msat(&self, _: u64, _: &NodeId, _: &NodeId, _: ChannelUsage, _score_params: &Self::ScoreParams) -> u64 { + fn channel_penalty_msat(&self, _: u64, _: &NodeId, _: &NodeId, _: ChannelUsage, _score_params: &ProbabilisticScoringFeeParameters) -> u64 { self.penalty_msat } } @@ -384,12 +433,45 @@ impl ReadableArgs for FixedPenaltyScorer { } #[cfg(not(feature = "no-std"))] -type ConfiguredTime = crate::util::time::MonotonicTime; -#[cfg(feature = "no-std")] -use crate::util::time::Eternity; -#[cfg(feature = "no-std")] -type ConfiguredTime = Eternity; +/// [`ScoreLookUp`] implementation using channel success probability distributions. +/// +/// Channels are tracked with upper and lower liquidity bounds - when an HTLC fails at a channel, +/// we learn that the upper-bound on the available liquidity is lower than the amount of the HTLC. +/// When a payment is forwarded through a channel (but fails later in the route), we learn the +/// lower-bound on the channel's available liquidity must be at least the value of the HTLC. +/// +/// These bounds are then used to determine a success probability using the formula from +/// *Optimally Reliable & Cheap Payment Flows on the Lightning Network* by Rene Pickhardt +/// and Stefan Richter [[1]] (i.e. `(upper_bound - payment_amount) / (upper_bound - lower_bound)`). +///6762, 1070 +/// This probability is combined with the [`liquidity_penalty_multiplier_msat`] and +/// [`liquidity_penalty_amount_multiplier_msat`] parameters to calculate a concrete penalty in +/// milli-satoshis. The penalties, when added across all hops, have the property of being linear in +/// terms of the entire path's success probability. This allows the router to directly compare +/// penalties for different paths. See the documentation of those parameters for the exact formulas. +/// +/// The liquidity bounds are decayed by halving them every [`liquidity_offset_half_life`]. +/// +/// Further, we track the history of our upper and lower liquidity bounds for each channel, +/// allowing us to assign a second penalty (using [`historical_liquidity_penalty_multiplier_msat`] +/// and [`historical_liquidity_penalty_amount_multiplier_msat`]) based on the same probability +/// formula, but using the history of a channel rather than our latest estimates for the liquidity +/// bounds. +/// +/// # Note +/// +/// Mixing the `no-std` feature between serialization and deserialization results in undefined +/// behavior. +/// +/// [1]: https://arxiv.org/abs/2107.05322 +/// [`liquidity_penalty_multiplier_msat`]: ProbabilisticScoringFeeParameters::liquidity_penalty_multiplier_msat +/// [`liquidity_penalty_amount_multiplier_msat`]: ProbabilisticScoringFeeParameters::liquidity_penalty_amount_multiplier_msat +/// [`liquidity_offset_half_life`]: ProbabilisticScoringDecayParameters::liquidity_offset_half_life +/// [`historical_liquidity_penalty_multiplier_msat`]: ProbabilisticScoringFeeParameters::historical_liquidity_penalty_multiplier_msat +/// [`historical_liquidity_penalty_amount_multiplier_msat`]: ProbabilisticScoringFeeParameters::historical_liquidity_penalty_amount_multiplier_msat +pub type ProbabilisticScorer = ProbabilisticScorerUsingTime::; +#[cfg(feature = "no-std")] /// [`ScoreLookUp`] implementation using channel success probability distributions. /// /// Channels are tracked with upper and lower liquidity bounds - when an HTLC fails at a channel, @@ -426,7 +508,7 @@ type ConfiguredTime = Eternity; /// [`liquidity_offset_half_life`]: ProbabilisticScoringDecayParameters::liquidity_offset_half_life /// [`historical_liquidity_penalty_multiplier_msat`]: ProbabilisticScoringFeeParameters::historical_liquidity_penalty_multiplier_msat /// [`historical_liquidity_penalty_amount_multiplier_msat`]: ProbabilisticScoringFeeParameters::historical_liquidity_penalty_amount_multiplier_msat -pub type ProbabilisticScorer = ProbabilisticScorerUsingTime::; +pub type ProbabilisticScorer = ProbabilisticScorerUsingTime::; /// Probabilistic [`ScoreLookUp`] implementation. /// @@ -454,12 +536,13 @@ pub struct ProbabilisticScoringFeeParameters { /// Default value: 500 msat pub base_penalty_msat: u64, - /// A multiplier used with the payment amount to calculate a fixed penalty applied to each - /// channel, in excess of the [`base_penalty_msat`]. + /// A multiplier used with the total amount flowing over a channel to calculate a fixed penalty + /// applied to each channel, in excess of the [`base_penalty_msat`]. /// /// The purpose of the amount penalty is to avoid having fees dominate the channel cost (i.e., /// fees plus penalty) for large payments. The penalty is computed as the product of this - /// multiplier and `2^30`ths of the payment amount. + /// multiplier and `2^30`ths of the total amount flowing over a channel (i.e. the payment + /// amount plus the amount of any other HTLCs flowing we sent over the same channel). /// /// ie `base_penalty_amount_multiplier_msat * amount_msat / 2^30` /// @@ -486,14 +569,14 @@ pub struct ProbabilisticScoringFeeParameters { /// [`liquidity_offset_half_life`]: ProbabilisticScoringDecayParameters::liquidity_offset_half_life pub liquidity_penalty_multiplier_msat: u64, - /// A multiplier used in conjunction with a payment amount and the negative `log10` of the - /// channel's success probability for the payment, as determined by our latest estimates of the - /// channel's liquidity, to determine the amount penalty. + /// A multiplier used in conjunction with the total amount flowing over a channel and the + /// negative `log10` of the channel's success probability for the payment, as determined by our + /// latest estimates of the channel's liquidity, to determine the amount penalty. /// /// The purpose of the amount penalty is to avoid having fees dominate the channel cost (i.e., /// fees plus penalty) for large payments. The penalty is computed as the product of this - /// multiplier and `2^20`ths of the payment amount, weighted by the negative `log10` of the - /// success probability. + /// multiplier and `2^20`ths of the amount flowing over this channel, weighted by the negative + /// `log10` of the success probability. /// /// `-log10(success_probability) * liquidity_penalty_amount_multiplier_msat * amount_msat / 2^20` /// @@ -522,13 +605,15 @@ pub struct ProbabilisticScoringFeeParameters { /// [`liquidity_penalty_multiplier_msat`]: Self::liquidity_penalty_multiplier_msat pub historical_liquidity_penalty_multiplier_msat: u64, - /// A multiplier used in conjunction with the payment amount and the negative `log10` of the - /// channel's success probability for the payment, as determined based on the history of our - /// estimates of the channel's available liquidity, to determine a penalty. + /// A multiplier used in conjunction with the total amount flowing over a channel and the + /// negative `log10` of the channel's success probability for the payment, as determined based + /// on the history of our estimates of the channel's available liquidity, to determine a + /// penalty. /// /// The purpose of the amount penalty is to avoid having fees dominate the channel cost for - /// large payments. The penalty is computed as the product of this multiplier and the `2^20`ths - /// of the payment amount, weighted by the negative `log10` of the success probability. + /// large payments. The penalty is computed as the product of this multiplier and `2^20`ths + /// of the amount flowing over this channel, weighted by the negative `log10` of the success + /// probability. /// /// This penalty is similar to [`liquidity_penalty_amount_multiplier_msat`], however, instead /// of using only our latest estimate for the current liquidity available in the channel, it @@ -558,8 +643,9 @@ pub struct ProbabilisticScoringFeeParameters { /// Default value: 250 msat pub anti_probing_penalty_msat: u64, - /// This penalty is applied when the amount we're attempting to send over a channel exceeds our - /// current estimate of the channel's available liquidity. + /// This penalty is applied when the total amount flowing over a channel exceeds our current + /// estimate of the channel's available liquidity. The total amount is the amount of the + /// current HTLC plus any HTLCs which we've sent over the same channel. /// /// Note that in this case all other penalties, including the /// [`liquidity_penalty_multiplier_msat`] and [`liquidity_penalty_amount_multiplier_msat`]-based @@ -576,6 +662,28 @@ pub struct ProbabilisticScoringFeeParameters { /// [`base_penalty_msat`]: Self::base_penalty_msat /// [`anti_probing_penalty_msat`]: Self::anti_probing_penalty_msat pub considered_impossible_penalty_msat: u64, + + /// In order to calculate most of the scores above, we must first convert a lower and upper + /// bound on the available liquidity in a channel into the probability that we think a payment + /// will succeed. That probability is derived from a Probability Density Function for where we + /// think the liquidity in a channel likely lies, given such bounds. + /// + /// If this flag is set, that PDF is simply a constant - we assume that the actual available + /// liquidity in a channel is just as likely to be at any point between our lower and upper + /// bounds. + /// + /// If this flag is *not* set, that PDF is `(x - 0.5*capacity) ^ 2`. That is, we use an + /// exponential curve which expects the liquidity of a channel to lie "at the edges". This + /// matches experimental results - most routing nodes do not aggressively rebalance their + /// channels and flows in the network are often unbalanced, leaving liquidity usually + /// unavailable. + /// + /// Thus, for the "best" routes, leave this flag `false`. However, the flag does imply a number + /// of floating-point multiplications in the hottest routing code, which may lead to routing + /// performance degradation on some machines. + /// + /// Default value: false + pub linear_success_probability: bool, } impl Default for ProbabilisticScoringFeeParameters { @@ -590,6 +698,7 @@ impl Default for ProbabilisticScoringFeeParameters { considered_impossible_penalty_msat: 1_0000_0000_000, historical_liquidity_penalty_multiplier_msat: 10_000, historical_liquidity_penalty_amount_multiplier_msat: 64, + linear_success_probability: false, } } } @@ -643,6 +752,7 @@ impl ProbabilisticScoringFeeParameters { manual_node_penalties: HashMap::new(), anti_probing_penalty_msat: 0, considered_impossible_penalty_msat: 0, + linear_success_probability: true, } } } @@ -733,7 +843,6 @@ struct DirectedChannelLiquidity, BRT: Deref, - inflight_htlc_msat: u64, capacity_msat: u64, last_updated: U, now: T, @@ -771,7 +880,7 @@ impl>, L: Deref, T: Time> ProbabilisticScorerU 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, 0, amt, self.decay_params); + let dir_liq = liq.as_directed(source, target, amt, self.decay_params); let (min_buckets, max_buckets) = dir_liq.liquidity_history .get_decayed_buckets(now, *dir_liq.last_updated, @@ -825,7 +934,7 @@ impl>, L: Deref, T: Time> ProbabilisticScorerU 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, 0, amt, self.decay_params); + let dir_liq = liq.as_directed(source, target, amt, self.decay_params); return Some((dir_liq.min_liquidity_msat(), dir_liq.max_liquidity_msat())); } } @@ -867,7 +976,7 @@ impl>, L: Deref, T: Time> ProbabilisticScorerU 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, 0, amt, self.decay_params); + let dir_liq = liq.as_directed(source, target, amt, self.decay_params); let (min_buckets, mut max_buckets) = dir_liq.liquidity_history.get_decayed_buckets( @@ -893,7 +1002,7 @@ impl>, L: Deref, T: Time> ProbabilisticScorerU /// [`Self::historical_estimated_channel_liquidity_probabilities`] (but not those returned by /// [`Self::estimated_channel_liquidity_range`]). pub fn historical_estimated_payment_success_probability( - &self, scid: u64, target: &NodeId, amount_msat: u64) + &self, scid: u64, target: &NodeId, amount_msat: u64, params: &ProbabilisticScoringFeeParameters) -> Option { let graph = self.network_graph.read_only(); @@ -901,11 +1010,12 @@ impl>, L: Deref, T: Time> ProbabilisticScorerU if let Some(liq) = self.channel_liquidities.get(&scid) { if let Some((directed_info, source)) = chan.as_directed_to(target) { let capacity_msat = directed_info.effective_capacity().as_msat(); - let dir_liq = liq.as_directed(source, target, 0, capacity_msat, self.decay_params); + let dir_liq = liq.as_directed(source, target, capacity_msat, self.decay_params); return dir_liq.liquidity_history.calculate_success_probability_times_billion( dir_liq.now, *dir_liq.last_updated, - self.decay_params.historical_no_updates_half_life, amount_msat, capacity_msat + self.decay_params.historical_no_updates_half_life, ¶ms, amount_msat, + capacity_msat ).map(|p| p as f64 / (1024 * 1024 * 1024) as f64); } } @@ -929,7 +1039,7 @@ impl ChannelLiquidity { /// Returns a view of the channel liquidity directed from `source` to `target` assuming /// `capacity_msat`. fn as_directed( - &self, source: &NodeId, target: &NodeId, inflight_htlc_msat: u64, capacity_msat: u64, decay_params: ProbabilisticScoringDecayParameters + &self, source: &NodeId, target: &NodeId, capacity_msat: u64, decay_params: ProbabilisticScoringDecayParameters ) -> DirectedChannelLiquidity<&u64, &HistoricalBucketRangeTracker, T, &T> { let (min_liquidity_offset_msat, max_liquidity_offset_msat, min_liquidity_offset_history, max_liquidity_offset_history) = if source < target { @@ -947,7 +1057,6 @@ impl ChannelLiquidity { min_liquidity_offset_history, max_liquidity_offset_history, }, - inflight_htlc_msat, capacity_msat, last_updated: &self.last_updated, now: T::now(), @@ -958,7 +1067,7 @@ impl ChannelLiquidity { /// Returns a mutable view of the channel liquidity directed from `source` to `target` assuming /// `capacity_msat`. fn as_directed_mut( - &mut self, source: &NodeId, target: &NodeId, inflight_htlc_msat: u64, capacity_msat: u64, decay_params: ProbabilisticScoringDecayParameters + &mut self, source: &NodeId, target: &NodeId, capacity_msat: u64, decay_params: ProbabilisticScoringDecayParameters ) -> DirectedChannelLiquidity<&mut u64, &mut HistoricalBucketRangeTracker, T, &mut T> { let (min_liquidity_offset_msat, max_liquidity_offset_msat, min_liquidity_offset_history, max_liquidity_offset_history) = if source < target { @@ -976,7 +1085,6 @@ impl ChannelLiquidity { min_liquidity_offset_history, max_liquidity_offset_history, }, - inflight_htlc_msat, capacity_msat, last_updated: &mut self.last_updated, now: T::now(), @@ -997,11 +1105,80 @@ const PRECISION_LOWER_BOUND_DENOMINATOR: u64 = approx::LOWER_BITS_BOUND; const AMOUNT_PENALTY_DIVISOR: u64 = 1 << 20; const BASE_AMOUNT_PENALTY_DIVISOR: u64 = 1 << 30; +/// Raises three `f64`s to the 3rd power, without `powi` because it requires `std` (dunno why). +#[inline(always)] +fn three_f64_pow_3(a: f64, b: f64, c: f64) -> (f64, f64, f64) { + (a * a * a, b * b * b, c * c * c) +} + +/// Given liquidity bounds, calculates the success probability (in the form of a numerator and +/// denominator) of an HTLC. This is a key assumption in our scoring models. +/// +/// Must not return a numerator or denominator greater than 2^31 for arguments less than 2^31. +/// +/// min_zero_implies_no_successes signals that a `min_liquidity_msat` of 0 means we've not +/// (recently) seen an HTLC successfully complete over this channel. +#[inline(always)] +fn success_probability( + amount_msat: u64, min_liquidity_msat: u64, max_liquidity_msat: u64, capacity_msat: u64, + params: &ProbabilisticScoringFeeParameters, min_zero_implies_no_successes: bool, +) -> (u64, u64) { + debug_assert!(min_liquidity_msat <= amount_msat); + debug_assert!(amount_msat < max_liquidity_msat); + debug_assert!(max_liquidity_msat <= capacity_msat); + + let (numerator, mut denominator) = + if params.linear_success_probability { + (max_liquidity_msat - amount_msat, + (max_liquidity_msat - min_liquidity_msat).saturating_add(1)) + } else { + let capacity = capacity_msat as f64; + let min = (min_liquidity_msat as f64) / capacity; + let max = (max_liquidity_msat as f64) / capacity; + let amount = (amount_msat as f64) / capacity; + + // Assume the channel has a probability density function of (x - 0.5)^2 for values from + // 0 to 1 (where 1 is the channel's full capacity). The success probability given some + // liquidity bounds is thus the integral under the curve from the amount to maximum + // estimated liquidity, divided by the same integral from the minimum to the maximum + // estimated liquidity bounds. + // + // Because the integral from x to y is simply (y - 0.5)^3 - (x - 0.5)^3, we can + // calculate the cumulative density function between the min/max bounds trivially. Note + // that we don't bother to normalize the CDF to total to 1, as it will come out in the + // division of num / den. + let (max_pow, amt_pow, min_pow) = three_f64_pow_3(max - 0.5, amount - 0.5, min - 0.5); + let num = max_pow - amt_pow; + let den = max_pow - min_pow; + + // Because our numerator and denominator max out at 0.5^3 we need to multiply them by + // quite a large factor to get something useful (ideally in the 2^30 range). + const BILLIONISH: f64 = 1024.0 * 1024.0 * 1024.0; + let numerator = (num * BILLIONISH) as u64 + 1; + let denominator = (den * BILLIONISH) as u64 + 1; + debug_assert!(numerator <= 1 << 30, "Got large numerator ({}) from float {}.", numerator, num); + debug_assert!(denominator <= 1 << 30, "Got large denominator ({}) from float {}.", denominator, den); + (numerator, denominator) + }; + + if min_zero_implies_no_successes && min_liquidity_msat == 0 && + denominator < u64::max_value() / 21 + { + // If we have no knowledge of the channel, scale probability down by ~75% + // Note that we prefer to increase the denominator rather than decrease the numerator as + // the denominator is more likely to be larger and thus provide greater precision. This is + // mostly an overoptimization but makes a large difference in tests. + denominator = denominator * 21 / 16 + } + + (numerator, denominator) +} + impl, BRT: Deref, T: Time, U: Deref> DirectedChannelLiquidity< L, BRT, T, U> { /// Returns a liquidity penalty for routing the given HTLC `amount_msat` through the channel in /// this direction. fn penalty_msat(&self, amount_msat: u64, score_params: &ProbabilisticScoringFeeParameters) -> u64 { - let available_capacity = self.available_capacity(); + let available_capacity = self.capacity_msat; let max_liquidity_msat = self.max_liquidity_msat(); let min_liquidity_msat = core::cmp::min(self.min_liquidity_msat(), max_liquidity_msat); @@ -1017,9 +1194,9 @@ impl, BRT: Deref, score_params.liquidity_penalty_amount_multiplier_msat) .saturating_add(score_params.considered_impossible_penalty_msat) } else { - let numerator = (max_liquidity_msat - amount_msat).saturating_add(1); - let denominator = (max_liquidity_msat - min_liquidity_msat).saturating_add(1); - if amount_msat - min_liquidity_msat < denominator / PRECISION_LOWER_BOUND_DENOMINATOR { + let (numerator, denominator) = success_probability(amount_msat, + min_liquidity_msat, max_liquidity_msat, available_capacity, score_params, false); + if denominator - numerator < denominator / PRECISION_LOWER_BOUND_DENOMINATOR { // If the failure probability is < 1.5625% (as 1 - numerator/denominator < 1/64), // don't bother trying to use the log approximation as it gets too noisy to be // particularly helpful, instead just round down to 0. @@ -1046,7 +1223,8 @@ impl, BRT: Deref, score_params.historical_liquidity_penalty_amount_multiplier_msat != 0 { if let Some(cumulative_success_prob_times_billion) = self.liquidity_history .calculate_success_probability_times_billion(self.now, *self.last_updated, - self.decay_params.historical_no_updates_half_life, amount_msat, self.capacity_msat) + self.decay_params.historical_no_updates_half_life, score_params, amount_msat, + self.capacity_msat) { 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, @@ -1056,9 +1234,8 @@ impl, BRT: Deref, // If we don't have any valid points (or, once decayed, we have less than a full // point), redo the non-historical calculation with no liquidity bounds tracked and // the historical penalty multipliers. - let available_capacity = self.available_capacity(); - let numerator = available_capacity.saturating_sub(amount_msat).saturating_add(1); - let denominator = available_capacity.saturating_add(1); + let (numerator, denominator) = success_probability(amount_msat, 0, + available_capacity, available_capacity, score_params, true); let negative_log10_times_2048 = approx::negative_log10_times_2048(numerator, denominator); res = res.saturating_add(Self::combined_penalty_msat(amount_msat, negative_log10_times_2048, @@ -1097,16 +1274,10 @@ impl, BRT: Deref, /// Returns the upper bound of the channel liquidity balance in this direction. #[inline(always)] fn max_liquidity_msat(&self) -> u64 { - self.available_capacity() + self.capacity_msat .saturating_sub(self.decayed_offset_msat(*self.max_liquidity_offset_msat)) } - /// Returns the capacity minus the in-flight HTLCs in this direction. - #[inline(always)] - fn available_capacity(&self) -> u64 { - self.capacity_msat.saturating_sub(self.inflight_htlc_msat) - } - fn decayed_offset_msat(&self, offset_msat: u64) -> u64 { let half_life = self.decay_params.liquidity_offset_half_life.as_secs(); if half_life != 0 { @@ -1210,6 +1381,7 @@ impl, BRT: DerefMut>, L: Deref, T: Time> ScoreLookUp for ProbabilisticScorerUsingTime where L::Target: Logger { + #[cfg(not(c_bindings))] type ScoreParams = ProbabilisticScoringFeeParameters; fn channel_penalty_msat( &self, short_channel_id: u64, source: &NodeId, target: &NodeId, usage: ChannelUsage, score_params: &ProbabilisticScoringFeeParameters @@ -1241,13 +1413,12 @@ impl>, L: Deref, T: Time> ScoreLookUp for Prob _ => {}, } - let amount_msat = usage.amount_msat; + let amount_msat = usage.amount_msat.saturating_add(usage.inflight_htlc_msat); let capacity_msat = usage.effective_capacity.as_msat(); - let inflight_htlc_msat = usage.inflight_htlc_msat; self.channel_liquidities .get(&short_channel_id) .unwrap_or(&ChannelLiquidity::new()) - .as_directed(source, target, inflight_htlc_msat, capacity_msat, self.decay_params) + .as_directed(source, target, capacity_msat, self.decay_params) .penalty_msat(amount_msat, score_params) .saturating_add(anti_probing_penalty_msat) .saturating_add(base_penalty_msat) @@ -1277,13 +1448,13 @@ impl>, L: Deref, T: Time> ScoreUpdate for Prob self.channel_liquidities .entry(hop.short_channel_id) .or_insert_with(ChannelLiquidity::new) - .as_directed_mut(source, &target, 0, capacity_msat, self.decay_params) + .as_directed_mut(source, &target, capacity_msat, self.decay_params) .failed_at_channel(amount_msat, format_args!("SCID {}, towards {:?}", hop.short_channel_id, target), &self.logger); } else { self.channel_liquidities .entry(hop.short_channel_id) .or_insert_with(ChannelLiquidity::new) - .as_directed_mut(source, &target, 0, capacity_msat, self.decay_params) + .as_directed_mut(source, &target, capacity_msat, self.decay_params) .failed_downstream(amount_msat, format_args!("SCID {}, towards {:?}", hop.short_channel_id, target), &self.logger); } } else { @@ -1311,7 +1482,7 @@ impl>, L: Deref, T: Time> ScoreUpdate for Prob self.channel_liquidities .entry(hop.short_channel_id) .or_insert_with(ChannelLiquidity::new) - .as_directed_mut(source, &target, 0, capacity_msat, self.decay_params) + .as_directed_mut(source, &target, capacity_msat, self.decay_params) .successful(amount_msat, format_args!("SCID {}, towards {:?}", hop.short_channel_id, target), &self.logger); } else { log_debug!(self.logger, "Not able to learn for channel with SCID {} as we do not have graph info for it (likely a route-hint last-hop).", @@ -1329,6 +1500,10 @@ impl>, L: Deref, T: Time> ScoreUpdate for Prob } } +#[cfg(c_bindings)] +impl>, L: Deref, T: Time> Score for ProbabilisticScorerUsingTime +where L::Target: Logger {} + mod approx { const BITS: u32 = 64; const HIGHEST_BIT: u32 = BITS - 1; @@ -1851,8 +2026,9 @@ mod bucketed_history { #[inline] pub(super) fn calculate_success_probability_times_billion( - &self, now: T, last_updated: T, half_life: Duration, amount_msat: u64, capacity_msat: u64) - -> Option { + &self, now: T, last_updated: T, half_life: Duration, + params: &ProbabilisticScoringFeeParameters, amount_msat: u64, capacity_msat: u64 + ) -> Option { // If historical penalties are enabled, we try to calculate a probability of success // given our historical distribution of min- and max-liquidity bounds in a channel. // To do so, we walk the set of historical liquidity bucket (min, max) combinations @@ -1887,14 +2063,13 @@ mod bucketed_history { } let max_bucket_end_pos = BUCKET_START_POS[32 - highest_max_bucket_with_points] - 1; if payment_pos < max_bucket_end_pos { + let (numerator, denominator) = success_probability(payment_pos as u64, 0, + max_bucket_end_pos as u64, POSITION_TICKS as u64 - 1, params, true); let bucket_prob_times_billion = (self.min_liquidity_offset_history.buckets[0] as u64) * total_max_points * 1024 * 1024 * 1024 / total_valid_points_tracked; cumulative_success_prob_times_billion += bucket_prob_times_billion * - ((max_bucket_end_pos - payment_pos) as u64) / - // Add an additional one in the divisor as the payment bucket has been - // rounded down. - (max_bucket_end_pos + 1) as u64; + numerator / denominator; } } @@ -1912,11 +2087,11 @@ mod bucketed_history { } else if payment_pos < min_bucket_start_pos { cumulative_success_prob_times_billion += bucket_prob_times_billion; } else { + let (numerator, denominator) = success_probability(payment_pos as u64, + min_bucket_start_pos as u64, max_bucket_end_pos as u64, + POSITION_TICKS as u64 - 1, params, true); cumulative_success_prob_times_billion += bucket_prob_times_billion * - ((max_bucket_end_pos - payment_pos) as u64) / - // Add an additional one in the divisor as the payment bucket has been - // rounded down. - ((max_bucket_end_pos - min_bucket_start_pos + 1) as u64); + numerator / denominator; } } } @@ -2045,7 +2220,7 @@ mod tests { use crate::util::ser::{ReadableArgs, Writeable}; use crate::util::test_utils::{self, TestLogger}; - use bitcoin::blockdata::constants::genesis_block; + use bitcoin::blockdata::constants::ChainHash; use bitcoin::hashes::Hash; use bitcoin::hashes::sha256d::Hash as Sha256dHash; use bitcoin::network::constants::Network; @@ -2122,7 +2297,7 @@ mod tests { network_graph: &mut NetworkGraph<&TestLogger>, short_channel_id: u64, node_1_key: SecretKey, node_2_key: SecretKey ) { - let genesis_hash = genesis_block(Network::Testnet).header.block_hash(); + let genesis_hash = ChainHash::using_genesis_block(Network::Testnet); let node_1_secret = &SecretKey::from_slice(&[39; 32]).unwrap(); let node_2_secret = &SecretKey::from_slice(&[40; 32]).unwrap(); let secp_ctx = Secp256k1::new(); @@ -2155,7 +2330,7 @@ mod tests { network_graph: &mut NetworkGraph<&TestLogger>, short_channel_id: u64, node_key: SecretKey, flags: u8, htlc_maximum_msat: u64, timestamp: u32, ) { - let genesis_hash = genesis_block(Network::Testnet).header.block_hash(); + let genesis_hash = ChainHash::using_genesis_block(Network::Testnet); let secp_ctx = Secp256k1::new(); let unsigned_update = UnsignedChannelUpdate { chain_hash: genesis_hash, @@ -2228,52 +2403,52 @@ mod tests { // Update minimum liquidity. let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&source, &target, 0, 1_000, decay_params); + .as_directed(&source, &target, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 100); assert_eq!(liquidity.max_liquidity_msat(), 300); let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&target, &source, 0, 1_000, decay_params); + .as_directed(&target, &source, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 700); assert_eq!(liquidity.max_liquidity_msat(), 900); scorer.channel_liquidities.get_mut(&42).unwrap() - .as_directed_mut(&source, &target, 0, 1_000, decay_params) + .as_directed_mut(&source, &target, 1_000, decay_params) .set_min_liquidity_msat(200); let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&source, &target, 0, 1_000, decay_params); + .as_directed(&source, &target, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 200); assert_eq!(liquidity.max_liquidity_msat(), 300); let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&target, &source, 0, 1_000, decay_params); + .as_directed(&target, &source, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 700); assert_eq!(liquidity.max_liquidity_msat(), 800); // Update maximum liquidity. let liquidity = scorer.channel_liquidities.get(&43).unwrap() - .as_directed(&target, &recipient, 0, 1_000, decay_params); + .as_directed(&target, &recipient, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 700); assert_eq!(liquidity.max_liquidity_msat(), 900); let liquidity = scorer.channel_liquidities.get(&43).unwrap() - .as_directed(&recipient, &target, 0, 1_000, decay_params); + .as_directed(&recipient, &target, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 100); assert_eq!(liquidity.max_liquidity_msat(), 300); scorer.channel_liquidities.get_mut(&43).unwrap() - .as_directed_mut(&target, &recipient, 0, 1_000, decay_params) + .as_directed_mut(&target, &recipient, 1_000, decay_params) .set_max_liquidity_msat(200); let liquidity = scorer.channel_liquidities.get(&43).unwrap() - .as_directed(&target, &recipient, 0, 1_000, decay_params); + .as_directed(&target, &recipient, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 0); assert_eq!(liquidity.max_liquidity_msat(), 200); let liquidity = scorer.channel_liquidities.get(&43).unwrap() - .as_directed(&recipient, &target, 0, 1_000, decay_params); + .as_directed(&recipient, &target, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 800); assert_eq!(liquidity.max_liquidity_msat(), 1000); } @@ -2297,42 +2472,42 @@ mod tests { // Check initial bounds. let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&source, &target, 0, 1_000, decay_params); + .as_directed(&source, &target, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 400); assert_eq!(liquidity.max_liquidity_msat(), 800); let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&target, &source, 0, 1_000, decay_params); + .as_directed(&target, &source, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 200); assert_eq!(liquidity.max_liquidity_msat(), 600); // Reset from source to target. scorer.channel_liquidities.get_mut(&42).unwrap() - .as_directed_mut(&source, &target, 0, 1_000, decay_params) + .as_directed_mut(&source, &target, 1_000, decay_params) .set_min_liquidity_msat(900); let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&source, &target, 0, 1_000, decay_params); + .as_directed(&source, &target, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 900); assert_eq!(liquidity.max_liquidity_msat(), 1_000); let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&target, &source, 0, 1_000, decay_params); + .as_directed(&target, &source, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 0); assert_eq!(liquidity.max_liquidity_msat(), 100); // Reset from target to source. scorer.channel_liquidities.get_mut(&42).unwrap() - .as_directed_mut(&target, &source, 0, 1_000, decay_params) + .as_directed_mut(&target, &source, 1_000, decay_params) .set_min_liquidity_msat(400); let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&source, &target, 0, 1_000, decay_params); + .as_directed(&source, &target, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 0); assert_eq!(liquidity.max_liquidity_msat(), 600); let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&target, &source, 0, 1_000, decay_params); + .as_directed(&target, &source, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 400); assert_eq!(liquidity.max_liquidity_msat(), 1_000); } @@ -2356,42 +2531,42 @@ mod tests { // Check initial bounds. let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&source, &target, 0, 1_000, decay_params); + .as_directed(&source, &target, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 400); assert_eq!(liquidity.max_liquidity_msat(), 800); let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&target, &source, 0, 1_000, decay_params); + .as_directed(&target, &source, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 200); assert_eq!(liquidity.max_liquidity_msat(), 600); // Reset from source to target. scorer.channel_liquidities.get_mut(&42).unwrap() - .as_directed_mut(&source, &target, 0, 1_000, decay_params) + .as_directed_mut(&source, &target, 1_000, decay_params) .set_max_liquidity_msat(300); let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&source, &target, 0, 1_000, decay_params); + .as_directed(&source, &target, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 0); assert_eq!(liquidity.max_liquidity_msat(), 300); let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&target, &source, 0, 1_000, decay_params); + .as_directed(&target, &source, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 700); assert_eq!(liquidity.max_liquidity_msat(), 1_000); // Reset from target to source. scorer.channel_liquidities.get_mut(&42).unwrap() - .as_directed_mut(&target, &source, 0, 1_000, decay_params) + .as_directed_mut(&target, &source, 1_000, decay_params) .set_max_liquidity_msat(600); let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&source, &target, 0, 1_000, decay_params); + .as_directed(&source, &target, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 400); assert_eq!(liquidity.max_liquidity_msat(), 1_000); let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&target, &source, 0, 1_000, decay_params); + .as_directed(&target, &source, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 0); assert_eq!(liquidity.max_liquidity_msat(), 600); } @@ -2720,7 +2895,7 @@ mod tests { let usage = ChannelUsage { amount_msat: 256, ..usage }; assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 106); let usage = ChannelUsage { amount_msat: 768, ..usage }; - assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 916); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 921); let usage = ChannelUsage { amount_msat: 896, ..usage }; assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), u64::max_value()); @@ -2920,7 +3095,7 @@ mod tests { assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 300); SinceEpoch::advance(Duration::from_secs(10)); - assert_eq!(deserialized_scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 365); + assert_eq!(deserialized_scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 370); } #[test] @@ -2939,47 +3114,47 @@ mod tests { inflight_htlc_msat: 0, effective_capacity: EffectiveCapacity::Total { capacity_msat: 950_000_000, htlc_maximum_msat: 1_000 }, }; - assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 4375); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 11497); let usage = ChannelUsage { effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_950_000_000, htlc_maximum_msat: 1_000 }, ..usage }; - assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 2739); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 7408); let usage = ChannelUsage { effective_capacity: EffectiveCapacity::Total { capacity_msat: 2_950_000_000, htlc_maximum_msat: 1_000 }, ..usage }; - assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 2236); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 6151); let usage = ChannelUsage { effective_capacity: EffectiveCapacity::Total { capacity_msat: 3_950_000_000, htlc_maximum_msat: 1_000 }, ..usage }; - assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 1983); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 5427); let usage = ChannelUsage { effective_capacity: EffectiveCapacity::Total { capacity_msat: 4_950_000_000, htlc_maximum_msat: 1_000 }, ..usage }; - assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 1637); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 4955); let usage = ChannelUsage { effective_capacity: EffectiveCapacity::Total { capacity_msat: 5_950_000_000, htlc_maximum_msat: 1_000 }, ..usage }; - assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 1606); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 4736); let usage = ChannelUsage { effective_capacity: EffectiveCapacity::Total { capacity_msat: 6_950_000_000, htlc_maximum_msat: 1_000 }, ..usage }; - assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 1331); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 4484); let usage = ChannelUsage { effective_capacity: EffectiveCapacity::Total { capacity_msat: 7_450_000_000, htlc_maximum_msat: 1_000 }, ..usage }; - assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 1387); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 4484); let usage = ChannelUsage { effective_capacity: EffectiveCapacity::Total { capacity_msat: 7_950_000_000, htlc_maximum_msat: 1_000 }, ..usage }; - assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 1379); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 4263); let usage = ChannelUsage { effective_capacity: EffectiveCapacity::Total { capacity_msat: 8_950_000_000, htlc_maximum_msat: 1_000 }, ..usage }; - assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 1363); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 4263); let usage = ChannelUsage { effective_capacity: EffectiveCapacity::Total { capacity_msat: 9_950_000_000, htlc_maximum_msat: 1_000 }, ..usage }; - assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 1355); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 4044); } #[test] @@ -3144,29 +3319,29 @@ mod tests { }; // With no historical data the normal liquidity penalty calculation is used. - assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 47); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 168); assert_eq!(scorer.historical_estimated_channel_liquidity_probabilities(42, &target), None); - assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 42), + assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 42, ¶ms), None); scorer.payment_path_failed(&payment_path_for_amount(1), 42); assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 2048); - assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage_1, ¶ms), 128); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage_1, ¶ms), 249); // The "it failed" increment is 32, where the probability should lie several buckets into // the first octile. assert_eq!(scorer.historical_estimated_channel_liquidity_probabilities(42, &target), Some(([32, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0], [0, 0, 0, 0, 0, 0, 32, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0]))); - assert!(scorer.historical_estimated_payment_success_probability(42, &target, 1) + assert!(scorer.historical_estimated_payment_success_probability(42, &target, 1, ¶ms) .unwrap() > 0.35); - assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 500), + assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 500, ¶ms), Some(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), 43); - assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 32); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 105); // The first points should be decayed just slightly and the last bucket has a new point. assert_eq!(scorer.historical_estimated_channel_liquidity_probabilities(42, &target), Some(([31, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 32, 0, 0, 0, 0, 0], @@ -3175,23 +3350,23 @@ mod tests { // The exact success probability is a bit complicated and involves integer rounding, so we // simply check bounds here. let five_hundred_prob = - scorer.historical_estimated_payment_success_probability(42, &target, 500).unwrap(); - assert!(five_hundred_prob > 0.66); - assert!(five_hundred_prob < 0.68); + scorer.historical_estimated_payment_success_probability(42, &target, 500, ¶ms).unwrap(); + assert!(five_hundred_prob > 0.59); + assert!(five_hundred_prob < 0.60); let one_prob = - scorer.historical_estimated_payment_success_probability(42, &target, 1).unwrap(); - assert!(one_prob < 1.0); - assert!(one_prob > 0.95); + scorer.historical_estimated_payment_success_probability(42, &target, 1, ¶ms).unwrap(); + assert!(one_prob < 0.85); + assert!(one_prob > 0.84); // 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, ¶ms), 47); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 168); // 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), None); - assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 1), None); + assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 1, ¶ms), None); let mut usage = ChannelUsage { amount_msat: 100, @@ -3199,7 +3374,7 @@ mod tests { effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_024, htlc_maximum_msat: 1_024 }, }; scorer.payment_path_failed(&payment_path_for_amount(1), 42); - assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 2048); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 2050); usage.inflight_htlc_msat = 0; assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 866); @@ -3313,7 +3488,7 @@ mod tests { scorer.payment_path_failed(&path, 43); let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&source, &target, 0, 1_000, decay_params); + .as_directed(&source, &target, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 256); assert_eq!(liquidity.max_liquidity_msat(), 768); } @@ -3350,12 +3525,12 @@ mod tests { inflight_htlc_msat: 0, effective_capacity: EffectiveCapacity::Total { capacity_msat, htlc_maximum_msat: capacity_msat }, }; - // With no historical data the normal liquidity penalty calculation is used, which in this - // case is diminuitively low. - assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0); + // With no historical data the normal liquidity penalty calculation is used, which results + // in a success probability of ~75%. + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 1269); assert_eq!(scorer.historical_estimated_channel_liquidity_probabilities(42, &target), None); - assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 42), + assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 42, ¶ms), None); // Fail to pay once, and then check the buckets and penalty. @@ -3370,14 +3545,14 @@ mod tests { Some(([32, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0], [0, 32, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0]))); // The success probability estimate itself should be zero. - assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, amount_msat), + assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, amount_msat, ¶ms), Some(0.0)); // Now test again with the amount in the bottom bucket. amount_msat /= 2; // The new amount is entirely within the only minimum bucket with score, so the probability // we assign is 1/2. - assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, amount_msat), + assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, amount_msat, ¶ms), Some(0.5)); // ...but once we see a failure, we consider the payment to be substantially less likely, @@ -3387,7 +3562,7 @@ mod tests { assert_eq!(scorer.historical_estimated_channel_liquidity_probabilities(42, &target), Some(([63, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0], [32, 31, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0]))); - assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, amount_msat), + assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, amount_msat, ¶ms), Some(0.0)); } }