let amt = directed_info.effective_capacity().as_msat();
let dir_liq = liq.as_directed(source, target, 0, amt, self.decay_params);
- let (min_buckets, max_buckets, _) = dir_liq.liquidity_history
+ 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);
+ 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 octile relative probabilities: {} {} {} {} {} {} {} {}\n",
- "\tHistorical max liquidity octile relative probabilities: {} {} {} {} {} {} {} {}"),
+ "\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[ 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[7], max_buckets[6], max_buckets[5], max_buckets[4],
- max_buckets[3], max_buckets[2], max_buckets[1], max_buckets[0]);
+ 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);
}
/// 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 8 buckets. The first set describes the octiles for lower-bound
- /// liquidity estimates, the second set describes the octiles for upper-bound liquidity
- /// estimates. Each bucket describes the relative frequency at which we've seen a liquidity
- /// bound in the octile 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.
+ /// 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.
///
- /// When scoring, the estimated probability that an upper-/lower-bound lies in a given octile
- /// relative to the channel's total capacity is calculated by dividing that bucket's value with
- /// the total of all buckets for the given bound.
+ /// 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.
///
- /// For example, a value of `[0, 0, 0, 0, 0, 0, 32]` indicates that we believe the probability
- /// of a bound being in the top octile to be 100%, and have never (recently) seen it in any
- /// other octiles. A value of `[31, 0, 0, 0, 0, 0, 0, 32]` indicates we've seen the bound being
- /// both in the top and bottom octile, and roughly with similar (recent) frequency.
+ /// 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(([0; 8], [0; 8]))`.
+ /// `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; 8], [u16; 8])> {
+ -> Option<([u16; 32], [u16; 32])> {
let graph = self.network_graph.read_only();
if let Some(chan) = graph.channels().get(&scid) {
let amt = directed_info.effective_capacity().as_msat();
let dir_liq = liq.as_directed(source, target, 0, 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);
+ 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();
log_trace!(logger, "Max liquidity of {} is {} (already less than or equal to {})",
chan_descr, existing_max_msat, amount_msat);
}
- self.update_history_buckets();
+ self.update_history_buckets(0);
}
/// Adjusts the channel liquidity balance bounds when failing to route `amount_msat` downstream.
log_trace!(logger, "Min liquidity of {} is {} (already greater than or equal to {})",
chan_descr, existing_min_msat, amount_msat);
}
- self.update_history_buckets();
+ self.update_history_buckets(0);
}
/// Adjusts the channel liquidity balance bounds when successfully routing `amount_msat`.
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();
+ self.update_history_buckets(amount_msat);
}
- fn update_history_buckets(&mut self) {
+ /// 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());
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, self.capacity_msat
+ 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, self.capacity_msat
+ max_liquidity_offset_msat.saturating_sub(bucket_offset_msat), self.capacity_msat
);
}
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 8 buckets.
+ /// in each of 32 buckets.
#[derive(Clone, Copy)]
pub(super) struct HistoricalBucketRangeTracker {
- buckets: [u16; 8],
+ 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; 8] } }
+ 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 8 leaky buckets for min and max liquidity. Each bucket tracks the amount of time
+ // 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 constants were picked experimentally, selecting a decay amount that restricts us
// from overflowing buckets without having to cap them manually.
- // Ensure the bucket index is in the range [0, 7], even if the liquidity offset is zero or
- // the channel's capacity, though the second should generally never happen.
- debug_assert!(liquidity_offset_msat <= capacity_msat);
- let bucket_idx: u8 = (liquidity_offset_msat * 8 / capacity_msat.saturating_add(1))
- .try_into().unwrap_or(32); // 32 is bogus for 8 buckets, and will be ignored
- debug_assert!(bucket_idx < 8);
- if bucket_idx < 8 {
+ 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;
}
- self.buckets[bucket_idx as usize] = self.buckets[bucket_idx as usize].saturating_add(32);
+ 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<D: Deref<Target = HistoricalBucketRangeTracker>> {
+ /// 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<D: Deref<Target = HistoricalBucketRangeTracker>> HistoricalMinMaxBuckets<D> {
- #[inline]
pub(super) fn get_decayed_buckets<T: Time>(&self, now: T, last_updated: T, half_life: Duration)
- -> ([u16; 8], [u16; 8], 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);
+ -> 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);
- (min_buckets.buckets, max_buckets.buckets, required_decays)
+ Some((min_buckets.buckets, max_buckets.buckets))
+ }
+ #[inline]
+ pub(super) fn get_total_valid_points<T: Time>(&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<T: Time>(
&self, now: T, last_updated: T, half_life: Duration, amount_msat: u64, capacity_msat: u64)
-> 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;
-
- let payment_amt_64th_bucket: u8 = if amount_msat < u64::max_value() / 64 {
- (amount_msat * 64 / capacity_msat.saturating_add(1))
- .try_into().unwrap_or(65)
- } 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) * 64 / (capacity_msat as u128).saturating_add(1))
- .try_into().unwrap_or(65)
- };
- #[cfg(not(fuzzing))]
- debug_assert!(payment_amt_64th_bucket <= 64);
- if payment_amt_64th_bucket >= 64 { return None; }
+ // 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 (decayed_min_buckets, decayed_max_buckets, required_decays) =
- self.get_decayed_buckets(now, last_updated, half_life);
- if decayed_min_buckets.iter().all(|v| *v == 0) || decayed_max_buckets.iter().all(|v| *v == 0) {
- return None;
- }
+ let (total_valid_points_tracked, _)
+ = self.get_total_valid_points(now, last_updated, half_life)?;
- 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);
+ 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 bucket_prob_times_billion =
+ (self.min_liquidity_offset_history.buckets[0] as u64) * total_max_points
+ * 1024 * 1024 * 1024 / total_valid_points_tracked;
+ cumulative_success_prob_times_billion += bucket_prob_times_billion *
+ ((max_bucket_end_pos - payment_pos) as u64) /
+ // Add an additional one in the divisor as the payment bucket has been
+ // rounded down.
+ (max_bucket_end_pos + 1) as u64;
}
- }
- // 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 {
- 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;
+ 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 {
- 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);
+ cumulative_success_prob_times_billion += bucket_prob_times_billion *
+ ((max_bucket_end_pos - payment_pos) as u64) /
+ // Add an additional one in the divisor as the payment bucket has been
+ // rounded down.
+ ((max_bucket_end_pos - min_bucket_start_pos + 1) as u64);
}
}
}
}
}
}
-use bucketed_history::{HistoricalBucketRangeTracker, HistoricalMinMaxBuckets};
+use bucketed_history::{LegacyHistoricalBucketRangeTracker, HistoricalBucketRangeTracker, HistoricalMinMaxBuckets};
impl<G: Deref<Target = NetworkGraph<L>>, L: Deref, T: Time> Writeable for ProbabilisticScorerUsingTime<G, L, T> where L::Target: Logger {
#[inline]
let duration_since_epoch = T::duration_since_epoch() - self.last_updated.elapsed();
write_tlv_fields!(w, {
(0, self.min_liquidity_offset_msat, required),
- (1, Some(self.min_liquidity_offset_history), option),
+ // 1 was the min_liquidity_offset_history in octile form
(2, self.max_liquidity_offset_msat, required),
- (3, Some(self.max_liquidity_offset_history), option),
+ // 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(())
}
fn read<R: Read>(r: &mut R) -> Result<Self, DecodeError> {
let mut min_liquidity_offset_msat = 0;
let mut max_liquidity_offset_msat = 0;
- let mut min_liquidity_offset_history = Some(HistoricalBucketRangeTracker::new());
- let mut max_liquidity_offset_history = Some(HistoricalBucketRangeTracker::new());
+ let mut legacy_min_liq_offset_history: Option<LegacyHistoricalBucketRangeTracker> = None;
+ let mut legacy_max_liq_offset_history: Option<LegacyHistoricalBucketRangeTracker> = None;
+ let mut min_liquidity_offset_history: Option<HistoricalBucketRangeTracker> = None;
+ let mut max_liquidity_offset_history: Option<HistoricalBucketRangeTracker> = None;
let mut duration_since_epoch = Duration::from_secs(0);
read_tlv_fields!(r, {
(0, min_liquidity_offset_msat, required),
- (1, min_liquidity_offset_history, option),
+ (1, legacy_min_liq_offset_history, option),
(2, max_liquidity_offset_msat, required),
- (3, max_liquidity_offset_history, option),
+ (3, legacy_max_liq_offset_history, option),
(4, duration_since_epoch, required),
+ (5, min_liquidity_offset_history, option),
+ (7, max_liquidity_offset_history, option),
});
// 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
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());
+ }
+ }
+ 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,
let chain_source: Option<&crate::util::test_utils::TestChainSource> = None;
network_graph.update_channel_from_announcement(
&signed_announcement, &chain_source).unwrap();
- update_channel(network_graph, short_channel_id, node_1_key, 0, 1_000);
- update_channel(network_graph, short_channel_id, node_2_key, 1, 0);
+ 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<&TestLogger>, short_channel_id: u64, node_key: SecretKey,
- flags: u8, htlc_maximum_msat: u64
+ flags: u8, htlc_maximum_msat: u64, timestamp: u32,
) {
let genesis_hash = genesis_block(Network::Testnet).header.block_hash();
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,
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), 47);
assert_eq!(scorer.historical_estimated_channel_liquidity_probabilities(42, &target),
scorer.payment_path_failed(&payment_path_for_amount(1), 42);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 2048);
- // The "it failed" increment is 32, where the probability should lie fully in the first
- // octile.
+ assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage_1, ¶ms), 128);
+ // 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], [32, 0, 0, 0, 0, 0, 0, 0])));
- assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 1),
- Some(1.0));
+ 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)
+ .unwrap() > 0.35);
assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 500),
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), 198);
- // The first octile should be decayed just slightly and the last octile has a new point.
+ assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 32);
+ // 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, 32], [31, 0, 0, 0, 0, 0, 0, 32])));
+ 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).unwrap();
- assert!(five_hundred_prob > 0.5);
- assert!(five_hundred_prob < 0.52);
+ assert!(five_hundred_prob > 0.66);
+ assert!(five_hundred_prob < 0.68);
let one_prob =
scorer.historical_estimated_payment_success_probability(42, &target, 1).unwrap();
assert!(one_prob < 1.0);
- assert!(one_prob > 0.99);
+ assert!(one_prob > 0.95);
// 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.
// 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),
- Some(([0; 8], [0; 8])));
+ None);
assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 1), None);
let mut usage = ChannelUsage {
scorer.payment_path_failed(&payment_path_for_amount(1), 42);
assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 2048);
usage.inflight_htlc_msat = 0;
- assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 409);
+ assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 866);
let usage = ChannelUsage {
amount_msat: 1,
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 in this
+ // case is diminuitively low.
+ assert_eq!(scorer.channel_penalty_msat(42, &source, &target, usage, ¶ms), 0);
+ assert_eq!(scorer.historical_estimated_channel_liquidity_probabilities(42, &target),
+ None);
+ assert_eq!(scorer.historical_estimated_payment_success_probability(42, &target, 42),
+ 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),
+ 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),
+ 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),
+ Some(0.0));
+ }
}
projects / rust-lightning / commitdiff