X-Git-Url: http://git.bitcoin.ninja/index.cgi?a=blobdiff_plain;f=lightning%2Fsrc%2Frouting%2Fscoring.rs;h=9c907c3f7fe4bd38d7526b9d10871769ea537d27;hb=fb670c8faae8c1e990496b869e62dfbde10a64f8;hp=4c47aac47b64c2e78df2b39d0e740083023ecadc;hpb=b5a63070f52dbd2a9cadaf638de3f0b3d702bee7;p=rust-lightning diff --git a/lightning/src/routing/scoring.rs b/lightning/src/routing/scoring.rs index 4c47aac4..9c907c3f 100644 --- a/lightning/src/routing/scoring.rs +++ b/lightning/src/routing/scoring.rs @@ -10,17 +10,17 @@ //! Utilities for scoring payment channels. //! //! [`ProbabilisticScorer`] may be given to [`find_route`] to score payment channels during path -//! finding when a custom [`Score`] implementation is not needed. +//! finding when a custom [`ScoreLookUp`] implementation is not needed. //! //! # Example //! //! ``` //! # extern crate bitcoin; //! # -//! # use lightning::routing::network_graph::NetworkGraph; +//! # use lightning::routing::gossip::NetworkGraph; //! # use lightning::routing::router::{RouteParameters, find_route}; -//! # use lightning::routing::scoring::{ProbabilisticScorer, ProbabilisticScoringParameters, Scorer, ScoringParameters}; -//! # use lightning::chain::keysinterface::{KeysManager, KeysInterface}; +//! # use lightning::routing::scoring::{ProbabilisticScorer, ProbabilisticScoringFeeParameters, ProbabilisticScoringDecayParameters}; +//! # use lightning::sign::KeysManager; //! # use lightning::util::logger::{Logger, Record}; //! # use bitcoin::secp256k1::PublicKey; //! # @@ -28,22 +28,24 @@ //! # impl Logger for FakeLogger { //! # fn log(&self, record: &Record) { unimplemented!() } //! # } -//! # fn find_scored_route(payer: PublicKey, route_params: RouteParameters, network_graph: NetworkGraph) { +//! # fn find_scored_route(payer: PublicKey, route_params: RouteParameters, network_graph: NetworkGraph<&FakeLogger>) { //! # let logger = FakeLogger {}; //! # //! // Use the default channel penalties. -//! let params = ProbabilisticScoringParameters::default(); -//! let scorer = ProbabilisticScorer::new(params, &network_graph, &logger); +//! let params = ProbabilisticScoringFeeParameters::default(); +//! let decay_params = ProbabilisticScoringDecayParameters::default(); +//! let scorer = ProbabilisticScorer::new(decay_params, &network_graph, &logger); //! //! // Or use custom channel penalties. -//! let params = ProbabilisticScoringParameters { -//! liquidity_penalty_multiplier_msat: 2 * 1000, -//! ..ProbabilisticScoringParameters::default() +//! let params = ProbabilisticScoringFeeParameters { +//! liquidity_penalty_multiplier_msat: 2 * 1000, +//! ..ProbabilisticScoringFeeParameters::default() //! }; -//! let scorer = ProbabilisticScorer::new(params, &network_graph, &logger); +//! let decay_params = ProbabilisticScoringDecayParameters::default(); +//! let scorer = ProbabilisticScorer::new(decay_params, &network_graph, &logger); //! # let random_seed_bytes = [42u8; 32]; //! -//! let route = find_route(&payer, &route_params, &network_graph, None, &logger, &scorer, &random_seed_bytes); +//! let route = find_route(&payer, &route_params, &network_graph, None, &logger, &scorer, ¶ms, &random_seed_bytes); //! # } //! ``` //! @@ -54,19 +56,21 @@ //! //! [`find_route`]: crate::routing::router::find_route -use ln::msgs::DecodeError; -use routing::network_graph::{NetworkGraph, NodeId}; -use routing::router::RouteHop; -use util::ser::{Readable, ReadableArgs, Writeable, Writer}; -use util::logger::Logger; - -use prelude::*; -use core::fmt; -use core::cell::{RefCell, RefMut}; +use crate::ln::msgs::DecodeError; +use crate::routing::gossip::{EffectiveCapacity, NetworkGraph, NodeId}; +use crate::routing::router::Path; +use crate::util::ser::{Readable, ReadableArgs, Writeable, Writer}; +use crate::util::logger::Logger; +use crate::util::time::Time; + +use crate::prelude::*; +use core::{cmp, fmt}; +use core::cell::{RefCell, RefMut, Ref}; +use core::convert::TryInto; use core::ops::{Deref, DerefMut}; use core::time::Duration; -use io::{self, Read}; -use sync::{Mutex, MutexGuard}; +use crate::io::{self, Read}; +use crate::sync::{Mutex, MutexGuard, RwLock, RwLockReadGuard, RwLockWriteGuard}; /// We define Score ever-so-slightly differently based on whether we are being built for C bindings /// or not. For users, `LockableScore` must somehow be writeable to disk. For Rust users, this is @@ -82,8 +86,14 @@ use sync::{Mutex, MutexGuard}; macro_rules! define_score { ($($supertrait: path)*) => { /// An interface used to score payment channels for path finding. /// -/// Scoring is in terms of fees willing to be paid in order to avoid routing through a channel. -pub trait Score $(: $supertrait)* { +/// `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 { + /// 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. + 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`. /// @@ -92,49 +102,98 @@ pub trait Score $(: $supertrait)* { /// such as a chain data, network gossip, or invoice hints. For invoice hints, a capacity near /// [`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, send_amt_msat: u64, capacity_msat: u64, source: &NodeId, target: &NodeId) -> u64; + fn channel_penalty_msat( + &self, short_channel_id: u64, source: &NodeId, target: &NodeId, usage: ChannelUsage, score_params: &Self::ScoreParams + ) -> u64; +} +/// `ScoreUpdate` is used to update the scorer's internal state after a payment attempt. +pub trait ScoreUpdate { /// Handles updating channel penalties after failing to route through a channel. - fn payment_path_failed(&mut self, path: &[&RouteHop], short_channel_id: u64); + fn payment_path_failed(&mut self, path: &Path, short_channel_id: u64); /// Handles updating channel penalties after successfully routing along a path. - fn payment_path_successful(&mut self, path: &[&RouteHop]); + fn payment_path_successful(&mut self, path: &Path); + + /// Handles updating channel penalties after a probe over the given path failed. + fn probe_failed(&mut self, path: &Path, short_channel_id: u64); + + /// Handles updating channel penalties after a probe over the given path succeeded. + fn probe_successful(&mut self, path: &Path); } -impl $(+ $supertrait)*> Score for T { - fn channel_penalty_msat(&self, short_channel_id: u64, send_amt_msat: u64, capacity_msat: u64, source: &NodeId, target: &NodeId) -> u64 { - self.deref().channel_penalty_msat(short_channel_id, send_amt_msat, capacity_msat, source, target) +/// 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 { + type ScoreParams = S::ScoreParams; + fn channel_penalty_msat( + &self, short_channel_id: u64, source: &NodeId, target: &NodeId, usage: ChannelUsage, score_params: &Self::ScoreParams + ) -> u64 { + self.deref().channel_penalty_msat(short_channel_id, source, target, usage, score_params) } +} - fn payment_path_failed(&mut self, path: &[&RouteHop], short_channel_id: u64) { +#[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) } - fn payment_path_successful(&mut self, path: &[&RouteHop]) { + fn payment_path_successful(&mut self, path: &Path) { self.deref_mut().payment_path_successful(path) } + + fn probe_failed(&mut self, path: &Path, short_channel_id: u64) { + self.deref_mut().probe_failed(path, short_channel_id) + } + + fn probe_successful(&mut self, path: &Path) { + self.deref_mut().probe_successful(path) + } } } } #[cfg(c_bindings)] define_score!(Writeable); + #[cfg(not(c_bindings))] define_score!(); /// A scorer that is accessed under a lock. /// -/// Needed so that calls to [`Score::channel_penalty_msat`] in [`find_route`] can be made while -/// having shared ownership of a scorer but without requiring internal locking in [`Score`] +/// Needed so that calls to [`ScoreLookUp::channel_penalty_msat`] in [`find_route`] can be made while +/// having shared ownership of a scorer but without requiring internal locking in [`ScoreUpdate`] /// implementations. Internal locking would be detrimental to route finding performance and could -/// result in [`Score::channel_penalty_msat`] returning a different value for the same channel. +/// result in [`ScoreLookUp::channel_penalty_msat`] returning a different value for the same channel. /// /// [`find_route`]: crate::routing::router::find_route pub trait LockableScore<'a> { - /// The locked [`Score`] type. - type Locked: 'a + Score; + /// The [`ScoreUpdate`] type. + type ScoreUpdate: 'a + ScoreUpdate; + /// The [`ScoreLookUp`] type. + type ScoreLookUp: 'a + ScoreLookUp; + + /// The write locked [`ScoreUpdate`] type. + type WriteLocked: DerefMut + Sized; + + /// The read locked [`ScoreLookUp`] type. + type ReadLocked: Deref + Sized; + + /// Returns read locked scorer. + fn read_lock(&'a self) -> Self::ReadLocked; - /// Returns the locked scorer. - fn lock(&'a self) -> Self::Locked; + /// Returns write locked scorer. + fn write_lock(&'a self) -> Self::WriteLocked; } /// Refers to a scorer that is accessible under lock and also writeable to disk @@ -143,66 +202,185 @@ pub trait LockableScore<'a> { /// use the Persister to persist it. 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: Score + 'a> LockableScore<'a> for Mutex { + type ScoreUpdate = T; + type ScoreLookUp = T; -/// (C-not exported) -impl<'a, T: 'a + Score> LockableScore<'a> for Mutex { - type Locked = MutexGuard<'a, T>; + type WriteLocked = MutexGuard<'a, Self::ScoreUpdate>; + type ReadLocked = MutexGuard<'a, Self::ScoreLookUp>; + + fn read_lock(&'a self) -> Self::ReadLocked { + Mutex::lock(self).unwrap() + } - fn lock(&'a self) -> MutexGuard<'a, T> { + fn write_lock(&'a self) -> Self::WriteLocked { Mutex::lock(self).unwrap() } } -impl<'a, T: 'a + Score> LockableScore<'a> for RefCell { - type Locked = RefMut<'a, T>; +#[cfg(not(c_bindings))] +impl<'a, T: Score + 'a> LockableScore<'a> for RefCell { + type ScoreUpdate = T; + type ScoreLookUp = T; + + type WriteLocked = RefMut<'a, Self::ScoreUpdate>; + type ReadLocked = Ref<'a, Self::ScoreLookUp>; - fn lock(&'a self) -> RefMut<'a, T> { + fn write_lock(&'a self) -> Self::WriteLocked { self.borrow_mut() } + + fn read_lock(&'a self) -> Self::ReadLocked { + self.borrow() + } +} + +#[cfg(not(c_bindings))] +impl<'a, T: Score + 'a> LockableScore<'a> for RwLock { + type ScoreUpdate = T; + type ScoreLookUp = T; + + type WriteLocked = RwLockWriteGuard<'a, Self::ScoreLookUp>; + type ReadLocked = RwLockReadGuard<'a, Self::ScoreUpdate>; + + fn read_lock(&'a self) -> Self::ReadLocked { + RwLock::read(self).unwrap() + } + + fn write_lock(&'a self) -> Self::WriteLocked { + RwLock::write(self).unwrap() + } } #[cfg(c_bindings)] /// A concrete implementation of [`LockableScore`] which supports multi-threading. -pub struct MultiThreadedLockableScore { - score: Mutex, +pub struct MultiThreadedLockableScore { + score: RwLock, } + #[cfg(c_bindings)] -/// (C-not exported) impl<'a, T: Score + 'a> LockableScore<'a> for MultiThreadedLockableScore { - type Locked = MutexGuard<'a, T>; + type ScoreUpdate = T; + type ScoreLookUp = T; + type WriteLocked = MultiThreadedScoreLockWrite<'a, Self::ScoreUpdate>; + type ReadLocked = MultiThreadedScoreLockRead<'a, Self::ScoreLookUp>; + + fn read_lock(&'a self) -> Self::ReadLocked { + MultiThreadedScoreLockRead(self.score.read().unwrap()) + } - fn lock(&'a self) -> MutexGuard<'a, T> { - Mutex::lock(&self.score).unwrap() + fn write_lock(&'a self) -> Self::WriteLocked { + MultiThreadedScoreLockWrite(self.score.write().unwrap()) + } +} + +#[cfg(c_bindings)] +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: Score + 'a> WriteableScore<'a> for MultiThreadedLockableScore {} + #[cfg(c_bindings)] impl MultiThreadedLockableScore { /// Creates a new [`MultiThreadedLockableScore`] given an underlying [`Score`]. pub fn new(score: T) -> Self { - MultiThreadedLockableScore { score: Mutex::new(score) } + MultiThreadedLockableScore { score: RwLock::new(score) } } } #[cfg(c_bindings)] -/// (C-not exported) -impl<'a, T: Writeable> Writeable for RefMut<'a, T> { - fn write(&self, writer: &mut W) -> Result<(), io::Error> { - T::write(&**self, writer) +/// A locked `MultiThreadedLockableScore`. +pub struct MultiThreadedScoreLockRead<'a, T: Score>(RwLockReadGuard<'a, T>); + +#[cfg(c_bindings)] +/// A locked `MultiThreadedLockableScore`. +pub struct MultiThreadedScoreLockWrite<'a, T: Score>(RwLockWriteGuard<'a, T>); + +#[cfg(c_bindings)] +impl<'a, T: 'a + Score> Deref for MultiThreadedScoreLockRead<'a, T> { + type Target = T; + + fn deref(&self) -> &Self::Target { + self.0.deref() + } +} + +#[cfg(c_bindings)] +impl<'a, T: Score> ScoreLookUp for MultiThreadedScoreLockRead<'a, T> { + type ScoreParams = T::ScoreParams; + fn channel_penalty_msat(&self, short_channel_id: u64, source: &NodeId, + target: &NodeId, usage: ChannelUsage, score_params: &Self::ScoreParams + ) -> u64 { + self.0.channel_penalty_msat(short_channel_id, source, target, usage, score_params) } } #[cfg(c_bindings)] -/// (C-not exported) -impl<'a, S: Writeable> Writeable for MutexGuard<'a, S> { +impl<'a, T: Score> Writeable for MultiThreadedScoreLockWrite<'a, T> { fn write(&self, writer: &mut W) -> Result<(), io::Error> { - S::write(&**self, writer) + self.0.write(writer) } } +#[cfg(c_bindings)] +impl<'a, T: 'a + Score> Deref for MultiThreadedScoreLockWrite<'a, T> { + type Target = T; + + fn deref(&self) -> &Self::Target { + self.0.deref() + } +} + +#[cfg(c_bindings)] +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)] +pub struct ChannelUsage { + /// The amount to send through the channel, denominated in millisatoshis. + pub amount_msat: u64, + + /// Total amount, denominated in millisatoshis, already allocated to send through the channel + /// as part of a multi-path payment. + pub inflight_htlc_msat: u64, + + /// The effective capacity of the channel. + pub effective_capacity: EffectiveCapacity, +} + #[derive(Clone)] -/// [`Score`] implementation that uses a fixed penalty. +/// [`ScoreLookUp`] implementation that uses a fixed penalty. pub struct FixedPenaltyScorer { penalty_msat: u64, } @@ -214,14 +392,21 @@ impl FixedPenaltyScorer { } } -impl Score for FixedPenaltyScorer { - fn channel_penalty_msat(&self, _: u64, _: u64, _: u64, _: &NodeId, _: &NodeId) -> u64 { +impl ScoreLookUp for FixedPenaltyScorer { + type ScoreParams = (); + fn channel_penalty_msat(&self, _: u64, _: &NodeId, _: &NodeId, _: ChannelUsage, _score_params: &Self::ScoreParams) -> u64 { self.penalty_msat } +} + +impl ScoreUpdate for FixedPenaltyScorer { + fn payment_path_failed(&mut self, _path: &Path, _short_channel_id: u64) {} - fn payment_path_failed(&mut self, _path: &[&RouteHop], _short_channel_id: u64) {} + fn payment_path_successful(&mut self, _path: &Path) {} - fn payment_path_successful(&mut self, _path: &[&RouteHop]) {} + fn probe_failed(&mut self, _path: &Path, _short_channel_id: u64) {} + + fn probe_successful(&mut self, _path: &Path) {} } impl Writeable for FixedPenaltyScorer { @@ -240,351 +425,357 @@ impl ReadableArgs for FixedPenaltyScorer { } } -/// [`Score`] implementation that provides reasonable default behavior. +#[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)`). +/// +/// 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. /// -/// Used to apply a fixed penalty to each channel, thus avoiding long paths when shorter paths with -/// slightly higher fees are available. Will further penalize channels that fail to relay payments. +/// The liquidity bounds are decayed by halving them every [`liquidity_offset_half_life`]. /// -/// See [module-level documentation] for usage and [`ScoringParameters`] for customization. +/// 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. /// -/// [module-level documentation]: crate::routing::scoring -#[deprecated( - since = "0.0.105", - note = "ProbabilisticScorer should be used instead of Scorer.", -)] -pub type Scorer = ScorerUsingTime::; - -#[cfg(not(feature = "no-std"))] -type ConfiguredTime = std::time::Instant; -#[cfg(feature = "no-std")] -type ConfiguredTime = time::Eternity; - -// Note that ideally we'd hide ScorerUsingTime from public view by sealing it as well, but rustdoc -// doesn't handle this well - instead exposing a `Scorer` which has no trait implementation(s) or -// methods at all. +/// [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::; -/// [`Score`] implementation. +/// Probabilistic [`ScoreLookUp`] implementation. /// -/// (C-not exported) generally all users should use the [`Scorer`] type alias. -pub struct ScorerUsingTime { - params: ScoringParameters, +/// This is not exported to bindings users generally all users should use the [`ProbabilisticScorer`] type alias. +pub struct ProbabilisticScorerUsingTime>, L: Deref, T: Time> +where L::Target: Logger { + decay_params: ProbabilisticScoringDecayParameters, + network_graph: G, + logger: L, // TODO: Remove entries of closed channels. - channel_failures: HashMap>, + channel_liquidities: HashMap>, } +/// Parameters for configuring [`ProbabilisticScorer`]. +/// +/// Used to configure base, liquidity, and amount penalties, the sum of which comprises the channel +/// penalty (i.e., the amount in msats willing to be paid to avoid routing through the channel). +/// +/// The penalty applied to any channel by the [`ProbabilisticScorer`] is the sum of each of the +/// parameters here. #[derive(Clone)] -/// Parameters for configuring [`Scorer`]. -pub struct ScoringParameters { +pub struct ProbabilisticScoringFeeParameters { /// A fixed penalty in msats to apply to each channel. /// /// Default value: 500 msat pub base_penalty_msat: u64, - /// A penalty in msats to apply to a channel upon failing to relay a payment. + /// 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`]. /// - /// This accumulates for each failure but may be reduced over time based on - /// [`failure_penalty_half_life`] or when successfully routing through a channel. + /// 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 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). /// - /// Default value: 1,024,000 msat + /// ie `base_penalty_amount_multiplier_msat * amount_msat / 2^30` /// - /// [`failure_penalty_half_life`]: Self::failure_penalty_half_life - pub failure_penalty_msat: u64, + /// Default value: 8,192 msat + /// + /// [`base_penalty_msat`]: Self::base_penalty_msat + pub base_penalty_amount_multiplier_msat: u64, - /// When the amount being sent over a channel is this many 1024ths of the total channel - /// capacity, we begin applying [`overuse_penalty_msat_per_1024th`]. + /// A multiplier used in conjunction with the negative `log10` of the channel's success + /// probability for a payment, as determined by our latest estimates of the channel's + /// liquidity, to determine the liquidity penalty. /// - /// Default value: 128 1024ths (i.e. begin penalizing when an HTLC uses 1/8th of a channel) + /// The penalty is based in part on the knowledge learned from prior successful and unsuccessful + /// payments. This knowledge is decayed over time based on [`liquidity_offset_half_life`]. The + /// penalty is effectively limited to `2 * liquidity_penalty_multiplier_msat` (corresponding to + /// lower bounding the success probability to `0.01`) when the amount falls within the + /// uncertainty bounds of the channel liquidity balance. Amounts above the upper bound will + /// result in a `u64::max_value` penalty, however. /// - /// [`overuse_penalty_msat_per_1024th`]: Self::overuse_penalty_msat_per_1024th - pub overuse_penalty_start_1024th: u16, - - /// A penalty applied, per whole 1024ths of the channel capacity which the amount being sent - /// over the channel exceeds [`overuse_penalty_start_1024th`] by. + /// `-log10(success_probability) * liquidity_penalty_multiplier_msat` /// - /// Default value: 20 msat (i.e. 2560 msat penalty to use 1/4th of a channel, 7680 msat penalty - /// to use half a channel, and 12,560 msat penalty to use 3/4ths of a channel) + /// Default value: 30,000 msat /// - /// [`overuse_penalty_start_1024th`]: Self::overuse_penalty_start_1024th - pub overuse_penalty_msat_per_1024th: u64, + /// [`liquidity_offset_half_life`]: ProbabilisticScoringDecayParameters::liquidity_offset_half_life + pub liquidity_penalty_multiplier_msat: u64, - /// The time required to elapse before any accumulated [`failure_penalty_msat`] penalties are - /// cut in half. + /// 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. /// - /// Successfully routing through a channel will immediately cut the penalty in half as well. - /// - /// Default value: 1 hour + /// 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 amount flowing over this channel, weighted by the negative + /// `log10` of the success probability. /// - /// # Note + /// `-log10(success_probability) * liquidity_penalty_amount_multiplier_msat * amount_msat / 2^20` /// - /// When built with the `no-std` feature, time will never elapse. Therefore, this penalty will - /// never decay. + /// In practice, this means for 0.1 success probability (`-log10(0.1) == 1`) each `2^20`th of + /// the amount will result in a penalty of the multiplier. And, as the success probability + /// decreases, the negative `log10` weighting will increase dramatically. For higher success + /// probabilities, the multiplier will have a decreasing effect as the negative `log10` will + /// fall below `1`. /// - /// [`failure_penalty_msat`]: Self::failure_penalty_msat - pub failure_penalty_half_life: Duration, -} - -impl_writeable_tlv_based!(ScoringParameters, { - (0, base_penalty_msat, required), - (1, overuse_penalty_start_1024th, (default_value, 128)), - (2, failure_penalty_msat, required), - (3, overuse_penalty_msat_per_1024th, (default_value, 20)), - (4, failure_penalty_half_life, required), -}); - -/// Accounting for penalties against a channel for failing to relay any payments. -/// -/// Penalties decay over time, though accumulate as more failures occur. -struct ChannelFailure { - /// Accumulated penalty in msats for the channel as of `last_updated`. - undecayed_penalty_msat: u64, - - /// Last time the channel either failed to route or successfully routed a payment. Used to decay - /// `undecayed_penalty_msat`. - last_updated: T, -} - -impl ScorerUsingTime { - /// Creates a new scorer using the given scoring parameters. - pub fn new(params: ScoringParameters) -> Self { - Self { - params, - channel_failures: HashMap::new(), - } - } -} + /// Default value: 192 msat + pub liquidity_penalty_amount_multiplier_msat: u64, -impl ChannelFailure { - fn new(failure_penalty_msat: u64) -> Self { - Self { - undecayed_penalty_msat: failure_penalty_msat, - last_updated: T::now(), - } - } - - fn add_penalty(&mut self, failure_penalty_msat: u64, half_life: Duration) { - self.undecayed_penalty_msat = self.decayed_penalty_msat(half_life) + failure_penalty_msat; - self.last_updated = T::now(); - } + /// A multiplier used in conjunction with 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. + /// + /// This penalty is similar to [`liquidity_penalty_multiplier_msat`], however, instead of using + /// only our latest estimate for the current liquidity available in the channel, it estimates + /// success probability based on the estimated liquidity available in the channel through + /// history. Specifically, every time we update our liquidity bounds on a given channel, we + /// track which of several buckets those bounds fall into, exponentially decaying the + /// probability of each bucket as new samples are added. + /// + /// Default value: 10,000 msat + /// + /// [`liquidity_penalty_multiplier_msat`]: Self::liquidity_penalty_multiplier_msat + pub historical_liquidity_penalty_multiplier_msat: u64, - fn reduce_penalty(&mut self, half_life: Duration) { - self.undecayed_penalty_msat = self.decayed_penalty_msat(half_life) >> 1; - self.last_updated = T::now(); - } + /// 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 `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 + /// estimates success probability based on the estimated liquidity available in the channel + /// through history. Specifically, every time we update our liquidity bounds on a given + /// channel, we track which of several buckets those bounds fall into, exponentially decaying + /// the probability of each bucket as new samples are added. + /// + /// Default value: 64 msat + /// + /// [`liquidity_penalty_amount_multiplier_msat`]: Self::liquidity_penalty_amount_multiplier_msat + pub historical_liquidity_penalty_amount_multiplier_msat: u64, - fn decayed_penalty_msat(&self, half_life: Duration) -> u64 { - self.last_updated.elapsed().as_secs() - .checked_div(half_life.as_secs()) - .and_then(|decays| self.undecayed_penalty_msat.checked_shr(decays as u32)) - .unwrap_or(0) - } -} + /// Manual penalties used for the given nodes. Allows to set a particular penalty for a given + /// node. Note that a manual penalty of `u64::max_value()` means the node would not ever be + /// considered during path finding. + /// + /// This is not exported to bindings users + pub manual_node_penalties: HashMap, + + /// This penalty is applied when `htlc_maximum_msat` is equal to or larger than half of the + /// channel's capacity, (ie. htlc_maximum_msat >= 0.5 * channel_capacity) which makes us + /// prefer nodes with a smaller `htlc_maximum_msat`. We treat such nodes preferentially + /// as this makes balance discovery attacks harder to execute, thereby creating an incentive + /// to restrict `htlc_maximum_msat` and improve privacy. + /// + /// Default value: 250 msat + pub anti_probing_penalty_msat: u64, -impl Default for ScorerUsingTime { - fn default() -> Self { - Self::new(ScoringParameters::default()) - } + /// 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 + /// penalties, as well as the [`base_penalty_msat`] and the [`anti_probing_penalty_msat`], if + /// applicable, are still included in the overall penalty. + /// + /// If you wish to avoid creating paths with such channels entirely, setting this to a value of + /// `u64::max_value()` will guarantee that. + /// + /// Default value: 1_0000_0000_000 msat (1 Bitcoin) + /// + /// [`liquidity_penalty_multiplier_msat`]: Self::liquidity_penalty_multiplier_msat + /// [`liquidity_penalty_amount_multiplier_msat`]: Self::liquidity_penalty_amount_multiplier_msat + /// [`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 ScoringParameters { +impl Default for ProbabilisticScoringFeeParameters { fn default() -> Self { Self { base_penalty_msat: 500, - failure_penalty_msat: 1024 * 1000, - failure_penalty_half_life: Duration::from_secs(3600), - overuse_penalty_start_1024th: 1024 / 8, - overuse_penalty_msat_per_1024th: 20, + base_penalty_amount_multiplier_msat: 8192, + liquidity_penalty_multiplier_msat: 30_000, + liquidity_penalty_amount_multiplier_msat: 192, + manual_node_penalties: HashMap::new(), + anti_probing_penalty_msat: 250, + 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, } } } -impl Score for ScorerUsingTime { - fn channel_penalty_msat( - &self, short_channel_id: u64, send_amt_msat: u64, capacity_msat: u64, _source: &NodeId, _target: &NodeId - ) -> u64 { - let failure_penalty_msat = self.channel_failures - .get(&short_channel_id) - .map_or(0, |value| value.decayed_penalty_msat(self.params.failure_penalty_half_life)); - - let mut penalty_msat = self.params.base_penalty_msat + failure_penalty_msat; - let send_1024ths = send_amt_msat.checked_mul(1024).unwrap_or(u64::max_value()) / capacity_msat; - if send_1024ths > self.params.overuse_penalty_start_1024th as u64 { - penalty_msat = penalty_msat.checked_add( - (send_1024ths - self.params.overuse_penalty_start_1024th as u64) - .checked_mul(self.params.overuse_penalty_msat_per_1024th).unwrap_or(u64::max_value())) - .unwrap_or(u64::max_value()); - } - - penalty_msat - } - - fn payment_path_failed(&mut self, _path: &[&RouteHop], short_channel_id: u64) { - let failure_penalty_msat = self.params.failure_penalty_msat; - let half_life = self.params.failure_penalty_half_life; - self.channel_failures - .entry(short_channel_id) - .and_modify(|failure| failure.add_penalty(failure_penalty_msat, half_life)) - .or_insert_with(|| ChannelFailure::new(failure_penalty_msat)); +impl ProbabilisticScoringFeeParameters { + /// 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) { + self.manual_node_penalties.insert(*node_id, u64::max_value()); } - fn payment_path_successful(&mut self, path: &[&RouteHop]) { - let half_life = self.params.failure_penalty_half_life; - for hop in path.iter() { - self.channel_failures - .entry(hop.short_channel_id) - .and_modify(|failure| failure.reduce_penalty(half_life)); + /// Marks all nodes in the given list as banned, i.e., + /// they will be avoided during path finding. + pub fn add_banned_from_list(&mut self, node_ids: Vec) { + for id in node_ids { + self.manual_node_penalties.insert(id, u64::max_value()); } } -} -impl Writeable for ScorerUsingTime { - #[inline] - fn write(&self, w: &mut W) -> Result<(), io::Error> { - self.params.write(w)?; - self.channel_failures.write(w)?; - write_tlv_fields!(w, {}); - Ok(()) + /// Removes the node with the given `node_id` from the list of nodes to avoid. + pub fn remove_banned(&mut self, node_id: &NodeId) { + self.manual_node_penalties.remove(node_id); } -} -impl Readable for ScorerUsingTime { - #[inline] - fn read(r: &mut R) -> Result { - let res = Ok(Self { - params: Readable::read(r)?, - channel_failures: Readable::read(r)?, - }); - read_tlv_fields!(r, {}); - res + /// Sets a manual penalty for the given node. + pub fn set_manual_penalty(&mut self, node_id: &NodeId, penalty: u64) { + self.manual_node_penalties.insert(*node_id, penalty); } -} -impl Writeable for ChannelFailure { - #[inline] - fn write(&self, w: &mut W) -> Result<(), io::Error> { - let duration_since_epoch = T::duration_since_epoch() - self.last_updated.elapsed(); - write_tlv_fields!(w, { - (0, self.undecayed_penalty_msat, required), - (2, duration_since_epoch, required), - }); - Ok(()) + /// Removes the node with the given `node_id` from the list of manual penalties. + pub fn remove_manual_penalty(&mut self, node_id: &NodeId) { + self.manual_node_penalties.remove(node_id); } -} -impl Readable for ChannelFailure { - #[inline] - fn read(r: &mut R) -> Result { - let mut undecayed_penalty_msat = 0; - let mut duration_since_epoch = Duration::from_secs(0); - read_tlv_fields!(r, { - (0, undecayed_penalty_msat, required), - (2, duration_since_epoch, required), - }); - Ok(Self { - undecayed_penalty_msat, - last_updated: T::now() - (T::duration_since_epoch() - duration_since_epoch), - }) + /// Clears the list of manual penalties that are applied during path finding. + pub fn clear_manual_penalties(&mut self) { + self.manual_node_penalties = HashMap::new(); } } -/// [`Score`] implementation using channel success probability distributions. -/// -/// Based on *Optimally Reliable & Cheap Payment Flows on the Lightning Network* by Rene Pickhardt -/// and Stefan Richter [[1]]. Given the uncertainty of channel liquidity balances, probability -/// distributions are defined based on knowledge learned from successful and unsuccessful attempts. -/// Then the negative `log10` of the success probability is used to determine the cost of routing a -/// specific HTLC amount through a channel. -/// -/// Knowledge about channel liquidity balances takes the form of upper and lower bounds on the -/// possible liquidity. Certainty of the bounds is decreased over time using a decay function. See -/// [`ProbabilisticScoringParameters`] for details. -/// -/// Since the scorer aims to learn the current channel liquidity balances, it works best for nodes -/// with high payment volume or that actively probe the [`NetworkGraph`]. Nodes with low payment -/// volume are more likely to experience failed payment paths, which would need to be retried. -/// -/// # Note -/// -/// Mixing the `no-std` feature between serialization and deserialization results in undefined -/// behavior. -/// -/// [1]: https://arxiv.org/abs/2107.05322 -pub type ProbabilisticScorer = ProbabilisticScorerUsingTime::; - -/// Probabilistic [`Score`] implementation. -/// -/// (C-not exported) generally all users should use the [`ProbabilisticScorer`] type alias. -pub struct ProbabilisticScorerUsingTime, L: Deref, T: Time> where L::Target: Logger { - params: ProbabilisticScoringParameters, - network_graph: G, - logger: L, - // TODO: Remove entries of closed channels. - channel_liquidities: HashMap>, +#[cfg(test)] +impl ProbabilisticScoringFeeParameters { + fn zero_penalty() -> Self { + Self { + base_penalty_msat: 0, + base_penalty_amount_multiplier_msat: 0, + liquidity_penalty_multiplier_msat: 0, + liquidity_penalty_amount_multiplier_msat: 0, + historical_liquidity_penalty_multiplier_msat: 0, + historical_liquidity_penalty_amount_multiplier_msat: 0, + manual_node_penalties: HashMap::new(), + anti_probing_penalty_msat: 0, + considered_impossible_penalty_msat: 0, + linear_success_probability: true, + } + } } /// Parameters for configuring [`ProbabilisticScorer`]. /// -/// Used to configure base, liquidity, and amount penalties, the sum of which comprises the channel -/// penalty (i.e., the amount in msats willing to be paid to avoid routing through the channel). -#[derive(Clone, Copy)] -pub struct ProbabilisticScoringParameters { - /// A fixed penalty in msats to apply to each channel. +/// Used to configure decay parameters that are static throughout the lifetime of the scorer. +/// these decay parameters affect the score of the channel penalty and are not changed on a +/// per-route penalty cost call. +#[derive(Copy, Clone)] +pub struct ProbabilisticScoringDecayParameters { + /// If we aren't learning any new datapoints for a channel, the historical liquidity bounds + /// tracking can simply live on with increasingly stale data. Instead, when a channel has not + /// seen a liquidity estimate update for this amount of time, the historical datapoints are + /// decayed by half. + /// For an example of historical_no_updates_half_life being used see [`historical_estimated_channel_liquidity_probabilities`] /// - /// Default value: 500 msat - pub base_penalty_msat: u64, - - /// A multiplier used in conjunction with the negative `log10` of the channel's success - /// probability for a payment to determine the liquidity penalty. + /// Note that after 16 or more half lives all historical data will be completely gone. /// - /// The penalty is based in part on the knowledge learned from prior successful and unsuccessful - /// payments. This knowledge is decayed over time based on [`liquidity_offset_half_life`]. The - /// penalty is effectively limited to `2 * liquidity_penalty_multiplier_msat` (corresponding to - /// lower bounding the success probability to `0.01`) when the amount falls within the - /// uncertainty bounds of the channel liquidity balance. Amounts above the upper bound will - /// result in a `u64::max_value` penalty, however. + /// Default value: 14 days /// - /// Default value: 40,000 msat - /// - /// [`liquidity_offset_half_life`]: Self::liquidity_offset_half_life - pub liquidity_penalty_multiplier_msat: u64, + /// [`historical_estimated_channel_liquidity_probabilities`]: ProbabilisticScorerUsingTime::historical_estimated_channel_liquidity_probabilities + pub historical_no_updates_half_life: Duration, - /// The time required to elapse before any knowledge learned about channel liquidity balances is - /// cut in half. + /// Whenever this amount of time elapses since the last update to a channel's liquidity bounds, + /// the distance from the bounds to "zero" is cut in half. In other words, the lower-bound on + /// the available liquidity is halved and the upper-bound moves half-way to the channel's total + /// capacity. /// - /// The bounds are defined in terms of offsets and are initially zero. Increasing the offsets - /// gives tighter bounds on the channel liquidity balance. Thus, halving the offsets decreases - /// the certainty of the channel liquidity balance. + /// Because halving the liquidity bounds grows the uncertainty on the channel's liquidity, + /// the penalty for an amount within the new bounds may change. See the [`ProbabilisticScorer`] + /// struct documentation for more info on the way the liquidity bounds are used. /// - /// Default value: 1 hour + /// For example, if the channel's capacity is 1 million sats, and the current upper and lower + /// liquidity bounds are 200,000 sats and 600,000 sats, after this amount of time the upper + /// and lower liquidity bounds will be decayed to 100,000 and 800,000 sats. + /// + /// Default value: 6 hours /// /// # Note /// /// When built with the `no-std` feature, time will never elapse. Therefore, the channel /// liquidity knowledge will never decay except when the bounds cross. pub liquidity_offset_half_life: Duration, +} - /// A multiplier used in conjunction with a payment amount and the negative `log10` of the - /// channel's success probability for the payment 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. - /// - /// `-log10(success_probability) * amount_penalty_multiplier_msat * amount_msat / 2^20` - /// - /// In practice, this means for 0.1 success probability (`-log10(0.1) == 1`) each `2^20`th of - /// the amount will result in a penalty of the multiplier. And, as the success probability - /// decreases, the negative `log10` weighting will increase dramatically. For higher success - /// probabilities, the multiplier will have a decreasing effect as the negative `log10` will - /// fall below `1`. - /// - /// Default value: 256 msat - pub amount_penalty_multiplier_msat: u64, +impl Default for ProbabilisticScoringDecayParameters { + fn default() -> Self { + Self { + liquidity_offset_half_life: Duration::from_secs(6 * 60 * 60), + historical_no_updates_half_life: Duration::from_secs(60 * 60 * 24 * 14), + } + } +} + +#[cfg(test)] +impl ProbabilisticScoringDecayParameters { + fn zero_penalty() -> Self { + Self { + liquidity_offset_half_life: Duration::from_secs(6 * 60 * 60), + historical_no_updates_half_life: Duration::from_secs(60 * 60 * 24 * 14), + } + } } /// Accounting for channel liquidity balance uncertainty. @@ -601,25 +792,29 @@ struct ChannelLiquidity { /// Time when the liquidity bounds were last modified. last_updated: T, + + min_liquidity_offset_history: HistoricalBucketRangeTracker, + max_liquidity_offset_history: HistoricalBucketRangeTracker, } /// A snapshot of [`ChannelLiquidity`] in one direction assuming a certain channel capacity and /// decayed with a given half life. -struct DirectedChannelLiquidity, T: Time, U: Deref> { +struct DirectedChannelLiquidity, BRT: Deref, T: Time, U: Deref> { min_liquidity_offset_msat: L, max_liquidity_offset_msat: L, + liquidity_history: HistoricalMinMaxBuckets, capacity_msat: u64, last_updated: U, now: T, - half_life: Duration, + decay_params: ProbabilisticScoringDecayParameters, } -impl, L: Deref, T: Time> ProbabilisticScorerUsingTime where L::Target: Logger { +impl>, L: Deref, T: Time> ProbabilisticScorerUsingTime where L::Target: Logger { /// Creates a new scorer using the given scoring parameters for sending payments from a node /// through a network graph. - pub fn new(params: ProbabilisticScoringParameters, network_graph: G, logger: L) -> Self { + pub fn new(decay_params: ProbabilisticScoringDecayParameters, network_graph: G, logger: L) -> Self { Self { - params, + decay_params, network_graph, logger, channel_liquidities: HashMap::new(), @@ -637,15 +832,46 @@ impl, L: Deref, T: Time> ProbabilisticScorerUsin /// 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.liquidity_offset_half_life); - 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 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, + self.decay_params.historical_no_updates_half_life) + .unwrap_or(([0; 32], [0; 32])); + + log_debug!(self.logger, core::concat!( + "Liquidity from {} to {} via {} is in the range ({}, {}).\n", + "\tHistorical min liquidity bucket relative probabilities:\n", + "\t\t{} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {}\n", + "\tHistorical max liquidity bucket relative probabilities:\n", + "\t\t{} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {} {}"), + 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], + min_buckets[ 8], min_buckets[ 9], min_buckets[10], min_buckets[11], + min_buckets[12], min_buckets[13], min_buckets[14], min_buckets[15], + min_buckets[16], min_buckets[17], min_buckets[18], min_buckets[19], + min_buckets[20], min_buckets[21], min_buckets[22], min_buckets[23], + min_buckets[24], min_buckets[25], min_buckets[26], min_buckets[27], + min_buckets[28], min_buckets[29], min_buckets[30], min_buckets[31], + // 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[31], max_buckets[30], max_buckets[29], max_buckets[28], + max_buckets[27], max_buckets[26], max_buckets[25], max_buckets[24], + max_buckets[23], max_buckets[22], max_buckets[21], max_buckets[20], + max_buckets[19], max_buckets[18], max_buckets[17], max_buckets[16], + max_buckets[15], max_buckets[14], max_buckets[13], max_buckets[12], + max_buckets[11], max_buckets[10], max_buckets[ 9], max_buckets[ 8], + 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); } @@ -658,28 +884,103 @@ impl, L: Deref, T: Time> ProbabilisticScorerUsin } } } -} -impl ProbabilisticScoringParameters { - #[cfg(test)] - fn zero_penalty() -> Self { - Self { - base_penalty_msat: 0, - liquidity_penalty_multiplier_msat: 0, - liquidity_offset_half_life: Duration::from_secs(3600), - amount_penalty_multiplier_msat: 0, + /// Query the estimated minimum and maximum liquidity available for sending a payment over the + /// channel with `scid` towards the given `target` node. + pub fn estimated_channel_liquidity_range(&self, scid: u64, target: &NodeId) -> Option<(u64, u64)> { + 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.decay_params); + return Some((dir_liq.min_liquidity_msat(), dir_liq.max_liquidity_msat())); + } + } } + None } -} -impl Default for ProbabilisticScoringParameters { - fn default() -> Self { - Self { - base_penalty_msat: 500, - liquidity_penalty_multiplier_msat: 40_000, - liquidity_offset_half_life: Duration::from_secs(3600), - amount_penalty_multiplier_msat: 256, + /// 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 32 buckets. The first set describes the lower-bound liquidity history, + /// the second set describes the upper-bound liquidity history. Each bucket describes the + /// relative frequency at which we've seen a liquidity bound in the bucket's range 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. + /// + /// Note that the range of each bucket varies by its location to provide more granular results + /// at the edges of a channel's capacity, where it is more likely to sit. + /// + /// When scoring, the estimated probability that an upper-/lower-bound lies in a given bucket + /// is calculated by dividing that bucket's value with the total value of all buckets. + /// + /// For example, using a lower bucket count for illustrative purposes, a value of + /// `[0, 0, 0, ..., 0, 32]` indicates that we believe the probability of a bound being very + /// close to the channel's capacity to be 100%, and have never (recently) seen it in any other + /// bucket. A value of `[31, 0, 0, ..., 0, 0, 32]` indicates we've seen the bound being both + /// in the top and bottom bucket, and roughly with similar (recent) frequency. + /// + /// Because the datapoints are decayed slowly over time, values will eventually return to + /// `Some(([1; 32], [1; 32]))` and then to `None` once no datapoints remain. + /// + /// In order to fetch a single success probability from the buckets provided here, as used in + /// the scoring model, see [`Self::historical_estimated_payment_success_probability`]. + pub fn historical_estimated_channel_liquidity_probabilities(&self, scid: u64, target: &NodeId) + -> Option<([u16; 32], [u16; 32])> { + 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.decay_params); + + let (min_buckets, mut max_buckets) = + dir_liq.liquidity_history.get_decayed_buckets( + dir_liq.now, *dir_liq.last_updated, + self.decay_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 + } + + /// Query the probability of payment success sending the given `amount_msat` over the channel + /// with `scid` towards the given `target` node, based on the historical estimated liquidity + /// bounds. + /// + /// These are the same bounds as returned by + /// [`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, params: &ProbabilisticScoringFeeParameters) + -> Option { + 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 capacity_msat = directed_info.effective_capacity().as_msat(); + 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, ¶ms, amount_msat, + capacity_msat + ).map(|p| p as f64 / (1024 * 1024 * 1024) as f64); + } + } } + None } } @@ -689,6 +990,8 @@ impl ChannelLiquidity { Self { min_liquidity_offset_msat: 0, max_liquidity_offset_msat: 0, + min_liquidity_offset_history: HistoricalBucketRangeTracker::new(), + max_liquidity_offset_history: HistoricalBucketRangeTracker::new(), last_updated: T::now(), } } @@ -696,42 +999,56 @@ 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, capacity_msat: u64, half_life: Duration - ) -> DirectedChannelLiquidity<&u64, T, &T> { - let (min_liquidity_offset_msat, max_liquidity_offset_msat) = if source < target { - (&self.min_liquidity_offset_msat, &self.max_liquidity_offset_msat) - } else { - (&self.max_liquidity_offset_msat, &self.min_liquidity_offset_msat) - }; + &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 { + (&self.min_liquidity_offset_msat, &self.max_liquidity_offset_msat, + &self.min_liquidity_offset_history, &self.max_liquidity_offset_history) + } else { + (&self.max_liquidity_offset_msat, &self.min_liquidity_offset_msat, + &self.max_liquidity_offset_history, &self.min_liquidity_offset_history) + }; DirectedChannelLiquidity { min_liquidity_offset_msat, max_liquidity_offset_msat, + liquidity_history: HistoricalMinMaxBuckets { + min_liquidity_offset_history, + max_liquidity_offset_history, + }, capacity_msat, last_updated: &self.last_updated, now: T::now(), - half_life, + decay_params: decay_params, } } /// 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, capacity_msat: u64, half_life: Duration - ) -> DirectedChannelLiquidity<&mut u64, T, &mut T> { - let (min_liquidity_offset_msat, max_liquidity_offset_msat) = if source < target { - (&mut self.min_liquidity_offset_msat, &mut self.max_liquidity_offset_msat) - } else { - (&mut self.max_liquidity_offset_msat, &mut self.min_liquidity_offset_msat) - }; + &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 { + (&mut self.min_liquidity_offset_msat, &mut self.max_liquidity_offset_msat, + &mut self.min_liquidity_offset_history, &mut self.max_liquidity_offset_history) + } else { + (&mut self.max_liquidity_offset_msat, &mut self.min_liquidity_offset_msat, + &mut self.max_liquidity_offset_history, &mut self.min_liquidity_offset_history) + }; DirectedChannelLiquidity { min_liquidity_offset_msat, max_liquidity_offset_msat, + liquidity_history: HistoricalMinMaxBuckets { + min_liquidity_offset_history, + max_liquidity_offset_history, + }, capacity_msat, last_updated: &mut self.last_updated, now: T::now(), - half_life, + decay_params: decay_params, } } } @@ -746,103 +1063,229 @@ const PRECISION_LOWER_BOUND_DENOMINATOR: u64 = approx::LOWER_BITS_BOUND; /// The divisor used when computing the amount penalty. 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) +} -impl, T: Time, U: Deref> DirectedChannelLiquidity { - /// Returns a penalty for routing the given HTLC `amount_msat` through the channel in this - /// direction. - fn penalty_msat(&self, amount_msat: u64, params: ProbabilisticScoringParameters) -> u64 { +/// 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.capacity_msat; let max_liquidity_msat = self.max_liquidity_msat(); let min_liquidity_msat = core::cmp::min(self.min_liquidity_msat(), max_liquidity_msat); - if amount_msat <= min_liquidity_msat { + + let mut res = if amount_msat <= min_liquidity_msat { 0 } else if amount_msat >= max_liquidity_msat { - if amount_msat > max_liquidity_msat { - u64::max_value() - } else if max_liquidity_msat != self.capacity_msat { - // Avoid using the failed channel on retry. - u64::max_value() - } else { - // Equivalent to hitting the else clause below with the amount equal to the - // effective capacity and without any certainty on the liquidity upper bound. - let negative_log10_times_2048 = NEGATIVE_LOG10_UPPER_BOUND * 2048; - self.combined_penalty_msat(amount_msat, negative_log10_times_2048, params) - } + // Equivalent to hitting the else clause below with the amount equal to the effective + // capacity and without any certainty on the liquidity upper bound, plus the + // impossibility penalty. + let negative_log10_times_2048 = NEGATIVE_LOG10_UPPER_BOUND * 2048; + Self::combined_penalty_msat(amount_msat, negative_log10_times_2048, + score_params.liquidity_penalty_multiplier_msat, + 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 and return the base penalty. - params.base_penalty_msat + // particularly helpful, instead just round down to 0. + 0 + } else { + let negative_log10_times_2048 = + approx::negative_log10_times_2048(numerator, denominator); + Self::combined_penalty_msat(amount_msat, negative_log10_times_2048, + score_params.liquidity_penalty_multiplier_msat, + score_params.liquidity_penalty_amount_multiplier_msat) + } + }; + + if amount_msat >= available_capacity { + // We're trying to send more than the capacity, use a max penalty. + res = res.saturating_add(Self::combined_penalty_msat(amount_msat, + NEGATIVE_LOG10_UPPER_BOUND * 2048, + score_params.historical_liquidity_penalty_multiplier_msat, + score_params.historical_liquidity_penalty_amount_multiplier_msat)); + return res; + } + + if score_params.historical_liquidity_penalty_multiplier_msat != 0 || + 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, 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, + historical_negative_log10_times_2048, score_params.historical_liquidity_penalty_multiplier_msat, + score_params.historical_liquidity_penalty_amount_multiplier_msat)); } else { + // 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 (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); - self.combined_penalty_msat(amount_msat, negative_log10_times_2048, params) + res = res.saturating_add(Self::combined_penalty_msat(amount_msat, negative_log10_times_2048, + score_params.historical_liquidity_penalty_multiplier_msat, + score_params.historical_liquidity_penalty_amount_multiplier_msat)); } } + + res } - /// Computes the liquidity and amount penalties and adds them to the base penalty. + /// Computes the liquidity penalty from the penalty multipliers. #[inline(always)] - fn combined_penalty_msat( - &self, amount_msat: u64, negative_log10_times_2048: u64, - params: ProbabilisticScoringParameters + fn combined_penalty_msat(amount_msat: u64, mut negative_log10_times_2048: u64, + liquidity_penalty_multiplier_msat: u64, liquidity_penalty_amount_multiplier_msat: u64, ) -> u64 { - let liquidity_penalty_msat = { - // Upper bound the liquidity penalty to ensure some channel is selected. - let multiplier_msat = params.liquidity_penalty_multiplier_msat; - let max_penalty_msat = multiplier_msat.saturating_mul(NEGATIVE_LOG10_UPPER_BOUND); - (negative_log10_times_2048.saturating_mul(multiplier_msat) / 2048).min(max_penalty_msat) - }; + negative_log10_times_2048 = + negative_log10_times_2048.min(NEGATIVE_LOG10_UPPER_BOUND * 2048); + + // Upper bound the liquidity penalty to ensure some channel is selected. + let liquidity_penalty_msat = negative_log10_times_2048 + .saturating_mul(liquidity_penalty_multiplier_msat) / 2048; let amount_penalty_msat = negative_log10_times_2048 - .saturating_mul(params.amount_penalty_multiplier_msat) + .saturating_mul(liquidity_penalty_amount_multiplier_msat) .saturating_mul(amount_msat) / 2048 / AMOUNT_PENALTY_DIVISOR; - params.base_penalty_msat - .saturating_add(liquidity_penalty_msat) - .saturating_add(amount_penalty_msat) + liquidity_penalty_msat.saturating_add(amount_penalty_msat) } /// Returns the lower bound of the channel liquidity balance in this direction. + #[inline(always)] fn min_liquidity_msat(&self) -> u64 { self.decayed_offset_msat(*self.min_liquidity_offset_msat) } /// Returns the upper bound of the channel liquidity balance in this direction. + #[inline(always)] fn max_liquidity_msat(&self) -> u64 { self.capacity_msat - .checked_sub(self.decayed_offset_msat(*self.max_liquidity_offset_msat)) - .unwrap_or(0) + .saturating_sub(self.decayed_offset_msat(*self.max_liquidity_offset_msat)) } fn decayed_offset_msat(&self, offset_msat: u64) -> u64 { - self.now.duration_since(*self.last_updated).as_secs() - .checked_div(self.half_life.as_secs()) - .and_then(|decays| offset_msat.checked_shr(decays as u32)) - .unwrap_or(0) + let half_life = self.decay_params.liquidity_offset_half_life.as_secs(); + if half_life != 0 { + // Decay the offset by the appropriate number of half lives. If half of the next half + // life has passed, approximate an additional three-quarter life to help smooth out the + // decay. + let elapsed_time = self.now.duration_since(*self.last_updated).as_secs(); + let half_decays = elapsed_time / (half_life / 2); + let decays = half_decays / 2; + let decayed_offset_msat = offset_msat.checked_shr(decays as u32).unwrap_or(0); + if half_decays % 2 == 0 { + decayed_offset_msat + } else { + // 11_585 / 16_384 ~= core::f64::consts::FRAC_1_SQRT_2 + // 16_384 == 2^14 + (decayed_offset_msat as u128 * 11_585 / 16_384) as u64 + } + } else { + 0 + } } } -impl, T: Time, U: DerefMut> DirectedChannelLiquidity { +impl, BRT: DerefMut, T: Time, U: DerefMut> DirectedChannelLiquidity { /// Adjusts the channel liquidity balance bounds when failing to route `amount_msat`. fn failed_at_channel(&mut self, amount_msat: u64, chan_descr: fmt::Arguments, logger: &Log) where Log::Target: Logger { - if amount_msat < self.max_liquidity_msat() { - log_debug!(logger, "Setting max liquidity of {} to {}", chan_descr, amount_msat); + let existing_max_msat = self.max_liquidity_msat(); + if amount_msat < existing_max_msat { + log_debug!(logger, "Setting max liquidity of {} from {} to {}", chan_descr, existing_max_msat, amount_msat); self.set_max_liquidity_msat(amount_msat); } else { - log_trace!(logger, "Max liquidity of {} already more than {}", chan_descr, amount_msat); + log_trace!(logger, "Max liquidity of {} is {} (already less than or equal to {})", + chan_descr, existing_max_msat, amount_msat); } + self.update_history_buckets(0); } /// Adjusts the channel liquidity balance bounds when failing to route `amount_msat` downstream. fn failed_downstream(&mut self, amount_msat: u64, chan_descr: fmt::Arguments, logger: &Log) where Log::Target: Logger { - if amount_msat > self.min_liquidity_msat() { - log_debug!(logger, "Setting min liquidity of {} to {}", chan_descr, amount_msat); + let existing_min_msat = self.min_liquidity_msat(); + if amount_msat > existing_min_msat { + log_debug!(logger, "Setting min liquidity of {} from {} to {}", existing_min_msat, chan_descr, amount_msat); self.set_min_liquidity_msat(amount_msat); } else { - log_trace!(logger, "Min liquidity of {} already less than {}", chan_descr, amount_msat); + log_trace!(logger, "Min liquidity of {} is {} (already greater than or equal to {})", + chan_descr, existing_min_msat, amount_msat); } + self.update_history_buckets(0); } /// Adjusts the channel liquidity balance bounds when successfully routing `amount_msat`. @@ -850,6 +1293,28 @@ impl, T: Time, U: DerefMut> DirectedChanne let max_liquidity_msat = self.max_liquidity_msat().checked_sub(amount_msat).unwrap_or(0); log_debug!(logger, "Subtracting {} from max liquidity of {} (setting it to {})", amount_msat, chan_descr, max_liquidity_msat); self.set_max_liquidity_msat(max_liquidity_msat); + self.update_history_buckets(amount_msat); + } + + /// Updates the history buckets for this channel. Because the history buckets track what we now + /// know about the channel's state *prior to our payment* (i.e. what we assume is "steady + /// state"), we allow the caller to set an offset applied to our liquidity bounds which + /// represents the amount of the successful payment we just made. + fn update_history_buckets(&mut self, bucket_offset_msat: u64) { + let half_lives = self.now.duration_since(*self.last_updated).as_secs() + .checked_div(self.decay_params.historical_no_updates_half_life.as_secs()) + .map(|v| v.try_into().unwrap_or(u32::max_value())).unwrap_or(u32::max_value()); + self.liquidity_history.min_liquidity_offset_history.time_decay_data(half_lives); + self.liquidity_history.max_liquidity_offset_history.time_decay_data(half_lives); + + let min_liquidity_offset_msat = self.decayed_offset_msat(*self.min_liquidity_offset_msat); + self.liquidity_history.min_liquidity_offset_history.track_datapoint( + min_liquidity_offset_msat + bucket_offset_msat, self.capacity_msat + ); + let max_liquidity_offset_msat = self.decayed_offset_msat(*self.max_liquidity_offset_msat); + self.liquidity_history.max_liquidity_offset_history.track_datapoint( + max_liquidity_offset_msat.saturating_sub(bucket_offset_msat), self.capacity_msat + ); } /// Adjusts the lower bound of the channel liquidity balance in this direction. @@ -875,65 +1340,96 @@ impl, T: Time, U: DerefMut> DirectedChanne } } -impl, L: Deref, T: Time> Score for ProbabilisticScorerUsingTime where L::Target: Logger { +impl>, L: Deref, T: Time> ScoreLookUp for ProbabilisticScorerUsingTime where L::Target: Logger { + type ScoreParams = ProbabilisticScoringFeeParameters; fn channel_penalty_msat( - &self, short_channel_id: u64, amount_msat: u64, capacity_msat: u64, source: &NodeId, - target: &NodeId + &self, short_channel_id: u64, source: &NodeId, target: &NodeId, usage: ChannelUsage, score_params: &ProbabilisticScoringFeeParameters ) -> u64 { - let liquidity_offset_half_life = self.params.liquidity_offset_half_life; + if let Some(penalty) = score_params.manual_node_penalties.get(target) { + return *penalty; + } + + let base_penalty_msat = score_params.base_penalty_msat.saturating_add( + score_params.base_penalty_amount_multiplier_msat + .saturating_mul(usage.amount_msat) / BASE_AMOUNT_PENALTY_DIVISOR); + + let mut anti_probing_penalty_msat = 0; + match usage.effective_capacity { + EffectiveCapacity::ExactLiquidity { liquidity_msat: amount_msat } | + EffectiveCapacity::HintMaxHTLC { amount_msat } => + { + if usage.amount_msat > amount_msat { + return u64::max_value(); + } else { + return base_penalty_msat; + } + }, + EffectiveCapacity::Total { capacity_msat, htlc_maximum_msat } => { + if htlc_maximum_msat >= capacity_msat/2 { + anti_probing_penalty_msat = score_params.anti_probing_penalty_msat; + } + }, + _ => {}, + } + + let amount_msat = usage.amount_msat.saturating_add(usage.inflight_htlc_msat); + let capacity_msat = usage.effective_capacity.as_msat(); self.channel_liquidities .get(&short_channel_id) .unwrap_or(&ChannelLiquidity::new()) - .as_directed(source, target, capacity_msat, liquidity_offset_half_life) - .penalty_msat(amount_msat, self.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) } +} - fn payment_path_failed(&mut self, path: &[&RouteHop], short_channel_id: u64) { - let amount_msat = path.split_last().map(|(hop, _)| hop.fee_msat).unwrap_or(0); - let liquidity_offset_half_life = self.params.liquidity_offset_half_life; +impl>, L: Deref, T: Time> ScoreUpdate for ProbabilisticScorerUsingTime where L::Target: Logger { + fn payment_path_failed(&mut self, path: &Path, short_channel_id: u64) { + let amount_msat = path.final_value_msat(); log_trace!(self.logger, "Scoring path through to SCID {} as having failed at {} msat", short_channel_id, amount_msat); let network_graph = self.network_graph.read_only(); - for (hop_idx, hop) in path.iter().enumerate() { + for (hop_idx, hop) in path.hops.iter().enumerate() { let target = NodeId::from_pubkey(&hop.pubkey); let channel_directed_from_source = network_graph.channels() .get(&hop.short_channel_id) .and_then(|channel| channel.as_directed_to(&target)); - if hop.short_channel_id == short_channel_id && hop_idx == 0 { + let at_failed_channel = hop.short_channel_id == short_channel_id; + if at_failed_channel && hop_idx == 0 { log_warn!(self.logger, "Payment failed at the first hop - we do not attempt to learn channel info in such cases as we can directly observe local state.\n\tBecause we know the local state, we should generally not see failures here - this may be an indication that your channel peer on channel {} is broken and you may wish to close the channel.", hop.short_channel_id); } // Only score announced channels. if let Some((channel, source)) = channel_directed_from_source { let capacity_msat = channel.effective_capacity().as_msat(); - if hop.short_channel_id == short_channel_id { + if at_failed_channel { self.channel_liquidities .entry(hop.short_channel_id) .or_insert_with(ChannelLiquidity::new) - .as_directed_mut(source, &target, capacity_msat, liquidity_offset_half_life) + .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); - break; + } else { + self.channel_liquidities + .entry(hop.short_channel_id) + .or_insert_with(ChannelLiquidity::new) + .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); } - - self.channel_liquidities - .entry(hop.short_channel_id) - .or_insert_with(ChannelLiquidity::new) - .as_directed_mut(source, &target, capacity_msat, liquidity_offset_half_life) - .failed_downstream(amount_msat, format_args!("SCID {}, towards {:?}", hop.short_channel_id, target), &self.logger); } else { log_debug!(self.logger, "Not able to penalize channel with SCID {} as we do not have graph info for it (likely a route-hint last-hop).", hop.short_channel_id); } + if at_failed_channel { break; } } } - fn payment_path_successful(&mut self, path: &[&RouteHop]) { - let amount_msat = path.split_last().map(|(hop, _)| hop.fee_msat).unwrap_or(0); - let liquidity_offset_half_life = self.params.liquidity_offset_half_life; + fn payment_path_successful(&mut self, path: &Path) { + let amount_msat = path.final_value_msat(); log_trace!(self.logger, "Scoring path through SCID {} as having succeeded at {} msat.", - path.split_last().map(|(hop, _)| hop.short_channel_id).unwrap_or(0), amount_msat); + path.hops.split_last().map(|(hop, _)| hop.short_channel_id).unwrap_or(0), amount_msat); let network_graph = self.network_graph.read_only(); - for hop in path { + for hop in &path.hops { let target = NodeId::from_pubkey(&hop.pubkey); let channel_directed_from_source = network_graph.channels() .get(&hop.short_channel_id) @@ -945,7 +1441,7 @@ impl, L: Deref, T: Time> Score for Probabilistic self.channel_liquidities .entry(hop.short_channel_id) .or_insert_with(ChannelLiquidity::new) - .as_directed_mut(source, &target, capacity_msat, liquidity_offset_half_life) + .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).", @@ -953,8 +1449,20 @@ impl, L: Deref, T: Time> Score for Probabilistic } } } + + fn probe_failed(&mut self, path: &Path, short_channel_id: u64) { + self.payment_path_failed(path, short_channel_id) + } + + fn probe_successful(&mut self, path: &Path) { + self.payment_path_failed(path, u64::max_value()) + } } +#[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; @@ -1265,29 +1773,317 @@ mod approx { } } -impl, L: Deref, T: Time> Writeable for ProbabilisticScorerUsingTime where L::Target: Logger { +mod bucketed_history { + use super::*; + + // Because liquidity is often skewed heavily in one direction, we store historical state + // distribution in buckets of different size. For backwards compatibility, buckets of size 1/8th + // must fit evenly into the buckets here. + // + // The smallest bucket is 2^-14th of the channel, for each of our 32 buckets here we define the + // width of the bucket in 2^14'ths of the channel. This increases exponentially until we reach + // a full 16th of the channel's capacity, which is reapeated a few times for backwards + // compatibility. The four middle buckets represent full octiles of the channel's capacity. + // + // For a 1 BTC channel, this let's us differentiate between failures in the bottom 6k sats, or + // between the 12,000th sat and 24,000th sat, while only needing to store and operate on 32 + // buckets in total. + + const BUCKET_START_POS: [u16; 33] = [ + 0, 1, 2, 4, 8, 16, 32, 64, 128, 256, 512, 1024, 2048, 3072, 4096, 6144, 8192, 10240, 12288, + 13312, 14336, 15360, 15872, 16128, 16256, 16320, 16352, 16368, 16376, 16380, 16382, 16383, 16384, + ]; + + const LEGACY_TO_BUCKET_RANGE: [(u8, u8); 8] = [ + (0, 12), (12, 14), (14, 15), (15, 16), (16, 17), (17, 18), (18, 20), (20, 32) + ]; + + const POSITION_TICKS: u16 = 1 << 14; + + fn pos_to_bucket(pos: u16) -> usize { + for bucket in 0..32 { + if pos < BUCKET_START_POS[bucket + 1] { + return bucket; + } + } + debug_assert!(false); + return 32; + } + + #[cfg(test)] + #[test] + fn check_bucket_maps() { + const BUCKET_WIDTH_IN_16384S: [u16; 32] = [ + 1, 1, 2, 4, 8, 16, 32, 64, 128, 256, 512, 1024, 1024, 1024, 2048, 2048, + 2048, 2048, 1024, 1024, 1024, 512, 256, 128, 64, 32, 16, 8, 4, 2, 1, 1]; + + let mut min_size_iter = 0; + let mut legacy_bucket_iter = 0; + for (bucket, width) in BUCKET_WIDTH_IN_16384S.iter().enumerate() { + assert_eq!(BUCKET_START_POS[bucket], min_size_iter); + for i in 0..*width { + assert_eq!(pos_to_bucket(min_size_iter + i) as usize, bucket); + } + min_size_iter += *width; + if min_size_iter % (POSITION_TICKS / 8) == 0 { + assert_eq!(LEGACY_TO_BUCKET_RANGE[legacy_bucket_iter].1 as usize, bucket + 1); + if legacy_bucket_iter + 1 < 8 { + assert_eq!(LEGACY_TO_BUCKET_RANGE[legacy_bucket_iter + 1].0 as usize, bucket + 1); + } + legacy_bucket_iter += 1; + } + } + assert_eq!(BUCKET_START_POS[32], POSITION_TICKS); + assert_eq!(min_size_iter, POSITION_TICKS); + } + + #[inline] + fn amount_to_pos(amount_msat: u64, capacity_msat: u64) -> u16 { + let pos = if amount_msat < u64::max_value() / (POSITION_TICKS as u64) { + (amount_msat * (POSITION_TICKS as u64) / capacity_msat.saturating_add(1)) + .try_into().unwrap_or(POSITION_TICKS) + } else { + // Only use 128-bit arithmetic when multiplication will overflow to avoid 128-bit + // division. This branch should only be hit in fuzz testing since the amount would + // need to be over 2.88 million BTC in practice. + ((amount_msat as u128) * (POSITION_TICKS as u128) + / (capacity_msat as u128).saturating_add(1)) + .try_into().unwrap_or(POSITION_TICKS) + }; + // If we are running in a client that doesn't validate gossip, its possible for a channel's + // capacity to change due to a `channel_update` message which, if received while a payment + // is in-flight, could cause this to fail. Thus, we only assert in test. + #[cfg(test)] + debug_assert!(pos < POSITION_TICKS); + pos + } + + /// Prior to LDK 0.0.117 we used eight buckets which were split evenly across the either + /// octiles. This was changed to use 32 buckets for accuracy reasons in 0.0.117, however we + /// support reading the legacy values here for backwards compatibility. + pub(super) struct LegacyHistoricalBucketRangeTracker { + buckets: [u16; 8], + } + + impl LegacyHistoricalBucketRangeTracker { + pub(crate) fn into_current(&self) -> HistoricalBucketRangeTracker { + let mut buckets = [0; 32]; + for (idx, legacy_bucket) in self.buckets.iter().enumerate() { + let mut new_val = *legacy_bucket; + let (start, end) = LEGACY_TO_BUCKET_RANGE[idx]; + new_val /= (end - start) as u16; + for i in start..end { + buckets[i as usize] = new_val; + } + } + HistoricalBucketRangeTracker { buckets } + } + } + + /// Tracks the historical state of a distribution as a weighted average of how much time was spent + /// in each of 32 buckets. + #[derive(Clone, Copy)] + pub(super) struct HistoricalBucketRangeTracker { + buckets: [u16; 32], + } + + /// Buckets are stored in fixed point numbers with a 5 bit fractional part. Thus, the value + /// "one" is 32, or this constant. + pub const BUCKET_FIXED_POINT_ONE: u16 = 32; + + impl HistoricalBucketRangeTracker { + pub(super) fn new() -> Self { Self { buckets: [0; 32] } } + pub(super) fn track_datapoint(&mut self, liquidity_offset_msat: u64, capacity_msat: u64) { + // We have 32 leaky buckets for min and max liquidity. Each bucket tracks the amount of time + // we spend in each bucket as a 16-bit fixed-point number with a 5 bit fractional part. + // + // Each time we update our liquidity estimate, we add 32 (1.0 in our fixed-point system) to + // the buckets for the current min and max liquidity offset positions. + // + // We then decay each bucket by multiplying by 2047/2048 (avoiding dividing by a + // non-power-of-two). This ensures we can't actually overflow the u16 - when we get to + // 63,457 adding 32 and decaying by 2047/2048 leaves us back at 63,457. + // + // In total, this allows us to track data for the last 8,000 or so payments across a given + // channel. + // + // These constants are a balance - we try to fit in 2 bytes per bucket to reduce overhead, + // and need to balance having more bits in the decimal part (to ensure decay isn't too + // non-linear) with having too few bits in the mantissa, causing us to not store very many + // datapoints. + // + // The constants were picked experimentally, selecting a decay amount that restricts us + // from overflowing buckets without having to cap them manually. + + let pos: u16 = amount_to_pos(liquidity_offset_msat, capacity_msat); + if pos < POSITION_TICKS { + for e in self.buckets.iter_mut() { + *e = ((*e as u32) * 2047 / 2048) as u16; + } + let bucket = pos_to_bucket(pos); + self.buckets[bucket] = self.buckets[bucket].saturating_add(BUCKET_FIXED_POINT_ONE); + } + } + /// Decay all buckets by the given number of half-lives. Used to more aggressively remove old + /// datapoints as we receive newer information. + #[inline] + pub(super) fn time_decay_data(&mut self, half_lives: u32) { + for e in self.buckets.iter_mut() { + *e = e.checked_shr(half_lives).unwrap_or(0); + } + } + } + + impl_writeable_tlv_based!(HistoricalBucketRangeTracker, { (0, buckets, required) }); + impl_writeable_tlv_based!(LegacyHistoricalBucketRangeTracker, { (0, buckets, required) }); + + /// A set of buckets representing the history of where we've seen the minimum- and maximum- + /// liquidity bounds for a given channel. + pub(super) struct HistoricalMinMaxBuckets> { + /// Buckets tracking where and how often we've seen the minimum liquidity bound for a + /// channel. + pub(super) min_liquidity_offset_history: D, + /// Buckets tracking where and how often we've seen the maximum liquidity bound for a + /// channel. + pub(super) max_liquidity_offset_history: D, + } + + impl> HistoricalMinMaxBuckets { + pub(super) fn get_decayed_buckets(&self, now: T, last_updated: T, half_life: Duration) + -> Option<([u16; 32], [u16; 32])> { + let (_, required_decays) = self.get_total_valid_points(now, last_updated, half_life)?; + + 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); + Some((min_buckets.buckets, max_buckets.buckets)) + } + #[inline] + pub(super) fn get_total_valid_points(&self, now: T, last_updated: T, half_life: Duration) + -> Option<(u64, 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 total_valid_points_tracked = 0; + for (min_idx, min_bucket) in self.min_liquidity_offset_history.buckets.iter().enumerate() { + for max_bucket in self.max_liquidity_offset_history.buckets.iter().take(32 - min_idx) { + total_valid_points_tracked += (*min_bucket as u64) * (*max_bucket as u64); + } + } + + // 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. + const FULLY_DECAYED: u16 = BUCKET_FIXED_POINT_ONE * BUCKET_FIXED_POINT_ONE; + if total_valid_points_tracked.checked_shr(required_decays).unwrap_or(0) < FULLY_DECAYED.into() { + return None; + } + + Some((total_valid_points_tracked, required_decays)) + } + + #[inline] + pub(super) fn calculate_success_probability_times_billion( + &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 + // (where min_idx < max_idx, as having a minimum above our maximum is an invalid + // state). For each pair, we calculate the probability as if the bucket's corresponding + // min- and max- liquidity bounds were our current liquidity bounds and then multiply + // that probability by the weight of the selected buckets. + let payment_pos = amount_to_pos(amount_msat, capacity_msat); + if payment_pos >= POSITION_TICKS { return None; } + + // 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 (total_valid_points_tracked, _) + = self.get_total_valid_points(now, last_updated, half_life)?; + + let mut cumulative_success_prob_times_billion = 0; + // Special-case the 0th min bucket - it generally means we failed a payment, so only + // consider the highest (i.e. largest-offset-from-max-capacity) max bucket for all + // points against the 0th min bucket. This avoids the case where we fail to route + // increasingly lower values over a channel, but treat each failure as a separate + // datapoint, many of which may have relatively high maximum-available-liquidity + // values, which will result in us thinking we have some nontrivial probability of + // routing up to that amount. + if self.min_liquidity_offset_history.buckets[0] != 0 { + let mut highest_max_bucket_with_points = 0; // The highest max-bucket with any data + let mut total_max_points = 0; // Total points in max-buckets to consider + for (max_idx, max_bucket) in self.max_liquidity_offset_history.buckets.iter().enumerate() { + if *max_bucket >= BUCKET_FIXED_POINT_ONE { + highest_max_bucket_with_points = cmp::max(highest_max_bucket_with_points, max_idx); + } + total_max_points += *max_bucket as u64; + } + 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 * + numerator / denominator; + } + } + + for (min_idx, min_bucket) in self.min_liquidity_offset_history.buckets.iter().enumerate().skip(1) { + let min_bucket_start_pos = BUCKET_START_POS[min_idx]; + for (max_idx, max_bucket) in self.max_liquidity_offset_history.buckets.iter().enumerate().take(32 - min_idx) { + let max_bucket_end_pos = BUCKET_START_POS[32 - max_idx] - 1; + // Note that this multiply can only barely not overflow - two 16 bit ints plus + // 30 bits is 62 bits. + let bucket_prob_times_billion = (*min_bucket as u64) * (*max_bucket as u64) + * 1024 * 1024 * 1024 / total_valid_points_tracked; + if payment_pos >= max_bucket_end_pos { + // Success probability 0, the payment amount may be above the max liquidity + break; + } 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 * + numerator / denominator; + } + } + } + + Some(cumulative_success_prob_times_billion) + } + } +} +use bucketed_history::{LegacyHistoricalBucketRangeTracker, HistoricalBucketRangeTracker, HistoricalMinMaxBuckets}; + +impl>, L: Deref, T: Time> Writeable for ProbabilisticScorerUsingTime where L::Target: Logger { #[inline] fn write(&self, w: &mut W) -> Result<(), io::Error> { write_tlv_fields!(w, { - (0, self.channel_liquidities, required) + (0, self.channel_liquidities, required), }); Ok(()) } } -impl, L: Deref, T: Time> -ReadableArgs<(ProbabilisticScoringParameters, G, L)> for ProbabilisticScorerUsingTime where L::Target: Logger { +impl>, L: Deref, T: Time> +ReadableArgs<(ProbabilisticScoringDecayParameters, G, L)> for ProbabilisticScorerUsingTime where L::Target: Logger { #[inline] fn read( - r: &mut R, args: (ProbabilisticScoringParameters, G, L) + r: &mut R, args: (ProbabilisticScoringDecayParameters, G, L) ) -> Result { - let (params, network_graph, logger) = args; + let (decay_params, network_graph, logger) = args; let mut channel_liquidities = HashMap::new(); read_tlv_fields!(r, { - (0, channel_liquidities, required) + (0, channel_liquidities, required), }); Ok(Self { - params, + decay_params, network_graph, logger, channel_liquidities, @@ -1301,8 +2097,12 @@ impl Writeable for ChannelLiquidity { let duration_since_epoch = T::duration_since_epoch() - self.last_updated.elapsed(); write_tlv_fields!(w, { (0, self.min_liquidity_offset_msat, required), + // 1 was the min_liquidity_offset_history in octile form (2, self.max_liquidity_offset_msat, required), + // 3 was the max_liquidity_offset_history in octile form (4, duration_since_epoch, required), + (5, Some(self.min_liquidity_offset_history), option), + (7, Some(self.max_liquidity_offset_history), option), }); Ok(()) } @@ -1313,187 +2113,79 @@ impl Readable for ChannelLiquidity { fn read(r: &mut R) -> Result { let mut min_liquidity_offset_msat = 0; let mut max_liquidity_offset_msat = 0; + let mut legacy_min_liq_offset_history: Option = None; + let mut legacy_max_liq_offset_history: Option = None; + let mut min_liquidity_offset_history: Option = None; + let mut max_liquidity_offset_history: Option = None; let mut duration_since_epoch = Duration::from_secs(0); read_tlv_fields!(r, { (0, min_liquidity_offset_msat, required), + (1, legacy_min_liq_offset_history, option), (2, max_liquidity_offset_msat, required), + (3, legacy_max_liq_offset_history, option), (4, duration_since_epoch, required), + (5, min_liquidity_offset_history, option), + (7, max_liquidity_offset_history, option), }); - Ok(Self { - min_liquidity_offset_msat, - max_liquidity_offset_msat, - last_updated: T::now() - (T::duration_since_epoch() - duration_since_epoch), - }) - } -} - -pub(crate) mod time { - use core::ops::Sub; - use core::time::Duration; - /// A measurement of time. - pub trait Time: Copy + Sub where Self: Sized { - /// Returns an instance corresponding to the current moment. - fn now() -> Self; - - /// Returns the amount of time elapsed since `self` was created. - fn elapsed(&self) -> Duration; - - /// Returns the amount of time passed between `earlier` and `self`. - fn duration_since(&self, earlier: Self) -> Duration; - - /// Returns the amount of time passed since the beginning of [`Time`]. - /// - /// Used during (de-)serialization. - fn duration_since_epoch() -> Duration; - } - - /// A state in which time has no meaning. - #[derive(Clone, Copy, Debug, PartialEq, Eq)] - pub struct Eternity; - - #[cfg(not(feature = "no-std"))] - impl Time for std::time::Instant { - fn now() -> Self { - std::time::Instant::now() - } - - fn duration_since(&self, earlier: Self) -> Duration { - self.duration_since(earlier) - } - - fn duration_since_epoch() -> Duration { - use std::time::SystemTime; - SystemTime::now().duration_since(SystemTime::UNIX_EPOCH).unwrap() - } - - fn elapsed(&self) -> Duration { - std::time::Instant::elapsed(self) - } - } - - impl Time for Eternity { - fn now() -> Self { - Self - } - - fn duration_since(&self, _earlier: Self) -> Duration { - Duration::from_secs(0) - } - - fn duration_since_epoch() -> Duration { - Duration::from_secs(0) - } - - fn elapsed(&self) -> Duration { - Duration::from_secs(0) - } - } - - impl Sub for Eternity { - type Output = Self; - - fn sub(self, _other: Duration) -> Self { - self - } - } -} - -pub(crate) use self::time::Time; - -#[cfg(test)] -mod tests { - use super::{ChannelLiquidity, ProbabilisticScoringParameters, ProbabilisticScorerUsingTime, ScoringParameters, ScorerUsingTime, Time}; - use super::time::Eternity; - - use ln::features::{ChannelFeatures, NodeFeatures}; - use ln::msgs::{ChannelAnnouncement, ChannelUpdate, OptionalField, UnsignedChannelAnnouncement, UnsignedChannelUpdate}; - use routing::scoring::Score; - use routing::network_graph::{NetworkGraph, NodeId}; - use routing::router::RouteHop; - use util::ser::{Readable, ReadableArgs, Writeable}; - use util::test_utils::TestLogger; - - use bitcoin::blockdata::constants::genesis_block; - use bitcoin::hashes::Hash; - use bitcoin::hashes::sha256d::Hash as Sha256dHash; - use bitcoin::network::constants::Network; - use bitcoin::secp256k1::{PublicKey, Secp256k1, SecretKey}; - use core::cell::Cell; - use core::ops::Sub; - use core::time::Duration; - use io; - - // `Time` tests - - /// Time that can be advanced manually in tests. - #[derive(Clone, Copy, Debug, PartialEq, Eq)] - struct SinceEpoch(Duration); - - impl SinceEpoch { - thread_local! { - static ELAPSED: Cell = core::cell::Cell::new(Duration::from_secs(0)); - } - - fn advance(duration: Duration) { - Self::ELAPSED.with(|elapsed| elapsed.set(elapsed.get() + duration)) - } - } - - impl Time for SinceEpoch { - fn now() -> Self { - Self(Self::duration_since_epoch()) - } - - fn duration_since(&self, earlier: Self) -> Duration { - self.0 - earlier.0 - } - - fn duration_since_epoch() -> Duration { - Self::ELAPSED.with(|elapsed| elapsed.get()) - } - - fn elapsed(&self) -> Duration { - Self::duration_since_epoch() - self.0 + // On rust prior to 1.60 `Instant::duration_since` will panic if time goes backwards. + // We write `last_updated` as wallclock time even though its ultimately an `Instant` (which + // is a time from a monotonic clock usually represented as an offset against boot time). + // Thus, we have to construct an `Instant` by subtracting the difference in wallclock time + // from the one that was written. However, because `Instant` can panic if we construct one + // in the future, we must handle wallclock time jumping backwards, which we do by simply + // using `Instant::now()` in that case. + let wall_clock_now = T::duration_since_epoch(); + let now = T::now(); + let last_updated = if wall_clock_now > duration_since_epoch { + now - (wall_clock_now - duration_since_epoch) + } else { now }; + if min_liquidity_offset_history.is_none() { + if let Some(legacy_buckets) = legacy_min_liq_offset_history { + min_liquidity_offset_history = Some(legacy_buckets.into_current()); + } else { + min_liquidity_offset_history = Some(HistoricalBucketRangeTracker::new()); + } } - } - - impl Sub for SinceEpoch { - type Output = Self; - - fn sub(self, other: Duration) -> Self { - Self(self.0 - other) + if max_liquidity_offset_history.is_none() { + if let Some(legacy_buckets) = legacy_max_liq_offset_history { + max_liquidity_offset_history = Some(legacy_buckets.into_current()); + } else { + max_liquidity_offset_history = Some(HistoricalBucketRangeTracker::new()); + } } + Ok(Self { + min_liquidity_offset_msat, + max_liquidity_offset_msat, + min_liquidity_offset_history: min_liquidity_offset_history.unwrap(), + max_liquidity_offset_history: max_liquidity_offset_history.unwrap(), + last_updated, + }) } +} - #[test] - fn time_passes_when_advanced() { - let now = SinceEpoch::now(); - assert_eq!(now.elapsed(), Duration::from_secs(0)); - - SinceEpoch::advance(Duration::from_secs(1)); - SinceEpoch::advance(Duration::from_secs(1)); - - let elapsed = now.elapsed(); - let later = SinceEpoch::now(); - - assert_eq!(elapsed, Duration::from_secs(2)); - assert_eq!(later - elapsed, now); - } - - #[test] - fn time_never_passes_in_an_eternity() { - let now = Eternity::now(); - let elapsed = now.elapsed(); - let later = Eternity::now(); - - assert_eq!(now.elapsed(), Duration::from_secs(0)); - assert_eq!(later - elapsed, now); - } - - // `Scorer` tests - - /// A scorer for testing with time that can be manually advanced. - type Scorer = ScorerUsingTime::; +#[cfg(test)] +mod tests { + use super::{ChannelLiquidity, HistoricalBucketRangeTracker, ProbabilisticScoringFeeParameters, ProbabilisticScoringDecayParameters, ProbabilisticScorerUsingTime}; + use crate::blinded_path::{BlindedHop, BlindedPath}; + use crate::util::config::UserConfig; + use crate::util::time::Time; + use crate::util::time::tests::SinceEpoch; + + use crate::ln::channelmanager; + use crate::ln::msgs::{ChannelAnnouncement, ChannelUpdate, UnsignedChannelAnnouncement, UnsignedChannelUpdate}; + use crate::routing::gossip::{EffectiveCapacity, NetworkGraph, NodeId}; + use crate::routing::router::{BlindedTail, Path, RouteHop}; + use crate::routing::scoring::{ChannelUsage, ScoreLookUp, ScoreUpdate}; + use crate::util::ser::{ReadableArgs, Writeable}; + use crate::util::test_utils::{self, TestLogger}; + + use bitcoin::blockdata::constants::ChainHash; + use bitcoin::hashes::Hash; + use bitcoin::hashes::sha256d::Hash as Sha256dHash; + use bitcoin::network::constants::Network; + use bitcoin::secp256k1::{PublicKey, Secp256k1, SecretKey}; + use core::time::Duration; + use crate::io; fn source_privkey() -> SecretKey { SecretKey::from_slice(&[42; 32]).unwrap() @@ -1521,242 +2213,10 @@ mod tests { NodeId::from_pubkey(&target_pubkey()) } - #[test] - fn penalizes_without_channel_failures() { - let scorer = Scorer::new(ScoringParameters { - base_penalty_msat: 1_000, - failure_penalty_msat: 512, - failure_penalty_half_life: Duration::from_secs(1), - overuse_penalty_start_1024th: 1024, - overuse_penalty_msat_per_1024th: 0, - }); - let source = source_node_id(); - let target = target_node_id(); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_000); - - SinceEpoch::advance(Duration::from_secs(1)); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_000); - } - - #[test] - fn accumulates_channel_failure_penalties() { - let mut scorer = Scorer::new(ScoringParameters { - base_penalty_msat: 1_000, - failure_penalty_msat: 64, - failure_penalty_half_life: Duration::from_secs(10), - overuse_penalty_start_1024th: 1024, - overuse_penalty_msat_per_1024th: 0, - }); - let source = source_node_id(); - let target = target_node_id(); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_000); - - scorer.payment_path_failed(&[], 42); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_064); - - scorer.payment_path_failed(&[], 42); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_128); - - scorer.payment_path_failed(&[], 42); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_192); - } - - #[test] - fn decays_channel_failure_penalties_over_time() { - let mut scorer = Scorer::new(ScoringParameters { - base_penalty_msat: 1_000, - failure_penalty_msat: 512, - failure_penalty_half_life: Duration::from_secs(10), - overuse_penalty_start_1024th: 1024, - overuse_penalty_msat_per_1024th: 0, - }); - let source = source_node_id(); - let target = target_node_id(); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_000); - - scorer.payment_path_failed(&[], 42); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_512); - - SinceEpoch::advance(Duration::from_secs(9)); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_512); - - SinceEpoch::advance(Duration::from_secs(1)); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_256); - - SinceEpoch::advance(Duration::from_secs(10 * 8)); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_001); - - SinceEpoch::advance(Duration::from_secs(10)); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_000); - - SinceEpoch::advance(Duration::from_secs(10)); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_000); - } - - #[test] - fn decays_channel_failure_penalties_without_shift_overflow() { - let mut scorer = Scorer::new(ScoringParameters { - base_penalty_msat: 1_000, - failure_penalty_msat: 512, - failure_penalty_half_life: Duration::from_secs(10), - overuse_penalty_start_1024th: 1024, - overuse_penalty_msat_per_1024th: 0, - }); - let source = source_node_id(); - let target = target_node_id(); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_000); - - scorer.payment_path_failed(&[], 42); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_512); - - // An unchecked right shift 64 bits or more in ChannelFailure::decayed_penalty_msat would - // cause an overflow. - SinceEpoch::advance(Duration::from_secs(10 * 64)); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_000); - - SinceEpoch::advance(Duration::from_secs(10)); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_000); - } - - #[test] - fn accumulates_channel_failure_penalties_after_decay() { - let mut scorer = Scorer::new(ScoringParameters { - base_penalty_msat: 1_000, - failure_penalty_msat: 512, - failure_penalty_half_life: Duration::from_secs(10), - overuse_penalty_start_1024th: 1024, - overuse_penalty_msat_per_1024th: 0, - }); - let source = source_node_id(); - let target = target_node_id(); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_000); - - scorer.payment_path_failed(&[], 42); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_512); - - SinceEpoch::advance(Duration::from_secs(10)); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_256); - - scorer.payment_path_failed(&[], 42); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_768); - - SinceEpoch::advance(Duration::from_secs(10)); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_384); - } - - #[test] - fn reduces_channel_failure_penalties_after_success() { - let mut scorer = Scorer::new(ScoringParameters { - base_penalty_msat: 1_000, - failure_penalty_msat: 512, - failure_penalty_half_life: Duration::from_secs(10), - overuse_penalty_start_1024th: 1024, - overuse_penalty_msat_per_1024th: 0, - }); - let source = source_node_id(); - let target = target_node_id(); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_000); - - scorer.payment_path_failed(&[], 42); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_512); - - SinceEpoch::advance(Duration::from_secs(10)); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_256); - - let hop = RouteHop { - pubkey: PublicKey::from_slice(target.as_slice()).unwrap(), - node_features: NodeFeatures::known(), - short_channel_id: 42, - channel_features: ChannelFeatures::known(), - fee_msat: 1, - cltv_expiry_delta: 18, - }; - scorer.payment_path_successful(&[&hop]); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_128); - - SinceEpoch::advance(Duration::from_secs(10)); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_064); - } - - #[test] - fn restores_persisted_channel_failure_penalties() { - let mut scorer = Scorer::new(ScoringParameters { - base_penalty_msat: 1_000, - failure_penalty_msat: 512, - failure_penalty_half_life: Duration::from_secs(10), - overuse_penalty_start_1024th: 1024, - overuse_penalty_msat_per_1024th: 0, - }); - let source = source_node_id(); - let target = target_node_id(); - - scorer.payment_path_failed(&[], 42); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_512); - - SinceEpoch::advance(Duration::from_secs(10)); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_256); - - scorer.payment_path_failed(&[], 43); - assert_eq!(scorer.channel_penalty_msat(43, 1, 1, &source, &target), 1_512); - - let mut serialized_scorer = Vec::new(); - scorer.write(&mut serialized_scorer).unwrap(); - - let deserialized_scorer = ::read(&mut io::Cursor::new(&serialized_scorer)).unwrap(); - assert_eq!(deserialized_scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_256); - assert_eq!(deserialized_scorer.channel_penalty_msat(43, 1, 1, &source, &target), 1_512); - } - - #[test] - fn decays_persisted_channel_failure_penalties() { - let mut scorer = Scorer::new(ScoringParameters { - base_penalty_msat: 1_000, - failure_penalty_msat: 512, - failure_penalty_half_life: Duration::from_secs(10), - overuse_penalty_start_1024th: 1024, - overuse_penalty_msat_per_1024th: 0, - }); - let source = source_node_id(); - let target = target_node_id(); - - scorer.payment_path_failed(&[], 42); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_512); - - let mut serialized_scorer = Vec::new(); - scorer.write(&mut serialized_scorer).unwrap(); - - SinceEpoch::advance(Duration::from_secs(10)); - - let deserialized_scorer = ::read(&mut io::Cursor::new(&serialized_scorer)).unwrap(); - assert_eq!(deserialized_scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_256); - - SinceEpoch::advance(Duration::from_secs(10)); - assert_eq!(deserialized_scorer.channel_penalty_msat(42, 1, 1, &source, &target), 1_128); - } - - #[test] - fn charges_per_1024th_penalty() { - let scorer = Scorer::new(ScoringParameters { - base_penalty_msat: 0, - failure_penalty_msat: 0, - failure_penalty_half_life: Duration::from_secs(0), - overuse_penalty_start_1024th: 256, - overuse_penalty_msat_per_1024th: 100, - }); - let source = source_node_id(); - let target = target_node_id(); - - assert_eq!(scorer.channel_penalty_msat(42, 1_000, 1_024_000, &source, &target), 0); - assert_eq!(scorer.channel_penalty_msat(42, 256_999, 1_024_000, &source, &target), 0); - assert_eq!(scorer.channel_penalty_msat(42, 257_000, 1_024_000, &source, &target), 100); - assert_eq!(scorer.channel_penalty_msat(42, 258_000, 1_024_000, &source, &target), 200); - assert_eq!(scorer.channel_penalty_msat(42, 512_000, 1_024_000, &source, &target), 256 * 100); - } - // `ProbabilisticScorer` tests /// A probabilistic scorer for testing with time that can be manually advanced. - type ProbabilisticScorer<'a> = ProbabilisticScorerUsingTime::<&'a NetworkGraph, &'a TestLogger, SinceEpoch>; + type ProbabilisticScorer<'a> = ProbabilisticScorerUsingTime::<&'a NetworkGraph<&'a TestLogger>, &'a TestLogger, SinceEpoch>; fn sender_privkey() -> SecretKey { SecretKey::from_slice(&[41; 32]).unwrap() @@ -1784,9 +2244,8 @@ mod tests { NodeId::from_pubkey(&recipient_pubkey()) } - fn network_graph() -> NetworkGraph { - let genesis_hash = genesis_block(Network::Testnet).header.block_hash(); - let mut network_graph = NetworkGraph::new(genesis_hash); + fn network_graph(logger: &TestLogger) -> NetworkGraph<&TestLogger> { + let mut network_graph = NetworkGraph::new(Network::Testnet, logger); add_channel(&mut network_graph, 42, source_privkey(), target_privkey()); add_channel(&mut network_graph, 43, target_privkey(), recipient_privkey()); @@ -1794,21 +2253,21 @@ mod tests { } fn add_channel( - network_graph: &mut NetworkGraph, short_channel_id: u64, node_1_key: SecretKey, + 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(); let unsigned_announcement = UnsignedChannelAnnouncement { - features: ChannelFeatures::known(), + features: channelmanager::provided_channel_features(&UserConfig::default()), chain_hash: genesis_hash, short_channel_id, - node_id_1: PublicKey::from_secret_key(&secp_ctx, &node_1_key), - node_id_2: PublicKey::from_secret_key(&secp_ctx, &node_2_key), - bitcoin_key_1: PublicKey::from_secret_key(&secp_ctx, &node_1_secret), - bitcoin_key_2: PublicKey::from_secret_key(&secp_ctx, &node_2_secret), + node_id_1: NodeId::from_pubkey(&PublicKey::from_secret_key(&secp_ctx, &node_1_key)), + node_id_2: NodeId::from_pubkey(&PublicKey::from_secret_key(&secp_ctx, &node_2_key)), + bitcoin_key_1: NodeId::from_pubkey(&PublicKey::from_secret_key(&secp_ctx, &node_1_secret)), + bitcoin_key_2: NodeId::from_pubkey(&PublicKey::from_secret_key(&secp_ctx, &node_2_secret)), excess_data: Vec::new(), }; let msghash = hash_to_message!(&Sha256dHash::hash(&unsigned_announcement.encode()[..])[..]); @@ -1819,26 +2278,27 @@ mod tests { bitcoin_signature_2: secp_ctx.sign_ecdsa(&msghash, &node_2_secret), contents: unsigned_announcement, }; - let chain_source: Option<&::util::test_utils::TestChainSource> = None; + let chain_source: Option<&crate::util::test_utils::TestChainSource> = None; network_graph.update_channel_from_announcement( - &signed_announcement, &chain_source, &secp_ctx).unwrap(); - update_channel(network_graph, short_channel_id, node_1_key, 0); - update_channel(network_graph, short_channel_id, node_2_key, 1); + &signed_announcement, &chain_source).unwrap(); + update_channel(network_graph, short_channel_id, node_1_key, 0, 1_000, 100); + update_channel(network_graph, short_channel_id, node_2_key, 1, 0, 100); } fn update_channel( - network_graph: &mut NetworkGraph, short_channel_id: u64, node_key: SecretKey, flags: u8 + 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, short_channel_id, - timestamp: 100, + timestamp, flags, cltv_expiry_delta: 18, htlc_minimum_msat: 0, - htlc_maximum_msat: OptionalField::Present(1_000), + htlc_maximum_msat, fee_base_msat: 1, fee_proportional_millionths: 0, excess_data: Vec::new(), @@ -1848,52 +2308,50 @@ mod tests { signature: secp_ctx.sign_ecdsa(&msghash, &node_key), contents: unsigned_update, }; - network_graph.update_channel(&signed_update, &secp_ctx).unwrap(); + network_graph.update_channel(&signed_update).unwrap(); } - fn payment_path_for_amount(amount_msat: u64) -> Vec { - vec![ - RouteHop { - pubkey: source_pubkey(), - node_features: NodeFeatures::known(), - short_channel_id: 41, - channel_features: ChannelFeatures::known(), - fee_msat: 1, - cltv_expiry_delta: 18, - }, - RouteHop { - pubkey: target_pubkey(), - node_features: NodeFeatures::known(), - short_channel_id: 42, - channel_features: ChannelFeatures::known(), - fee_msat: 2, - cltv_expiry_delta: 18, - }, - RouteHop { - pubkey: recipient_pubkey(), - node_features: NodeFeatures::known(), - short_channel_id: 43, - channel_features: ChannelFeatures::known(), - fee_msat: amount_msat, - cltv_expiry_delta: 18, - }, - ] + fn path_hop(pubkey: PublicKey, short_channel_id: u64, fee_msat: u64) -> RouteHop { + let config = UserConfig::default(); + RouteHop { + pubkey, + node_features: channelmanager::provided_node_features(&config), + short_channel_id, + channel_features: channelmanager::provided_channel_features(&config), + fee_msat, + cltv_expiry_delta: 18, + maybe_announced_channel: true, + } + } + + fn payment_path_for_amount(amount_msat: u64) -> Path { + Path { + hops: vec![ + path_hop(source_pubkey(), 41, 1), + path_hop(target_pubkey(), 42, 2), + path_hop(recipient_pubkey(), 43, amount_msat), + ], blinded_tail: None, + } } #[test] fn liquidity_bounds_directed_from_lowest_node_id() { let logger = TestLogger::new(); let last_updated = SinceEpoch::now(); - let network_graph = network_graph(); - let params = ProbabilisticScoringParameters::default(); - let mut scorer = ProbabilisticScorer::new(params, &network_graph, &logger) + let network_graph = network_graph(&logger); + let decay_params = ProbabilisticScoringDecayParameters::default(); + let mut scorer = ProbabilisticScorer::new(decay_params, &network_graph, &logger) .with_channel(42, ChannelLiquidity { - min_liquidity_offset_msat: 700, max_liquidity_offset_msat: 100, last_updated + min_liquidity_offset_msat: 700, max_liquidity_offset_msat: 100, last_updated, + min_liquidity_offset_history: HistoricalBucketRangeTracker::new(), + max_liquidity_offset_history: HistoricalBucketRangeTracker::new(), }) .with_channel(43, ChannelLiquidity { - min_liquidity_offset_msat: 700, max_liquidity_offset_msat: 100, last_updated + min_liquidity_offset_msat: 700, max_liquidity_offset_msat: 100, last_updated, + min_liquidity_offset_history: HistoricalBucketRangeTracker::new(), + max_liquidity_offset_history: HistoricalBucketRangeTracker::new(), }); let source = source_node_id(); let target = target_node_id(); @@ -1903,54 +2361,53 @@ mod tests { // Update minimum liquidity. - let liquidity_offset_half_life = scorer.params.liquidity_offset_half_life; let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&source, &target, 1_000, liquidity_offset_half_life); + .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, 1_000, liquidity_offset_half_life); + .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, 1_000, liquidity_offset_half_life) + .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, 1_000, liquidity_offset_half_life); + .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, 1_000, liquidity_offset_half_life); + .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, 1_000, liquidity_offset_half_life); + .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, 1_000, liquidity_offset_half_life); + .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, 1_000, liquidity_offset_half_life) + .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, 1_000, liquidity_offset_half_life); + .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, 1_000, liquidity_offset_half_life); + .as_directed(&recipient, &target, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 800); assert_eq!(liquidity.max_liquidity_msat(), 1000); } @@ -1959,56 +2416,57 @@ mod tests { fn resets_liquidity_upper_bound_when_crossed_by_lower_bound() { let logger = TestLogger::new(); let last_updated = SinceEpoch::now(); - let network_graph = network_graph(); - let params = ProbabilisticScoringParameters::default(); - let mut scorer = ProbabilisticScorer::new(params, &network_graph, &logger) + let network_graph = network_graph(&logger); + let decay_params = ProbabilisticScoringDecayParameters::default(); + let mut scorer = ProbabilisticScorer::new(decay_params, &network_graph, &logger) .with_channel(42, ChannelLiquidity { - min_liquidity_offset_msat: 200, max_liquidity_offset_msat: 400, last_updated + min_liquidity_offset_msat: 200, max_liquidity_offset_msat: 400, last_updated, + min_liquidity_offset_history: HistoricalBucketRangeTracker::new(), + max_liquidity_offset_history: HistoricalBucketRangeTracker::new(), }); let source = source_node_id(); let target = target_node_id(); assert!(source > target); // Check initial bounds. - let liquidity_offset_half_life = scorer.params.liquidity_offset_half_life; let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&source, &target, 1_000, liquidity_offset_half_life); + .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, 1_000, liquidity_offset_half_life); + .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, 1_000, liquidity_offset_half_life) + .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, 1_000, liquidity_offset_half_life); + .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, 1_000, liquidity_offset_half_life); + .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, 1_000, liquidity_offset_half_life) + .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, 1_000, liquidity_offset_half_life); + .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, 1_000, liquidity_offset_half_life); + .as_directed(&target, &source, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 400); assert_eq!(liquidity.max_liquidity_msat(), 1_000); } @@ -2017,56 +2475,57 @@ mod tests { fn resets_liquidity_lower_bound_when_crossed_by_upper_bound() { let logger = TestLogger::new(); let last_updated = SinceEpoch::now(); - let network_graph = network_graph(); - let params = ProbabilisticScoringParameters::default(); - let mut scorer = ProbabilisticScorer::new(params, &network_graph, &logger) + let network_graph = network_graph(&logger); + let decay_params = ProbabilisticScoringDecayParameters::default(); + let mut scorer = ProbabilisticScorer::new(decay_params, &network_graph, &logger) .with_channel(42, ChannelLiquidity { - min_liquidity_offset_msat: 200, max_liquidity_offset_msat: 400, last_updated + min_liquidity_offset_msat: 200, max_liquidity_offset_msat: 400, last_updated, + min_liquidity_offset_history: HistoricalBucketRangeTracker::new(), + max_liquidity_offset_history: HistoricalBucketRangeTracker::new(), }); let source = source_node_id(); let target = target_node_id(); assert!(source > target); // Check initial bounds. - let liquidity_offset_half_life = scorer.params.liquidity_offset_half_life; let liquidity = scorer.channel_liquidities.get(&42).unwrap() - .as_directed(&source, &target, 1_000, liquidity_offset_half_life); + .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, 1_000, liquidity_offset_half_life); + .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, 1_000, liquidity_offset_half_life) + .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, 1_000, liquidity_offset_half_life); + .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, 1_000, liquidity_offset_half_life); + .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, 1_000, liquidity_offset_half_life) + .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, 1_000, liquidity_offset_half_life); + .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, 1_000, liquidity_offset_half_life); + .as_directed(&target, &source, 1_000, decay_params); assert_eq!(liquidity.min_liquidity_msat(), 0); assert_eq!(liquidity.max_liquidity_msat(), 600); } @@ -2074,313 +2533,512 @@ mod tests { #[test] fn increased_penalty_nearing_liquidity_upper_bound() { let logger = TestLogger::new(); - let network_graph = network_graph(); - let params = ProbabilisticScoringParameters { + let network_graph = network_graph(&logger); + let params = ProbabilisticScoringFeeParameters { liquidity_penalty_multiplier_msat: 1_000, - ..ProbabilisticScoringParameters::zero_penalty() + ..ProbabilisticScoringFeeParameters::zero_penalty() }; - let scorer = ProbabilisticScorer::new(params, &network_graph, &logger); + let decay_params = ProbabilisticScoringDecayParameters::default(); + let scorer = ProbabilisticScorer::new(decay_params, &network_graph, &logger); let source = source_node_id(); let target = target_node_id(); - assert_eq!(scorer.channel_penalty_msat(42, 1_024, 1_024_000, &source, &target), 0); - assert_eq!(scorer.channel_penalty_msat(42, 10_240, 1_024_000, &source, &target), 0); - assert_eq!(scorer.channel_penalty_msat(42, 102_400, 1_024_000, &source, &target), 47); - assert_eq!(scorer.channel_penalty_msat(42, 1_024_000, 1_024_000, &source, &target), 2_000); - - assert_eq!(scorer.channel_penalty_msat(42, 128, 1_024, &source, &target), 58); - assert_eq!(scorer.channel_penalty_msat(42, 256, 1_024, &source, &target), 125); - assert_eq!(scorer.channel_penalty_msat(42, 374, 1_024, &source, &target), 198); - assert_eq!(scorer.channel_penalty_msat(42, 512, 1_024, &source, &target), 300); - assert_eq!(scorer.channel_penalty_msat(42, 640, 1_024, &source, &target), 425); - assert_eq!(scorer.channel_penalty_msat(42, 768, 1_024, &source, &target), 602); - assert_eq!(scorer.channel_penalty_msat(42, 896, 1_024, &source, &target), 902); + let usage = ChannelUsage { + amount_msat: 1_024, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_024_000, htlc_maximum_msat: 1_000 }, + }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0); + let usage = ChannelUsage { amount_msat: 10_240, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0); + let usage = ChannelUsage { amount_msat: 102_400, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 47); + let usage = ChannelUsage { amount_msat: 1_023_999, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 2_000); + + let usage = ChannelUsage { + amount_msat: 128, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_024, htlc_maximum_msat: 1_000 }, + }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 58); + let usage = ChannelUsage { amount_msat: 256, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 125); + let usage = ChannelUsage { amount_msat: 374, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 198); + let usage = ChannelUsage { amount_msat: 512, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 300); + let usage = ChannelUsage { amount_msat: 640, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 425); + let usage = ChannelUsage { amount_msat: 768, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 602); + let usage = ChannelUsage { amount_msat: 896, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 902); } #[test] fn constant_penalty_outside_liquidity_bounds() { let logger = TestLogger::new(); let last_updated = SinceEpoch::now(); - let network_graph = network_graph(); - let params = ProbabilisticScoringParameters { + let network_graph = network_graph(&logger); + let params = ProbabilisticScoringFeeParameters { liquidity_penalty_multiplier_msat: 1_000, - ..ProbabilisticScoringParameters::zero_penalty() + considered_impossible_penalty_msat: u64::max_value(), + ..ProbabilisticScoringFeeParameters::zero_penalty() }; - let scorer = ProbabilisticScorer::new(params, &network_graph, &logger) + let decay_params = ProbabilisticScoringDecayParameters { + ..ProbabilisticScoringDecayParameters::zero_penalty() + }; + let scorer = ProbabilisticScorer::new(decay_params, &network_graph, &logger) .with_channel(42, ChannelLiquidity { - min_liquidity_offset_msat: 40, max_liquidity_offset_msat: 40, last_updated + min_liquidity_offset_msat: 40, max_liquidity_offset_msat: 40, last_updated, + min_liquidity_offset_history: HistoricalBucketRangeTracker::new(), + max_liquidity_offset_history: HistoricalBucketRangeTracker::new(), }); let source = source_node_id(); let target = target_node_id(); - assert_eq!(scorer.channel_penalty_msat(42, 39, 100, &source, &target), 0); - assert_ne!(scorer.channel_penalty_msat(42, 50, 100, &source, &target), 0); - assert_ne!(scorer.channel_penalty_msat(42, 50, 100, &source, &target), u64::max_value()); - assert_eq!(scorer.channel_penalty_msat(42, 61, 100, &source, &target), u64::max_value()); + let usage = ChannelUsage { + amount_msat: 39, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 100, htlc_maximum_msat: 1_000 }, + }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0); + let usage = ChannelUsage { amount_msat: 50, ..usage }; + assert_ne!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0); + assert_ne!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), u64::max_value()); + let usage = ChannelUsage { amount_msat: 61, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), u64::max_value()); } #[test] fn does_not_further_penalize_own_channel() { let logger = TestLogger::new(); - let network_graph = network_graph(); - let params = ProbabilisticScoringParameters { + let network_graph = network_graph(&logger); + let params = ProbabilisticScoringFeeParameters { liquidity_penalty_multiplier_msat: 1_000, - ..ProbabilisticScoringParameters::zero_penalty() + ..ProbabilisticScoringFeeParameters::zero_penalty() }; - let mut scorer = ProbabilisticScorer::new(params, &network_graph, &logger); + let mut scorer = ProbabilisticScorer::new(ProbabilisticScoringDecayParameters::default(), &network_graph, &logger); let sender = sender_node_id(); let source = source_node_id(); + let usage = ChannelUsage { + amount_msat: 500, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_000, htlc_maximum_msat: 1_000 }, + }; let failed_path = payment_path_for_amount(500); let successful_path = payment_path_for_amount(200); - assert_eq!(scorer.channel_penalty_msat(41, 500, 1_000, &sender, &source), 301); + assert_eq!(scorer.channel_penalty_msat(41, &sender, &source, usage, ¶ms), 301); - scorer.payment_path_failed(&failed_path.iter().collect::>(), 41); - assert_eq!(scorer.channel_penalty_msat(41, 500, 1_000, &sender, &source), 301); + scorer.payment_path_failed(&failed_path, 41); + assert_eq!(scorer.channel_penalty_msat(41, &sender, &source, usage, ¶ms), 301); - scorer.payment_path_successful(&successful_path.iter().collect::>()); - assert_eq!(scorer.channel_penalty_msat(41, 500, 1_000, &sender, &source), 301); + scorer.payment_path_successful(&successful_path); + assert_eq!(scorer.channel_penalty_msat(41, &sender, &source, usage, ¶ms), 301); } #[test] fn sets_liquidity_lower_bound_on_downstream_failure() { let logger = TestLogger::new(); - let network_graph = network_graph(); - let params = ProbabilisticScoringParameters { + let network_graph = network_graph(&logger); + let params = ProbabilisticScoringFeeParameters { liquidity_penalty_multiplier_msat: 1_000, - ..ProbabilisticScoringParameters::zero_penalty() + ..ProbabilisticScoringFeeParameters::zero_penalty() }; - let mut scorer = ProbabilisticScorer::new(params, &network_graph, &logger); + let mut scorer = ProbabilisticScorer::new(ProbabilisticScoringDecayParameters::default(), &network_graph, &logger); let source = source_node_id(); let target = target_node_id(); let path = payment_path_for_amount(500); - assert_eq!(scorer.channel_penalty_msat(42, 250, 1_000, &source, &target), 128); - assert_eq!(scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), 301); - assert_eq!(scorer.channel_penalty_msat(42, 750, 1_000, &source, &target), 602); + let usage = ChannelUsage { + amount_msat: 250, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_000, htlc_maximum_msat: 1_000 }, + }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 128); + let usage = ChannelUsage { amount_msat: 500, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 301); + let usage = ChannelUsage { amount_msat: 750, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 602); - scorer.payment_path_failed(&path.iter().collect::>(), 43); + scorer.payment_path_failed(&path, 43); - assert_eq!(scorer.channel_penalty_msat(42, 250, 1_000, &source, &target), 0); - assert_eq!(scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), 0); - assert_eq!(scorer.channel_penalty_msat(42, 750, 1_000, &source, &target), 300); + let usage = ChannelUsage { amount_msat: 250, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0); + let usage = ChannelUsage { amount_msat: 500, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0); + let usage = ChannelUsage { amount_msat: 750, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 300); } #[test] fn sets_liquidity_upper_bound_on_failure() { let logger = TestLogger::new(); - let network_graph = network_graph(); - let params = ProbabilisticScoringParameters { + let network_graph = network_graph(&logger); + let params = ProbabilisticScoringFeeParameters { liquidity_penalty_multiplier_msat: 1_000, - ..ProbabilisticScoringParameters::zero_penalty() + considered_impossible_penalty_msat: u64::max_value(), + ..ProbabilisticScoringFeeParameters::zero_penalty() }; - let mut scorer = ProbabilisticScorer::new(params, &network_graph, &logger); + let mut scorer = ProbabilisticScorer::new(ProbabilisticScoringDecayParameters::default(), &network_graph, &logger); let source = source_node_id(); let target = target_node_id(); let path = payment_path_for_amount(500); - assert_eq!(scorer.channel_penalty_msat(42, 250, 1_000, &source, &target), 128); - assert_eq!(scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), 301); - assert_eq!(scorer.channel_penalty_msat(42, 750, 1_000, &source, &target), 602); + let usage = ChannelUsage { + amount_msat: 250, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_000, htlc_maximum_msat: 1_000 }, + }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 128); + let usage = ChannelUsage { amount_msat: 500, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 301); + let usage = ChannelUsage { amount_msat: 750, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 602); + + scorer.payment_path_failed(&path, 42); + + let usage = ChannelUsage { amount_msat: 250, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 300); + let usage = ChannelUsage { amount_msat: 500, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), u64::max_value()); + let usage = ChannelUsage { amount_msat: 750, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), u64::max_value()); + } + + #[test] + fn ignores_channels_after_removed_failed_channel() { + // Previously, if we'd tried to send over a channel which was removed from the network + // graph before we call `payment_path_failed` (which is the default if the we get a "no + // such channel" error in the `InvoicePayer`), we would call `failed_downstream` on all + // channels in the route, even ones which they payment never reached. This tests to ensure + // we do not score such channels. + let secp_ctx = Secp256k1::new(); + let logger = TestLogger::new(); + let mut network_graph = NetworkGraph::new(Network::Testnet, &logger); + let secret_a = SecretKey::from_slice(&[42; 32]).unwrap(); + let secret_b = SecretKey::from_slice(&[43; 32]).unwrap(); + let secret_c = SecretKey::from_slice(&[44; 32]).unwrap(); + let secret_d = SecretKey::from_slice(&[45; 32]).unwrap(); + add_channel(&mut network_graph, 42, secret_a, secret_b); + // Don't add the channel from B -> C. + add_channel(&mut network_graph, 44, secret_c, secret_d); + + let pub_a = PublicKey::from_secret_key(&secp_ctx, &secret_a); + let pub_b = PublicKey::from_secret_key(&secp_ctx, &secret_b); + let pub_c = PublicKey::from_secret_key(&secp_ctx, &secret_c); + let pub_d = PublicKey::from_secret_key(&secp_ctx, &secret_d); + + let path = vec![ + path_hop(pub_b, 42, 1), + path_hop(pub_c, 43, 2), + path_hop(pub_d, 44, 100), + ]; + + let node_a = NodeId::from_pubkey(&pub_a); + let node_b = NodeId::from_pubkey(&pub_b); + let node_c = NodeId::from_pubkey(&pub_c); + let node_d = NodeId::from_pubkey(&pub_d); + + let params = ProbabilisticScoringFeeParameters { + liquidity_penalty_multiplier_msat: 1_000, + ..ProbabilisticScoringFeeParameters::zero_penalty() + }; + let mut scorer = ProbabilisticScorer::new(ProbabilisticScoringDecayParameters::default(), &network_graph, &logger); + + let usage = ChannelUsage { + amount_msat: 250, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_000, htlc_maximum_msat: 1_000 }, + }; + assert_eq!(scorer.channel_penalty_msat(42, &node_a, &node_b, usage, ¶ms), 128); + // Note that a default liquidity bound is used for B -> C as no channel exists + assert_eq!(scorer.channel_penalty_msat(43, &node_b, &node_c, usage, ¶ms), 128); + assert_eq!(scorer.channel_penalty_msat(44, &node_c, &node_d, usage, ¶ms), 128); - scorer.payment_path_failed(&path.iter().collect::>(), 42); + scorer.payment_path_failed(&Path { hops: path, blinded_tail: None }, 43); - assert_eq!(scorer.channel_penalty_msat(42, 250, 1_000, &source, &target), 300); - assert_eq!(scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), u64::max_value()); - assert_eq!(scorer.channel_penalty_msat(42, 750, 1_000, &source, &target), u64::max_value()); + assert_eq!(scorer.channel_penalty_msat(42, &node_a, &node_b, usage, ¶ms), 80); + // Note that a default liquidity bound is used for B -> C as no channel exists + assert_eq!(scorer.channel_penalty_msat(43, &node_b, &node_c, usage, ¶ms), 128); + assert_eq!(scorer.channel_penalty_msat(44, &node_c, &node_d, usage, ¶ms), 128); } #[test] fn reduces_liquidity_upper_bound_along_path_on_success() { let logger = TestLogger::new(); - let network_graph = network_graph(); - let params = ProbabilisticScoringParameters { + let network_graph = network_graph(&logger); + let params = ProbabilisticScoringFeeParameters { liquidity_penalty_multiplier_msat: 1_000, - ..ProbabilisticScoringParameters::zero_penalty() + ..ProbabilisticScoringFeeParameters::zero_penalty() }; - let mut scorer = ProbabilisticScorer::new(params, &network_graph, &logger); + let mut scorer = ProbabilisticScorer::new(ProbabilisticScoringDecayParameters::default(), &network_graph, &logger); let sender = sender_node_id(); let source = source_node_id(); let target = target_node_id(); let recipient = recipient_node_id(); - let path = payment_path_for_amount(500); + let usage = ChannelUsage { + amount_msat: 250, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_000, htlc_maximum_msat: 1_000 }, + }; - assert_eq!(scorer.channel_penalty_msat(41, 250, 1_000, &sender, &source), 128); - assert_eq!(scorer.channel_penalty_msat(42, 250, 1_000, &source, &target), 128); - assert_eq!(scorer.channel_penalty_msat(43, 250, 1_000, &target, &recipient), 128); + assert_eq!(scorer.channel_penalty_msat(41, &sender, &source, usage, ¶ms), 128); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 128); + assert_eq!(scorer.channel_penalty_msat(43, &target, &recipient, usage, ¶ms), 128); - scorer.payment_path_successful(&path.iter().collect::>()); + scorer.payment_path_successful(&payment_path_for_amount(500)); - assert_eq!(scorer.channel_penalty_msat(41, 250, 1_000, &sender, &source), 128); - assert_eq!(scorer.channel_penalty_msat(42, 250, 1_000, &source, &target), 300); - assert_eq!(scorer.channel_penalty_msat(43, 250, 1_000, &target, &recipient), 300); + assert_eq!(scorer.channel_penalty_msat(41, &sender, &source, usage, ¶ms), 128); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 300); + assert_eq!(scorer.channel_penalty_msat(43, &target, &recipient, usage, ¶ms), 300); } #[test] fn decays_liquidity_bounds_over_time() { let logger = TestLogger::new(); - let network_graph = network_graph(); - let params = ProbabilisticScoringParameters { + let network_graph = network_graph(&logger); + let params = ProbabilisticScoringFeeParameters { liquidity_penalty_multiplier_msat: 1_000, + considered_impossible_penalty_msat: u64::max_value(), + ..ProbabilisticScoringFeeParameters::zero_penalty() + }; + let decay_params = ProbabilisticScoringDecayParameters { liquidity_offset_half_life: Duration::from_secs(10), - ..ProbabilisticScoringParameters::zero_penalty() + ..ProbabilisticScoringDecayParameters::zero_penalty() }; - let mut scorer = ProbabilisticScorer::new(params, &network_graph, &logger); + let mut scorer = ProbabilisticScorer::new(decay_params, &network_graph, &logger); let source = source_node_id(); let target = target_node_id(); - assert_eq!(scorer.channel_penalty_msat(42, 0, 1_024, &source, &target), 0); - assert_eq!(scorer.channel_penalty_msat(42, 1_024, 1_024, &source, &target), 2_000); - - scorer.payment_path_failed(&payment_path_for_amount(768).iter().collect::>(), 42); - scorer.payment_path_failed(&payment_path_for_amount(128).iter().collect::>(), 43); - - assert_eq!(scorer.channel_penalty_msat(42, 128, 1_024, &source, &target), 0); - assert_eq!(scorer.channel_penalty_msat(42, 256, 1_024, &source, &target), 93); - assert_eq!(scorer.channel_penalty_msat(42, 768, 1_024, &source, &target), 1_479); - assert_eq!(scorer.channel_penalty_msat(42, 896, 1_024, &source, &target), u64::max_value()); - - SinceEpoch::advance(Duration::from_secs(9)); - assert_eq!(scorer.channel_penalty_msat(42, 128, 1_024, &source, &target), 0); - assert_eq!(scorer.channel_penalty_msat(42, 256, 1_024, &source, &target), 93); - assert_eq!(scorer.channel_penalty_msat(42, 768, 1_024, &source, &target), 1_479); - assert_eq!(scorer.channel_penalty_msat(42, 896, 1_024, &source, &target), u64::max_value()); - + let usage = ChannelUsage { + amount_msat: 0, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_024, htlc_maximum_msat: 1_024 }, + }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0); + let usage = ChannelUsage { amount_msat: 1_023, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 2_000); + + scorer.payment_path_failed(&payment_path_for_amount(768), 42); + scorer.payment_path_failed(&payment_path_for_amount(128), 43); + + // Initial penalties + let usage = ChannelUsage { amount_msat: 128, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0); + let usage = ChannelUsage { amount_msat: 256, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 93); + let usage = ChannelUsage { amount_msat: 768, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 1_479); + let usage = ChannelUsage { amount_msat: 896, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), u64::max_value()); + + // No decay + SinceEpoch::advance(Duration::from_secs(4)); + let usage = ChannelUsage { amount_msat: 128, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0); + let usage = ChannelUsage { amount_msat: 256, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 93); + let usage = ChannelUsage { amount_msat: 768, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 1_479); + let usage = ChannelUsage { amount_msat: 896, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), u64::max_value()); + + // Half decay (i.e., three-quarter life) SinceEpoch::advance(Duration::from_secs(1)); - assert_eq!(scorer.channel_penalty_msat(42, 64, 1_024, &source, &target), 0); - assert_eq!(scorer.channel_penalty_msat(42, 128, 1_024, &source, &target), 34); - assert_eq!(scorer.channel_penalty_msat(42, 896, 1_024, &source, &target), 1_970); - assert_eq!(scorer.channel_penalty_msat(42, 960, 1_024, &source, &target), u64::max_value()); + let usage = ChannelUsage { amount_msat: 128, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 22); + 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), 921); + let usage = ChannelUsage { amount_msat: 896, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), u64::max_value()); + + // One decay (i.e., half life) + SinceEpoch::advance(Duration::from_secs(5)); + let usage = ChannelUsage { amount_msat: 64, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0); + let usage = ChannelUsage { amount_msat: 128, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 34); + let usage = ChannelUsage { amount_msat: 896, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 1_970); + let usage = ChannelUsage { amount_msat: 960, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), u64::max_value()); // Fully decay liquidity lower bound. SinceEpoch::advance(Duration::from_secs(10 * 7)); - assert_eq!(scorer.channel_penalty_msat(42, 0, 1_024, &source, &target), 0); - assert_eq!(scorer.channel_penalty_msat(42, 1, 1_024, &source, &target), 0); - assert_eq!(scorer.channel_penalty_msat(42, 1_023, 1_024, &source, &target), 2_000); - assert_eq!(scorer.channel_penalty_msat(42, 1_024, 1_024, &source, &target), 2_000); + let usage = ChannelUsage { amount_msat: 0, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0); + let usage = ChannelUsage { amount_msat: 1, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0); + let usage = ChannelUsage { amount_msat: 1_023, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 2_000); + let usage = ChannelUsage { amount_msat: 1_024, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), u64::max_value()); // Fully decay liquidity upper bound. SinceEpoch::advance(Duration::from_secs(10)); - assert_eq!(scorer.channel_penalty_msat(42, 0, 1_024, &source, &target), 0); - assert_eq!(scorer.channel_penalty_msat(42, 1_024, 1_024, &source, &target), 2_000); + let usage = ChannelUsage { amount_msat: 0, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0); + let usage = ChannelUsage { amount_msat: 1_024, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), u64::max_value()); SinceEpoch::advance(Duration::from_secs(10)); - assert_eq!(scorer.channel_penalty_msat(42, 0, 1_024, &source, &target), 0); - assert_eq!(scorer.channel_penalty_msat(42, 1_024, 1_024, &source, &target), 2_000); + let usage = ChannelUsage { amount_msat: 0, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0); + let usage = ChannelUsage { amount_msat: 1_024, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), u64::max_value()); } #[test] fn decays_liquidity_bounds_without_shift_overflow() { let logger = TestLogger::new(); - let network_graph = network_graph(); - let params = ProbabilisticScoringParameters { + let network_graph = network_graph(&logger); + let params = ProbabilisticScoringFeeParameters { liquidity_penalty_multiplier_msat: 1_000, + ..ProbabilisticScoringFeeParameters::zero_penalty() + }; + let decay_params = ProbabilisticScoringDecayParameters { liquidity_offset_half_life: Duration::from_secs(10), - ..ProbabilisticScoringParameters::zero_penalty() + ..ProbabilisticScoringDecayParameters::default() }; - let mut scorer = ProbabilisticScorer::new(params, &network_graph, &logger); + let mut scorer = ProbabilisticScorer::new(decay_params, &network_graph, &logger); let source = source_node_id(); let target = target_node_id(); - assert_eq!(scorer.channel_penalty_msat(42, 256, 1_024, &source, &target), 125); + let usage = ChannelUsage { + amount_msat: 256, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_024, htlc_maximum_msat: 1_000 }, + }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 125); - scorer.payment_path_failed(&payment_path_for_amount(512).iter().collect::>(), 42); - assert_eq!(scorer.channel_penalty_msat(42, 256, 1_024, &source, &target), 281); + scorer.payment_path_failed(&payment_path_for_amount(512), 42); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 281); // An unchecked right shift 64 bits or more in DirectedChannelLiquidity::decayed_offset_msat // would cause an overflow. SinceEpoch::advance(Duration::from_secs(10 * 64)); - assert_eq!(scorer.channel_penalty_msat(42, 256, 1_024, &source, &target), 125); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 125); SinceEpoch::advance(Duration::from_secs(10)); - assert_eq!(scorer.channel_penalty_msat(42, 256, 1_024, &source, &target), 125); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 125); } #[test] fn restricts_liquidity_bounds_after_decay() { let logger = TestLogger::new(); - let network_graph = network_graph(); - let params = ProbabilisticScoringParameters { + let network_graph = network_graph(&logger); + let params = ProbabilisticScoringFeeParameters { liquidity_penalty_multiplier_msat: 1_000, + ..ProbabilisticScoringFeeParameters::zero_penalty() + }; + let decay_params = ProbabilisticScoringDecayParameters { liquidity_offset_half_life: Duration::from_secs(10), - ..ProbabilisticScoringParameters::zero_penalty() + ..ProbabilisticScoringDecayParameters::default() }; - let mut scorer = ProbabilisticScorer::new(params, &network_graph, &logger); + let mut scorer = ProbabilisticScorer::new(decay_params, &network_graph, &logger); let source = source_node_id(); let target = target_node_id(); + let usage = ChannelUsage { + amount_msat: 512, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_024, htlc_maximum_msat: 1_000 }, + }; - assert_eq!(scorer.channel_penalty_msat(42, 512, 1_024, &source, &target), 300); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 300); // More knowledge gives higher confidence (256, 768), meaning a lower penalty. - scorer.payment_path_failed(&payment_path_for_amount(768).iter().collect::>(), 42); - scorer.payment_path_failed(&payment_path_for_amount(256).iter().collect::>(), 43); - assert_eq!(scorer.channel_penalty_msat(42, 512, 1_024, &source, &target), 281); + scorer.payment_path_failed(&payment_path_for_amount(768), 42); + scorer.payment_path_failed(&payment_path_for_amount(256), 43); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 281); // Decaying knowledge gives less confidence (128, 896), meaning a higher penalty. SinceEpoch::advance(Duration::from_secs(10)); - assert_eq!(scorer.channel_penalty_msat(42, 512, 1_024, &source, &target), 291); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 291); // Reducing the upper bound gives more confidence (128, 832) that the payment amount (512) // is closer to the upper bound, meaning a higher penalty. - scorer.payment_path_successful(&payment_path_for_amount(64).iter().collect::>()); - assert_eq!(scorer.channel_penalty_msat(42, 512, 1_024, &source, &target), 331); + scorer.payment_path_successful(&payment_path_for_amount(64)); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 331); // Increasing the lower bound gives more confidence (256, 832) that the payment amount (512) // is closer to the lower bound, meaning a lower penalty. - scorer.payment_path_failed(&payment_path_for_amount(256).iter().collect::>(), 43); - assert_eq!(scorer.channel_penalty_msat(42, 512, 1_024, &source, &target), 245); + scorer.payment_path_failed(&payment_path_for_amount(256), 43); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 245); // Further decaying affects the lower bound more than the upper bound (128, 928). SinceEpoch::advance(Duration::from_secs(10)); - assert_eq!(scorer.channel_penalty_msat(42, 512, 1_024, &source, &target), 280); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 280); } #[test] fn restores_persisted_liquidity_bounds() { let logger = TestLogger::new(); - let network_graph = network_graph(); - let params = ProbabilisticScoringParameters { + let network_graph = network_graph(&logger); + let params = ProbabilisticScoringFeeParameters { liquidity_penalty_multiplier_msat: 1_000, + considered_impossible_penalty_msat: u64::max_value(), + ..ProbabilisticScoringFeeParameters::zero_penalty() + }; + let decay_params = ProbabilisticScoringDecayParameters { liquidity_offset_half_life: Duration::from_secs(10), - ..ProbabilisticScoringParameters::zero_penalty() + ..ProbabilisticScoringDecayParameters::default() }; - let mut scorer = ProbabilisticScorer::new(params, &network_graph, &logger); + let mut scorer = ProbabilisticScorer::new(decay_params, &network_graph, &logger); let source = source_node_id(); let target = target_node_id(); + let usage = ChannelUsage { + amount_msat: 500, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_000, htlc_maximum_msat: 1_000 }, + }; - scorer.payment_path_failed(&payment_path_for_amount(500).iter().collect::>(), 42); - assert_eq!(scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), u64::max_value()); + scorer.payment_path_failed(&payment_path_for_amount(500), 42); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), u64::max_value()); SinceEpoch::advance(Duration::from_secs(10)); - assert_eq!(scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), 473); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 473); - scorer.payment_path_failed(&payment_path_for_amount(250).iter().collect::>(), 43); - assert_eq!(scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), 300); + scorer.payment_path_failed(&payment_path_for_amount(250), 43); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 300); let mut serialized_scorer = Vec::new(); scorer.write(&mut serialized_scorer).unwrap(); let mut serialized_scorer = io::Cursor::new(&serialized_scorer); let deserialized_scorer = - ::read(&mut serialized_scorer, (params, &network_graph, &logger)).unwrap(); - assert_eq!(deserialized_scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), 300); + ::read(&mut serialized_scorer, (decay_params, &network_graph, &logger)).unwrap(); + assert_eq!(deserialized_scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 300); } #[test] fn decays_persisted_liquidity_bounds() { let logger = TestLogger::new(); - let network_graph = network_graph(); - let params = ProbabilisticScoringParameters { + let network_graph = network_graph(&logger); + let params = ProbabilisticScoringFeeParameters { liquidity_penalty_multiplier_msat: 1_000, + considered_impossible_penalty_msat: u64::max_value(), + ..ProbabilisticScoringFeeParameters::zero_penalty() + }; + let decay_params = ProbabilisticScoringDecayParameters { liquidity_offset_half_life: Duration::from_secs(10), - ..ProbabilisticScoringParameters::zero_penalty() + ..ProbabilisticScoringDecayParameters::zero_penalty() }; - let mut scorer = ProbabilisticScorer::new(params, &network_graph, &logger); + let mut scorer = ProbabilisticScorer::new(decay_params, &network_graph, &logger); let source = source_node_id(); let target = target_node_id(); + let usage = ChannelUsage { + amount_msat: 500, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_000, htlc_maximum_msat: 1_000 }, + }; - scorer.payment_path_failed(&payment_path_for_amount(500).iter().collect::>(), 42); - assert_eq!(scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), u64::max_value()); + scorer.payment_path_failed(&payment_path_for_amount(500), 42); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), u64::max_value()); let mut serialized_scorer = Vec::new(); scorer.write(&mut serialized_scorer).unwrap(); @@ -2389,14 +3047,14 @@ mod tests { let mut serialized_scorer = io::Cursor::new(&serialized_scorer); let deserialized_scorer = - ::read(&mut serialized_scorer, (params, &network_graph, &logger)).unwrap(); - assert_eq!(deserialized_scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), 473); + ::read(&mut serialized_scorer, (decay_params, &network_graph, &logger)).unwrap(); + assert_eq!(deserialized_scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 473); - scorer.payment_path_failed(&payment_path_for_amount(250).iter().collect::>(), 43); - assert_eq!(scorer.channel_penalty_msat(42, 500, 1_000, &source, &target), 300); + scorer.payment_path_failed(&payment_path_for_amount(250), 43); + 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, 500, 1_000, &source, &target), 365); + assert_eq!(deserialized_scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 370); } #[test] @@ -2404,85 +3062,466 @@ mod tests { // Shows the scores of "realistic" sends of 100k sats over channels of 1-10m sats (with a // 50k sat reserve). let logger = TestLogger::new(); - let network_graph = network_graph(); - let params = ProbabilisticScoringParameters::default(); - let scorer = ProbabilisticScorer::new(params, &network_graph, &logger); + let network_graph = network_graph(&logger); + let params = ProbabilisticScoringFeeParameters::default(); + let scorer = ProbabilisticScorer::new(ProbabilisticScoringDecayParameters::default(), &network_graph, &logger); let source = source_node_id(); let target = target_node_id(); - assert_eq!(scorer.channel_penalty_msat(42, 100_000_000, 950_000_000, &source, &target), 3613); - assert_eq!(scorer.channel_penalty_msat(42, 100_000_000, 1_950_000_000, &source, &target), 1977); - assert_eq!(scorer.channel_penalty_msat(42, 100_000_000, 2_950_000_000, &source, &target), 1474); - assert_eq!(scorer.channel_penalty_msat(42, 100_000_000, 3_950_000_000, &source, &target), 1223); - assert_eq!(scorer.channel_penalty_msat(42, 100_000_000, 4_950_000_000, &source, &target), 877); - assert_eq!(scorer.channel_penalty_msat(42, 100_000_000, 5_950_000_000, &source, &target), 845); - assert_eq!(scorer.channel_penalty_msat(42, 100_000_000, 6_950_000_000, &source, &target), 500); - assert_eq!(scorer.channel_penalty_msat(42, 100_000_000, 7_450_000_000, &source, &target), 500); - assert_eq!(scorer.channel_penalty_msat(42, 100_000_000, 7_950_000_000, &source, &target), 500); - assert_eq!(scorer.channel_penalty_msat(42, 100_000_000, 8_950_000_000, &source, &target), 500); - assert_eq!(scorer.channel_penalty_msat(42, 100_000_000, 9_950_000_000, &source, &target), 500); + let usage = ChannelUsage { + amount_msat: 100_000_000, + 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), 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), 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), 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), 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), 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), 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), 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), 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), 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), 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), 4044); } #[test] fn adds_base_penalty_to_liquidity_penalty() { let logger = TestLogger::new(); - let network_graph = network_graph(); + let network_graph = network_graph(&logger); let source = source_node_id(); let target = target_node_id(); + let usage = ChannelUsage { + amount_msat: 128, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_024, htlc_maximum_msat: 1_000 }, + }; - let params = ProbabilisticScoringParameters { + let params = ProbabilisticScoringFeeParameters { liquidity_penalty_multiplier_msat: 1_000, - ..ProbabilisticScoringParameters::zero_penalty() + ..ProbabilisticScoringFeeParameters::zero_penalty() }; - let scorer = ProbabilisticScorer::new(params, &network_graph, &logger); - assert_eq!(scorer.channel_penalty_msat(42, 128, 1_024, &source, &target), 58); + let scorer = ProbabilisticScorer::new(ProbabilisticScoringDecayParameters::default(), &network_graph, &logger); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 58); - let params = ProbabilisticScoringParameters { - base_penalty_msat: 500, liquidity_penalty_multiplier_msat: 1_000, ..Default::default() + let params = ProbabilisticScoringFeeParameters { + base_penalty_msat: 500, liquidity_penalty_multiplier_msat: 1_000, + anti_probing_penalty_msat: 0, ..ProbabilisticScoringFeeParameters::zero_penalty() }; - let scorer = ProbabilisticScorer::new(params, &network_graph, &logger); - assert_eq!(scorer.channel_penalty_msat(42, 128, 1_024, &source, &target), 558); + let scorer = ProbabilisticScorer::new(ProbabilisticScoringDecayParameters::default(), &network_graph, &logger); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 558); + + let params = ProbabilisticScoringFeeParameters { + base_penalty_msat: 500, liquidity_penalty_multiplier_msat: 1_000, + base_penalty_amount_multiplier_msat: (1 << 30), + anti_probing_penalty_msat: 0, ..ProbabilisticScoringFeeParameters::zero_penalty() + }; + + let scorer = ProbabilisticScorer::new(ProbabilisticScoringDecayParameters::default(), &network_graph, &logger); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 558 + 128); } #[test] fn adds_amount_penalty_to_liquidity_penalty() { let logger = TestLogger::new(); - let network_graph = network_graph(); + let network_graph = network_graph(&logger); let source = source_node_id(); let target = target_node_id(); + let usage = ChannelUsage { + amount_msat: 512_000, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_024_000, htlc_maximum_msat: 1_000 }, + }; - let params = ProbabilisticScoringParameters { + let params = ProbabilisticScoringFeeParameters { liquidity_penalty_multiplier_msat: 1_000, - amount_penalty_multiplier_msat: 0, - ..ProbabilisticScoringParameters::zero_penalty() + liquidity_penalty_amount_multiplier_msat: 0, + ..ProbabilisticScoringFeeParameters::zero_penalty() }; - let scorer = ProbabilisticScorer::new(params, &network_graph, &logger); - assert_eq!(scorer.channel_penalty_msat(42, 512_000, 1_024_000, &source, &target), 300); + let scorer = ProbabilisticScorer::new(ProbabilisticScoringDecayParameters::default(), &network_graph, &logger); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 300); - let params = ProbabilisticScoringParameters { + let params = ProbabilisticScoringFeeParameters { liquidity_penalty_multiplier_msat: 1_000, - amount_penalty_multiplier_msat: 256, - ..ProbabilisticScoringParameters::zero_penalty() + liquidity_penalty_amount_multiplier_msat: 256, + ..ProbabilisticScoringFeeParameters::zero_penalty() }; - let scorer = ProbabilisticScorer::new(params, &network_graph, &logger); - assert_eq!(scorer.channel_penalty_msat(42, 512_000, 1_024_000, &source, &target), 337); + let scorer = ProbabilisticScorer::new(ProbabilisticScoringDecayParameters::default(), &network_graph, &logger); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 337); } #[test] fn calculates_log10_without_overflowing_u64_max_value() { let logger = TestLogger::new(); - let network_graph = network_graph(); + let network_graph = network_graph(&logger); let source = source_node_id(); let target = target_node_id(); + let usage = ChannelUsage { + amount_msat: u64::max_value(), + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Infinite, + }; - let params = ProbabilisticScoringParameters { + let params = ProbabilisticScoringFeeParameters { liquidity_penalty_multiplier_msat: 40_000, - ..ProbabilisticScoringParameters::zero_penalty() + ..ProbabilisticScoringFeeParameters::zero_penalty() }; - let scorer = ProbabilisticScorer::new(params, &network_graph, &logger); - assert_eq!( - scorer.channel_penalty_msat(42, u64::max_value(), u64::max_value(), &source, &target), - 80_000, - ); + let decay_params = ProbabilisticScoringDecayParameters::zero_penalty(); + let scorer = ProbabilisticScorer::new(decay_params, &network_graph, &logger); + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 80_000); + } + + #[test] + fn accounts_for_inflight_htlc_usage() { + let logger = TestLogger::new(); + let network_graph = network_graph(&logger); + let params = ProbabilisticScoringFeeParameters { + considered_impossible_penalty_msat: u64::max_value(), + ..ProbabilisticScoringFeeParameters::zero_penalty() + }; + let scorer = ProbabilisticScorer::new(ProbabilisticScoringDecayParameters::default(), &network_graph, &logger); + let source = source_node_id(); + let target = target_node_id(); + + let usage = ChannelUsage { + amount_msat: 750, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_000, htlc_maximum_msat: 1_000 }, + }; + assert_ne!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), u64::max_value()); + + let usage = ChannelUsage { inflight_htlc_msat: 251, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), u64::max_value()); + } + + #[test] + fn removes_uncertainity_when_exact_liquidity_known() { + let logger = TestLogger::new(); + let network_graph = network_graph(&logger); + let params = ProbabilisticScoringFeeParameters::default(); + let scorer = ProbabilisticScorer::new(ProbabilisticScoringDecayParameters::default(), &network_graph, &logger); + let source = source_node_id(); + let target = target_node_id(); + + let base_penalty_msat = params.base_penalty_msat; + let usage = ChannelUsage { + amount_msat: 750, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::ExactLiquidity { liquidity_msat: 1_000 }, + }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), base_penalty_msat); + + let usage = ChannelUsage { amount_msat: 1_000, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), base_penalty_msat); + + let usage = ChannelUsage { amount_msat: 1_001, ..usage }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), u64::max_value()); + } + + #[test] + fn remembers_historical_failures() { + let logger = TestLogger::new(); + let network_graph = network_graph(&logger); + let params = ProbabilisticScoringFeeParameters { + historical_liquidity_penalty_multiplier_msat: 1024, + historical_liquidity_penalty_amount_multiplier_msat: 1024, + ..ProbabilisticScoringFeeParameters::zero_penalty() + }; + let decay_params = ProbabilisticScoringDecayParameters { + liquidity_offset_half_life: Duration::from_secs(60 * 60), + historical_no_updates_half_life: Duration::from_secs(10), + }; + let mut scorer = ProbabilisticScorer::new(decay_params, &network_graph, &logger); + let source = source_node_id(); + let target = target_node_id(); + + let usage = ChannelUsage { + amount_msat: 100, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_024, htlc_maximum_msat: 1_024 }, + }; + let usage_1 = ChannelUsage { + amount_msat: 1, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_024, htlc_maximum_msat: 1_024 }, + }; + + // With no historical data the normal liquidity penalty calculation is used. + 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, ¶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), 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, ¶ms) + .unwrap() > 0.35); + 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), 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], + [0, 0, 0, 0, 0, 0, 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, 32]))); + + // 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, ¶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, ¶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), 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, ¶ms), None); + + let mut usage = ChannelUsage { + amount_msat: 100, + inflight_htlc_msat: 1024, + 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), 2050); + usage.inflight_htlc_msat = 0; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 866); + + let usage = ChannelUsage { + amount_msat: 1, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::AdvertisedMaxHTLC { amount_msat: 0 }, + }; + assert_eq!(scorer.channel_penalty_msat(42, &target, &source, usage, ¶ms), 2048); + + // Advance to decay all liquidity offsets to zero. + SinceEpoch::advance(Duration::from_secs(60 * 60 * 10)); + + // Use a path in the opposite direction, which have zero for htlc_maximum_msat. This will + // ensure that the effective capacity is zero to test division-by-zero edge cases. + let path = vec![ + path_hop(target_pubkey(), 43, 2), + path_hop(source_pubkey(), 42, 1), + path_hop(sender_pubkey(), 41, 0), + ]; + scorer.payment_path_failed(&Path { hops: path, blinded_tail: None }, 42); + } + + #[test] + fn adds_anti_probing_penalty() { + let logger = TestLogger::new(); + let network_graph = network_graph(&logger); + let source = source_node_id(); + let target = target_node_id(); + let params = ProbabilisticScoringFeeParameters { + anti_probing_penalty_msat: 500, + ..ProbabilisticScoringFeeParameters::zero_penalty() + }; + let scorer = ProbabilisticScorer::new(ProbabilisticScoringDecayParameters::default(), &network_graph, &logger); + + // Check we receive no penalty for a low htlc_maximum_msat. + let usage = ChannelUsage { + amount_msat: 512_000, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_024_000, htlc_maximum_msat: 1_000 }, + }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0); + + // Check we receive anti-probing penalty for htlc_maximum_msat == channel_capacity. + let usage = ChannelUsage { + amount_msat: 512_000, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_024_000, htlc_maximum_msat: 1_024_000 }, + }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 500); + + // Check we receive anti-probing penalty for htlc_maximum_msat == channel_capacity/2. + let usage = ChannelUsage { + amount_msat: 512_000, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_024_000, htlc_maximum_msat: 512_000 }, + }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 500); + + // Check we receive no anti-probing penalty for htlc_maximum_msat == channel_capacity/2 - 1. + let usage = ChannelUsage { + amount_msat: 512_000, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_024_000, htlc_maximum_msat: 511_999 }, + }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0); + } + + #[test] + fn scores_with_blinded_path() { + // Make sure we'll account for a blinded path's final_value_msat in scoring + let logger = TestLogger::new(); + let network_graph = network_graph(&logger); + let params = ProbabilisticScoringFeeParameters { + liquidity_penalty_multiplier_msat: 1_000, + ..ProbabilisticScoringFeeParameters::zero_penalty() + }; + let decay_params = ProbabilisticScoringDecayParameters::default(); + let mut scorer = ProbabilisticScorer::new(decay_params, &network_graph, &logger); + let source = source_node_id(); + let target = target_node_id(); + let usage = ChannelUsage { + amount_msat: 512, + inflight_htlc_msat: 0, + effective_capacity: EffectiveCapacity::Total { capacity_msat: 1_024, htlc_maximum_msat: 1_000 }, + }; + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 300); + + let mut path = payment_path_for_amount(768); + let recipient_hop = path.hops.pop().unwrap(); + let blinded_path = BlindedPath { + introduction_node_id: path.hops.last().as_ref().unwrap().pubkey, + blinding_point: test_utils::pubkey(42), + blinded_hops: vec![ + BlindedHop { blinded_node_id: test_utils::pubkey(44), encrypted_payload: Vec::new() } + ], + }; + path.blinded_tail = Some(BlindedTail { + hops: blinded_path.blinded_hops, + blinding_point: blinded_path.blinding_point, + excess_final_cltv_expiry_delta: recipient_hop.cltv_expiry_delta, + final_value_msat: recipient_hop.fee_msat, + }); + + // Check the liquidity before and after scoring payment failures to ensure the blinded path's + // final value is taken into account. + assert!(scorer.channel_liquidities.get(&42).is_none()); + + scorer.payment_path_failed(&path, 42); + path.blinded_tail.as_mut().unwrap().final_value_msat = 256; + scorer.payment_path_failed(&path, 43); + + let liquidity = scorer.channel_liquidities.get(&42).unwrap() + .as_directed(&source, &target, 1_000, decay_params); + assert_eq!(liquidity.min_liquidity_msat(), 256); + assert_eq!(liquidity.max_liquidity_msat(), 768); + } + + #[test] + fn realistic_historical_failures() { + // The motivation for the unequal sized buckets came largely from attempting to pay 10k + // sats over a one bitcoin channel. This tests that case explicitly, ensuring that we score + // properly. + let logger = TestLogger::new(); + let mut network_graph = network_graph(&logger); + let params = ProbabilisticScoringFeeParameters { + historical_liquidity_penalty_multiplier_msat: 1024, + historical_liquidity_penalty_amount_multiplier_msat: 1024, + ..ProbabilisticScoringFeeParameters::zero_penalty() + }; + let decay_params = ProbabilisticScoringDecayParameters { + liquidity_offset_half_life: Duration::from_secs(60 * 60), + historical_no_updates_half_life: Duration::from_secs(10), + ..ProbabilisticScoringDecayParameters::default() + }; + + let capacity_msat = 100_000_000_000; + update_channel(&mut network_graph, 42, source_privkey(), 0, capacity_msat, 200); + update_channel(&mut network_graph, 42, target_privkey(), 1, capacity_msat, 200); + + let mut scorer = ProbabilisticScorer::new(decay_params, &network_graph, &logger); + let source = source_node_id(); + let target = target_node_id(); + + let mut amount_msat = 10_000_000; + let usage = ChannelUsage { + amount_msat, + 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 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, ¶ms), + None); + + // Fail to pay once, and then check the buckets and penalty. + scorer.payment_path_failed(&payment_path_for_amount(amount_msat), 42); + // The penalty should be the maximum penalty, as the payment we're scoring is now in the + // same bucket which is the only maximum datapoint. + assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), + 2048 + 2048 * amount_msat / super::AMOUNT_PENALTY_DIVISOR); + // The "it failed" increment is 32, which we should apply to the first upper-bound (between + // 6k sats and 12k sats). + 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, 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, ¶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, ¶ms), + Some(0.5)); + + // ...but once we see a failure, we consider the payment to be substantially less likely, + // even though not a probability of zero as we still look at the second max bucket which + // now shows 31. + scorer.payment_path_failed(&payment_path_for_amount(amount_msat), 42); + 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, ¶ms), + Some(0.0)); } }