use util::time::Time;
use prelude::*;
-use core::fmt;
+use core::{cmp, fmt};
use core::cell::{RefCell, RefMut};
use core::convert::TryInto;
use core::ops::{Deref, DerefMut};
/// [`liquidity_penalty_amount_multiplier_msat`]: Self::liquidity_penalty_amount_multiplier_msat
pub historical_liquidity_penalty_amount_multiplier_msat: u64,
+ /// 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.
+ ///
+ /// Note that after 16 or more half lives all historical data will be completely gone.
+ ///
+ /// Default value: 14 days
+ pub historical_no_updates_half_life: Duration,
+
/// 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.
self.buckets[bucket_idx as usize] = self.buckets[bucket_idx as usize].saturating_add(32);
}
}
+ /// Decay all buckets by the given number of half-lives. Used to more aggressively remove old
+ /// datapoints as we receive newer information.
+ 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) });
+struct HistoricalMinMaxBuckets<'a> {
+ min_liquidity_offset_history: &'a HistoricalBucketRangeTracker,
+ max_liquidity_offset_history: &'a HistoricalBucketRangeTracker,
+}
+
+impl HistoricalMinMaxBuckets<'_> {
+ #[inline]
+ fn calculate_success_probability_times_billion(&self, required_decays: u32, payment_amt_64th_bucket: u8) -> Option<u64> {
+ // If historical penalties are enabled, calculate the penalty by walking the set of
+ // historical liquidity bucket (min, max) combinations (where min_idx < max_idx) and, for
+ // each, calculate the probability of success given our payment amount, then total the
+ // weighted average probability of success.
+ //
+ // We use a sliding scale to decide which point within a given bucket will be compared to
+ // the amount being sent - for lower-bounds, the amount being sent is compared to the lower
+ // edge of the first bucket (i.e. zero), but compared to the upper 7/8ths of the last
+ // bucket (i.e. 9 times the index, or 63), with each bucket in between increasing the
+ // comparison point by 1/64th. For upper-bounds, the same applies, however with an offset
+ // of 1/64th (i.e. starting at one and ending at 64). This avoids failing to assign
+ // penalties to channels at the edges.
+ //
+ // If we used the bottom edge of buckets, we'd end up never assigning any penalty at all to
+ // such a channel when sending less than ~0.19% of the channel's capacity (e.g. ~200k sats
+ // for a 1 BTC channel!).
+ //
+ // If we used the middle of each bucket we'd never assign any penalty at all when sending
+ // less than 1/16th of a channel's capacity, or 1/8th if we used the top of the bucket.
+ let mut total_valid_points_tracked = 0;
+
+ // Rather than actually decaying the individual buckets, which would lose precision, we
+ // simply track whether all buckets would be decayed to zero, in which case we treat it as
+ // if we had no data.
+ let mut is_fully_decayed = true;
+ let mut check_track_bucket_contains_undecayed_points =
+ |bucket_val: u16| if bucket_val.checked_shr(required_decays).unwrap_or(0) > 0 { is_fully_decayed = false; };
+
+ for (min_idx, min_bucket) in self.min_liquidity_offset_history.buckets.iter().enumerate() {
+ check_track_bucket_contains_undecayed_points(*min_bucket);
+ for max_bucket in self.max_liquidity_offset_history.buckets.iter().take(8 - min_idx) {
+ total_valid_points_tracked += (*min_bucket as u64) * (*max_bucket as u64);
+ check_track_bucket_contains_undecayed_points(*max_bucket);
+ }
+ }
+ // If the total valid points is smaller than 1.0 (i.e. 32 in our fixed-point scheme), treat
+ // it as if we were fully decayed.
+ if total_valid_points_tracked.checked_shr(required_decays).unwrap_or(0) < 32*32 || is_fully_decayed {
+ return None;
+ }
+
+ let mut cumulative_success_prob_times_billion = 0;
+ for (min_idx, min_bucket) in self.min_liquidity_offset_history.buckets.iter().enumerate() {
+ for (max_idx, max_bucket) in self.max_liquidity_offset_history.buckets.iter().enumerate().take(8 - min_idx) {
+ let bucket_prob_times_million = (*min_bucket as u64) * (*max_bucket as u64)
+ * 1024 * 1024 / total_valid_points_tracked;
+ let min_64th_bucket = min_idx as u8 * 9;
+ let max_64th_bucket = (7 - max_idx as u8) * 9 + 1;
+ if payment_amt_64th_bucket > max_64th_bucket {
+ // Success probability 0, the payment amount is above the max liquidity
+ } else if payment_amt_64th_bucket <= min_64th_bucket {
+ cumulative_success_prob_times_billion += bucket_prob_times_million * 1024;
+ } else {
+ cumulative_success_prob_times_billion += bucket_prob_times_million *
+ ((max_64th_bucket - payment_amt_64th_bucket) as u64) * 1024 /
+ ((max_64th_bucket - min_64th_bucket) as u64);
+ }
+ }
+ }
+
+ Some(cumulative_success_prob_times_billion)
+ }
+}
+
/// Accounting for channel liquidity balance uncertainty.
///
/// Direction is defined in terms of [`NodeId`] partial ordering, where the source node is the
liquidity_penalty_amount_multiplier_msat: 0,
historical_liquidity_penalty_multiplier_msat: 0,
historical_liquidity_penalty_amount_multiplier_msat: 0,
+ historical_no_updates_half_life: Duration::from_secs(60 * 60 * 24 * 14),
manual_node_penalties: HashMap::new(),
anti_probing_penalty_msat: 0,
considered_impossible_penalty_msat: 0,
liquidity_penalty_amount_multiplier_msat: 192,
historical_liquidity_penalty_multiplier_msat: 10_000,
historical_liquidity_penalty_amount_multiplier_msat: 64,
+ historical_no_updates_half_life: Duration::from_secs(60 * 60 * 24 * 14),
manual_node_penalties: HashMap::new(),
anti_probing_penalty_msat: 250,
considered_impossible_penalty_msat: 1_0000_0000_000,
if params.historical_liquidity_penalty_multiplier_msat != 0 ||
params.historical_liquidity_penalty_amount_multiplier_msat != 0 {
- // If historical penalties are enabled, calculate the penalty by walking the set of
- // historical liquidity bucket (min, max) combinations (where min_idx < max_idx)
- // and, for each, calculate the probability of success given our payment amount, then
- // total the weighted average probability of success.
- //
- // We use a sliding scale to decide which point within a given bucket will be compared
- // to the amount being sent - for lower-bounds, the amount being sent is compared to
- // the lower edge of the first bucket (i.e. zero), but compared to the upper 7/8ths of
- // the last bucket (i.e. 9 times the index, or 63), with each bucket in between
- // increasing the comparison point by 1/64th. For upper-bounds, the same applies,
- // however with an offset of 1/64th (i.e. starting at one and ending at 64). This
- // avoids failing to assign penalties to channels at the edges.
- //
- // If we used the bottom edge of buckets, we'd end up never assigning any penalty at
- // all to such a channel when sending less than ~0.19% of the channel's capacity (e.g.
- // ~200k sats for a 1 BTC channel!).
- //
- // If we used the middle of each bucket we'd never assign any penalty at all when
- // sending less than 1/16th of a channel's capacity, or 1/8th if we used the top of the
- // bucket.
- let mut total_valid_points_tracked = 0;
- 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(8 - min_idx) {
- total_valid_points_tracked += (*min_bucket as u64) * (*max_bucket as u64);
- }
- }
- if total_valid_points_tracked == 0 {
- // If we don't have any valid points, redo the non-historical calculation with no
- // liquidity bounds tracked and the historical penalty multipliers.
+ let required_decays = self.now.duration_since(*self.last_updated).as_secs()
+ .checked_div(params.historical_no_updates_half_life.as_secs())
+ .map_or(u32::max_value(), |decays| cmp::min(decays, u32::max_value() as u64) as u32);
+ let payment_amt_64th_bucket = amount_msat * 64 / self.capacity_msat;
+ debug_assert!(payment_amt_64th_bucket <= 64);
+ if payment_amt_64th_bucket > 64 { return res; }
+
+ let buckets = HistoricalMinMaxBuckets {
+ min_liquidity_offset_history: &self.min_liquidity_offset_history,
+ max_liquidity_offset_history: &self.max_liquidity_offset_history,
+ };
+ if let Some(cumulative_success_prob_times_billion) = buckets
+ .calculate_success_probability_times_billion(required_decays, payment_amt_64th_bucket as u8) {
+ let historical_negative_log10_times_2048 = approx::negative_log10_times_2048(cumulative_success_prob_times_billion + 1, 1024 * 1024 * 1024);
+ res = res.saturating_add(Self::combined_penalty_msat(amount_msat,
+ historical_negative_log10_times_2048, params.historical_liquidity_penalty_multiplier_msat,
+ 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 max_capacity = self.capacity_msat.saturating_sub(amount_msat).saturating_add(1);
let negative_log10_times_2048 =
approx::negative_log10_times_2048(max_capacity, self.capacity_msat.saturating_add(1));
params.historical_liquidity_penalty_amount_multiplier_msat));
return res;
}
-
- let payment_amt_64th_bucket = amount_msat * 64 / self.capacity_msat;
- debug_assert!(payment_amt_64th_bucket <= 64);
- if payment_amt_64th_bucket > 64 { return res; }
-
- let mut cumulative_success_prob_times_billion = 0;
- for (min_idx, min_bucket) in self.min_liquidity_offset_history.buckets.iter().enumerate() {
- for (max_idx, max_bucket) in self.max_liquidity_offset_history.buckets.iter().enumerate().take(8 - min_idx) {
- let bucket_prob_times_million = (*min_bucket as u64) * (*max_bucket as u64)
- * 1024 * 1024 / total_valid_points_tracked;
- let min_64th_bucket = min_idx as u64 * 9;
- let max_64th_bucket = (7 - max_idx as u64) * 9 + 1;
- if payment_amt_64th_bucket > max_64th_bucket {
- // Success probability 0, the payment amount is above the max liquidity
- } else if payment_amt_64th_bucket <= min_64th_bucket {
- cumulative_success_prob_times_billion += bucket_prob_times_million * 1024;
- } else {
- cumulative_success_prob_times_billion += bucket_prob_times_million *
- (max_64th_bucket - payment_amt_64th_bucket) * 1024 /
- (max_64th_bucket - min_64th_bucket);
- }
- }
- }
- let historical_negative_log10_times_2048 = approx::negative_log10_times_2048(cumulative_success_prob_times_billion + 1, 1024 * 1024 * 1024);
- res = res.saturating_add(Self::combined_penalty_msat(amount_msat,
- historical_negative_log10_times_2048, params.historical_liquidity_penalty_multiplier_msat,
- params.historical_liquidity_penalty_amount_multiplier_msat));
}
res
}
fn update_history_buckets(&mut self) {
+ let half_lives = self.now.duration_since(*self.last_updated).as_secs()
+ .checked_div(self.params.historical_no_updates_half_life.as_secs())
+ .map(|v| v.try_into().unwrap_or(u32::max_value())).unwrap_or(u32::max_value());
+ self.min_liquidity_offset_history.time_decay_data(half_lives);
+ self.max_liquidity_offset_history.time_decay_data(half_lives);
+
debug_assert!(*self.min_liquidity_offset_msat <= self.capacity_msat);
self.min_liquidity_offset_history.track_datapoint(
// Ensure the bucket index we pass is in the range [0, 7], even if the liquidity offset
} else {
self.decayed_offset_msat(*self.max_liquidity_offset_msat)
};
- *self.last_updated = self.now;
self.update_history_buckets();
+ *self.last_updated = self.now;
}
/// Adjusts the upper bound of the channel liquidity balance in this direction.
} else {
self.decayed_offset_msat(*self.min_liquidity_offset_msat)
};
- *self.last_updated = self.now;
self.update_history_buckets();
+ *self.last_updated = self.now;
}
}
let params = ProbabilisticScoringParameters {
historical_liquidity_penalty_multiplier_msat: 1024,
historical_liquidity_penalty_amount_multiplier_msat: 1024,
+ historical_no_updates_half_life: Duration::from_secs(10),
..ProbabilisticScoringParameters::zero_penalty()
};
let mut scorer = ProbabilisticScorer::new(params, &network_graph, &logger);
// still remember that there was some failure in the past, and assign a non-0 penalty.
scorer.payment_path_failed(&payment_path_for_amount(1000).iter().collect::<Vec<_>>(), 43);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 198);
+
+ // Advance the time forward 16 half-lives (which the docs claim will ensure all data is
+ // gone), and check that we're back to where we started.
+ SinceEpoch::advance(Duration::from_secs(10 * 16));
+ assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage), 47);
}
#[test]
projects / rust-lightning / commitdiff