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1 : : // Copyright (c) 2017-2022 The Bitcoin Core developers
2 : : // Distributed under the MIT software license, see the accompanying
3 : : // file COPYING or http://www.opensource.org/licenses/mit-license.php.
4 : :
5 : : #ifndef BITCOIN_WALLET_COINSELECTION_H
6 : : #define BITCOIN_WALLET_COINSELECTION_H
7 : :
8 : : #include <consensus/amount.h>
9 : : #include <consensus/consensus.h>
10 : : #include <outputtype.h>
11 : : #include <policy/feerate.h>
12 : : #include <primitives/transaction.h>
13 : : #include <random.h>
14 : : #include <util/check.h>
15 : : #include <util/insert.h>
16 : : #include <util/result.h>
17 : :
18 : : #include <optional>
19 : :
20 : :
21 : : namespace wallet {
22 : : //! lower bound for randomly-chosen target change amount
23 : : static constexpr CAmount CHANGE_LOWER{50000};
24 : : //! upper bound for randomly-chosen target change amount
25 : : static constexpr CAmount CHANGE_UPPER{1000000};
26 : :
27 : : /** A UTXO under consideration for use in funding a new transaction. */
28 : : struct COutput {
29 : : private:
30 : : /** The output's value minus fees required to spend it and bump its unconfirmed ancestors to the target feerate. */
31 : : std::optional<CAmount> effective_value;
32 : :
33 : : /** The fee required to spend this output at the transaction's target feerate and to bump its unconfirmed ancestors to the target feerate. */
34 : : std::optional<CAmount> fee;
35 : :
36 : : public:
37 : : /** The outpoint identifying this UTXO */
38 : : COutPoint outpoint;
39 : :
40 : : /** The output itself */
41 : : CTxOut txout;
42 : :
43 : : /**
44 : : * Depth in block chain.
45 : : * If > 0: the tx is on chain and has this many confirmations.
46 : : * If = 0: the tx is waiting confirmation.
47 : : * If < 0: a conflicting tx is on chain and has this many confirmations. */
48 : : int depth;
49 : :
50 : : /** Pre-computed estimated size of this output as a fully-signed input in a transaction. Can be -1 if it could not be calculated */
51 : : int input_bytes;
52 : :
53 : : /** Whether we have the private keys to spend this output */
54 : : bool spendable;
55 : :
56 : : /** Whether we know how to spend this output, ignoring the lack of keys */
57 : : bool solvable;
58 : :
59 : : /**
60 : : * Whether this output is considered safe to spend. Unconfirmed transactions
61 : : * from outside keys and unconfirmed replacement transactions are considered
62 : : * unsafe and will not be used to fund new spending transactions.
63 : : */
64 : : bool safe;
65 : :
66 : : /** The time of the transaction containing this output as determined by CWalletTx::nTimeSmart */
67 : : int64_t time;
68 : :
69 : : /** Whether the transaction containing this output is sent from the owning wallet */
70 : : bool from_me;
71 : :
72 : : /** The fee required to spend this output at the consolidation feerate. */
73 : 4539034 : CAmount long_term_fee{0};
74 : :
75 : : /** The fee necessary to bump this UTXO's ancestor transactions to the target feerate */
76 : 4539034 : CAmount ancestor_bump_fees{0};
77 : :
78 : 4539034 : COutput(const COutPoint& outpoint, const CTxOut& txout, int depth, int input_bytes, bool spendable, bool solvable, bool safe, int64_t time, bool from_me, const std::optional<CFeeRate> feerate = std::nullopt)
79 : 4539034 : : outpoint{outpoint},
80 : 4539034 : txout{txout},
81 : 4539034 : depth{depth},
82 : 4539034 : input_bytes{input_bytes},
83 : 4539034 : spendable{spendable},
84 : 4539034 : solvable{solvable},
85 : 4539034 : safe{safe},
86 : 4539034 : time{time},
87 : 4539034 : from_me{from_me}
88 : : {
89 [ - + ]: 4539034 : if (feerate) {
90 : : // base fee without considering potential unconfirmed ancestors
91 [ + - + - : 4539034 : fee = input_bytes < 0 ? 0 : feerate.value().GetFee(input_bytes);
+ - ]
92 [ + - ]: 4539034 : effective_value = txout.nValue - fee.value();
93 : 4539034 : }
94 : 4539034 : }
95 : :
96 : : COutput(const COutPoint& outpoint, const CTxOut& txout, int depth, int input_bytes, bool spendable, bool solvable, bool safe, int64_t time, bool from_me, const CAmount fees)
97 : : : COutput(outpoint, txout, depth, input_bytes, spendable, solvable, safe, time, from_me)
98 : : {
99 : : // if input_bytes is unknown, then fees should be 0, if input_bytes is known, then the fees should be a positive integer or 0 (input_bytes known and fees = 0 only happens in the tests)
100 : : assert((input_bytes < 0 && fees == 0) || (input_bytes > 0 && fees >= 0));
101 : : fee = fees;
102 : : effective_value = txout.nValue - fee.value();
103 : : }
104 : :
105 : : std::string ToString() const;
106 : :
107 : : bool operator<(const COutput& rhs) const
108 : : {
109 : : return outpoint < rhs.outpoint;
110 : : }
111 : :
112 : 4084795 : void ApplyBumpFee(CAmount bump_fee)
113 : : {
114 [ + - ]: 4084795 : assert(bump_fee >= 0);
115 : 4084795 : ancestor_bump_fees = bump_fee;
116 [ + - ]: 4084795 : assert(fee);
117 : 4084795 : *fee += bump_fee;
118 : : // Note: assert(effective_value - bump_fee == nValue - fee.value());
119 : 4084795 : effective_value = txout.nValue - fee.value();
120 : 4084795 : }
121 : :
122 : 3958338 : CAmount GetFee() const
123 : : {
124 [ + - ]: 3958338 : assert(fee.has_value());
125 : 3958338 : return fee.value();
126 : : }
127 : :
128 : 9472575 : CAmount GetEffectiveValue() const
129 : : {
130 [ + - ]: 9472575 : assert(effective_value.has_value());
131 : 9472575 : return effective_value.value();
132 : : }
133 : :
134 : 3912375 : bool HasEffectiveValue() const { return effective_value.has_value(); }
135 : : };
136 : :
137 : : /** Parameters for one iteration of Coin Selection. */
138 : : struct CoinSelectionParams {
139 : : /** Randomness to use in the context of coin selection. */
140 : : FastRandomContext& rng_fast;
141 : : /** Size of a change output in bytes, determined by the output type. */
142 : 109451 : size_t change_output_size = 0;
143 : : /** Size of the input to spend a change output in virtual bytes. */
144 : 109451 : size_t change_spend_size = 0;
145 : : /** Mininmum change to target in Knapsack solver and CoinGrinder:
146 : : * select coins to cover the payment and at least this value of change. */
147 : 109451 : CAmount m_min_change_target{0};
148 : : /** Minimum amount for creating a change output.
149 : : * If change budget is smaller than min_change then we forgo creation of change output.
150 : : */
151 : 109451 : CAmount min_viable_change{0};
152 : : /** Cost of creating the change output. */
153 : 109451 : CAmount m_change_fee{0};
154 : : /** Cost of creating the change output + cost of spending the change output in the future. */
155 : 109451 : CAmount m_cost_of_change{0};
156 : : /** The targeted feerate of the transaction being built. */
157 : : CFeeRate m_effective_feerate;
158 : : /** The feerate estimate used to estimate an upper bound on what should be sufficient to spend
159 : : * the change output sometime in the future. */
160 : : CFeeRate m_long_term_feerate;
161 : : /** If the cost to spend a change output at the discard feerate exceeds its value, drop it to fees. */
162 : : CFeeRate m_discard_feerate;
163 : : /** Size of the transaction before coin selection, consisting of the header and recipient
164 : : * output(s), excluding the inputs and change output(s). */
165 : 109451 : size_t tx_noinputs_size = 0;
166 : : /** Indicate that we are subtracting the fee from outputs */
167 : 109451 : bool m_subtract_fee_outputs = false;
168 : : /** When true, always spend all (up to OUTPUT_GROUP_MAX_ENTRIES) or none of the outputs
169 : : * associated with the same address. This helps reduce privacy leaks resulting from address
170 : : * reuse. Dust outputs are not eligible to be added to output groups and thus not considered. */
171 : 109451 : bool m_avoid_partial_spends = false;
172 : : /**
173 : : * When true, allow unsafe coins to be selected during Coin Selection. This may spend unconfirmed outputs:
174 : : * 1) Received from other wallets, 2) replacing other txs, 3) that have been replaced.
175 : : */
176 : 109451 : bool m_include_unsafe_inputs = false;
177 : :
178 : : CoinSelectionParams(FastRandomContext& rng_fast, size_t change_output_size, size_t change_spend_size,
179 : : CAmount min_change_target, CFeeRate effective_feerate,
180 : : CFeeRate long_term_feerate, CFeeRate discard_feerate, size_t tx_noinputs_size, bool avoid_partial)
181 : : : rng_fast{rng_fast},
182 : : change_output_size(change_output_size),
183 : : change_spend_size(change_spend_size),
184 : : m_min_change_target(min_change_target),
185 : : m_effective_feerate(effective_feerate),
186 : : m_long_term_feerate(long_term_feerate),
187 : : m_discard_feerate(discard_feerate),
188 : : tx_noinputs_size(tx_noinputs_size),
189 : : m_avoid_partial_spends(avoid_partial)
190 : : {
191 : : }
192 : 218902 : CoinSelectionParams(FastRandomContext& rng_fast)
193 : 218902 : : rng_fast{rng_fast} {}
194 : : };
195 : :
196 : : /** Parameters for filtering which OutputGroups we may use in coin selection.
197 : : * We start by being very selective and requiring multiple confirmations and
198 : : * then get more permissive if we cannot fund the transaction. */
199 : : struct CoinEligibilityFilter
200 : : {
201 : : /** Minimum number of confirmations for outputs that we sent to ourselves.
202 : : * We may use unconfirmed UTXOs sent from ourselves, e.g. change outputs. */
203 : : const int conf_mine;
204 : : /** Minimum number of confirmations for outputs received from a different wallet. */
205 : : const int conf_theirs;
206 : : /** Maximum number of unconfirmed ancestors aggregated across all UTXOs in an OutputGroup. */
207 : : const uint64_t max_ancestors;
208 : : /** Maximum number of descendants that a single UTXO in the OutputGroup may have. */
209 : : const uint64_t max_descendants;
210 : : /** When avoid_reuse=true and there are full groups (OUTPUT_GROUP_MAX_ENTRIES), whether or not to use any partial groups.*/
211 : 355171 : const bool m_include_partial_groups{false};
212 : :
213 : : CoinEligibilityFilter() = delete;
214 : 539562 : CoinEligibilityFilter(int conf_mine, int conf_theirs, uint64_t max_ancestors) : conf_mine(conf_mine), conf_theirs(conf_theirs), max_ancestors(max_ancestors), max_descendants(max_ancestors) {}
215 : 170780 : CoinEligibilityFilter(int conf_mine, int conf_theirs, uint64_t max_ancestors, uint64_t max_descendants) : conf_mine(conf_mine), conf_theirs(conf_theirs), max_ancestors(max_ancestors), max_descendants(max_descendants) {}
216 : 46534 : CoinEligibilityFilter(int conf_mine, int conf_theirs, uint64_t max_ancestors, uint64_t max_descendants, bool include_partial) : conf_mine(conf_mine), conf_theirs(conf_theirs), max_ancestors(max_ancestors), max_descendants(max_descendants), m_include_partial_groups(include_partial) {}
217 : :
218 : 61316974 : bool operator<(const CoinEligibilityFilter& other) const {
219 : 122633948 : return std::tie(conf_mine, conf_theirs, max_ancestors, max_descendants, m_include_partial_groups)
220 : 61316974 : < std::tie(other.conf_mine, other.conf_theirs, other.max_ancestors, other.max_descendants, other.m_include_partial_groups);
221 : : }
222 : : };
223 : :
224 : : /** A group of UTXOs paid to the same output script. */
225 : : struct OutputGroup
226 : : {
227 : : /** The list of UTXOs contained in this output group. */
228 : : std::vector<std::shared_ptr<COutput>> m_outputs;
229 : : /** Whether the UTXOs were sent by the wallet to itself. This is relevant because we may want at
230 : : * least a certain number of confirmations on UTXOs received from outside wallets while trusting
231 : : * our own UTXOs more. */
232 : 2835591 : bool m_from_me{true};
233 : : /** The total value of the UTXOs in sum. */
234 : 2835591 : CAmount m_value{0};
235 : : /** The minimum number of confirmations the UTXOs in the group have. Unconfirmed is 0. */
236 : 2835591 : int m_depth{999};
237 : : /** The aggregated count of unconfirmed ancestors of all UTXOs in this
238 : : * group. Not deduplicated and may overestimate when ancestors are shared. */
239 : 2835591 : size_t m_ancestors{0};
240 : : /** The maximum count of descendants of a single UTXO in this output group. */
241 : 2835591 : size_t m_descendants{0};
242 : : /** The value of the UTXOs after deducting the cost of spending them at the effective feerate. */
243 : 2835591 : CAmount effective_value{0};
244 : : /** The fee to spend these UTXOs at the effective feerate. */
245 : 2835591 : CAmount fee{0};
246 : : /** The fee to spend these UTXOs at the long term feerate. */
247 : 2835591 : CAmount long_term_fee{0};
248 : : /** The feerate for spending a created change output eventually (i.e. not urgently, and thus at
249 : : * a lower feerate). Calculated using long term fee estimate. This is used to decide whether
250 : : * it could be economical to create a change output. */
251 : : CFeeRate m_long_term_feerate{0};
252 : : /** Indicate that we are subtracting the fee from outputs.
253 : : * When true, the value that is used for coin selection is the UTXO's real value rather than effective value */
254 : : bool m_subtract_fee_outputs{false};
255 : : /** Total weight of the UTXOs in this group. */
256 : 2835591 : int m_weight{0};
257 : :
258 : : OutputGroup() {}
259 : 2835591 : OutputGroup(const CoinSelectionParams& params) :
260 : 2835591 : m_long_term_feerate(params.m_long_term_feerate),
261 : 2835591 : m_subtract_fee_outputs(params.m_subtract_fee_outputs)
262 : 2835591 : {}
263 : :
264 : : void Insert(const std::shared_ptr<COutput>& output, size_t ancestors, size_t descendants);
265 : : bool EligibleForSpending(const CoinEligibilityFilter& eligibility_filter) const;
266 : : CAmount GetSelectionAmount() const;
267 : : };
268 : :
269 : : struct Groups {
270 : : // Stores 'OutputGroup' containing only positive UTXOs (value > 0).
271 : : std::vector<OutputGroup> positive_group;
272 : : // Stores 'OutputGroup' which may contain both positive and negative UTXOs.
273 : : std::vector<OutputGroup> mixed_group;
274 : : };
275 : :
276 : : /** Stores several 'Groups' whose were mapped by output type. */
277 : : struct OutputGroupTypeMap
278 : : {
279 : : // Maps output type to output groups.
280 : : std::map<OutputType, Groups> groups_by_type;
281 : : // All inserted groups, no type distinction.
282 : : Groups all_groups;
283 : :
284 : : // Based on the insert flag; appends group to the 'mixed_group' and, if value > 0, to the 'positive_group'.
285 : : // This affects both; the groups filtered by type and the overall groups container.
286 : : void Push(const OutputGroup& group, OutputType type, bool insert_positive, bool insert_mixed);
287 : : // Different output types count
288 : 126 : size_t TypesCount() { return groups_by_type.size(); }
289 : : };
290 : :
291 : : typedef std::map<CoinEligibilityFilter, OutputGroupTypeMap> FilteredOutputGroups;
292 : :
293 : : /** Choose a random change target for each transaction to make it harder to fingerprint the Core
294 : : * wallet based on the change output values of transactions it creates.
295 : : * Change target covers at least change fees and adds a random value on top of it.
296 : : * The random value is between 50ksat and min(2 * payment_value, 1milsat)
297 : : * When payment_value <= 25ksat, the value is just 50ksat.
298 : : *
299 : : * Making change amounts similar to the payment value may help disguise which output(s) are payments
300 : : * are which ones are change. Using double the payment value may increase the number of inputs
301 : : * needed (and thus be more expensive in fees), but breaks analysis techniques which assume the
302 : : * coins selected are just sufficient to cover the payment amount ("unnecessary input" heuristic).
303 : : *
304 : : * @param[in] payment_value Average payment value of the transaction output(s).
305 : : * @param[in] change_fee Fee for creating a change output.
306 : : */
307 : : [[nodiscard]] CAmount GenerateChangeTarget(const CAmount payment_value, const CAmount change_fee, FastRandomContext& rng);
308 : :
309 : : enum class SelectionAlgorithm : uint8_t
310 : : {
311 : : BNB = 0,
312 : : KNAPSACK = 1,
313 : : SRD = 2,
314 : : CG = 3,
315 : : MANUAL = 4,
316 : : };
317 : :
318 : : std::string GetAlgorithmName(const SelectionAlgorithm algo);
319 : :
320 : : struct SelectionResult
321 : : {
322 : : private:
323 : : /** Set of inputs selected by the algorithm to use in the transaction */
324 : : std::set<std::shared_ptr<COutput>> m_selected_inputs;
325 : : /** The target the algorithm selected for. Equal to the recipient amount plus non-input fees */
326 : : CAmount m_target;
327 : : /** The algorithm used to produce this result */
328 : : SelectionAlgorithm m_algo;
329 : : /** Whether the input values for calculations should be the effective value (true) or normal value (false) */
330 : 397132 : bool m_use_effective{false};
331 : : /** The computed waste */
332 : : std::optional<CAmount> m_waste;
333 : : /** False if algorithm was cut short by hitting limit of attempts and solution is non-optimal */
334 : 397132 : bool m_algo_completed{true};
335 : : /** The count of selections that were evaluated by this coin selection attempt */
336 : : size_t m_selections_evaluated;
337 : : /** Total weight of the selected inputs */
338 : 397132 : int m_weight{0};
339 : : /** How much individual inputs overestimated the bump fees for the shared ancestry */
340 : 397132 : CAmount bump_fee_group_discount{0};
341 : :
342 : : template<typename T>
343 : 563762 : void InsertInputs(const T& inputs)
344 : : {
345 : : // Store sum of combined input sets to check that the results have no shared UTXOs
346 : 563762 : const size_t expected_count = m_selected_inputs.size() + inputs.size();
347 : 563762 : util::insert(m_selected_inputs, inputs);
348 [ + - + - ]: 563762 : if (m_selected_inputs.size() != expected_count) {
349 [ # # # # : 0 : throw std::runtime_error(STR_INTERNAL_BUG("Shared UTXOs among selection results"));
# # # # #
# # # # #
# # ]
350 : : }
351 : 563762 : }
352 : :
353 : : public:
354 : 794264 : explicit SelectionResult(const CAmount target, SelectionAlgorithm algo)
355 : 794264 : : m_target(target), m_algo(algo) {}
356 : :
357 : : SelectionResult() = delete;
358 : :
359 : : /** Get the sum of the input values */
360 : : [[nodiscard]] CAmount GetSelectedValue() const;
361 : :
362 : : [[nodiscard]] CAmount GetSelectedEffectiveValue() const;
363 : :
364 : : [[nodiscard]] CAmount GetTotalBumpFees() const;
365 : :
366 : : void Clear();
367 : :
368 : : void AddInput(const OutputGroup& group);
369 : : void AddInputs(const std::set<std::shared_ptr<COutput>>& inputs, bool subtract_fee_outputs);
370 : :
371 : : /** How much individual inputs overestimated the bump fees for shared ancestries */
372 : : void SetBumpFeeDiscount(const CAmount discount);
373 : :
374 : : /** Calculates and stores the waste for this result given the cost of change
375 : : * and the opportunity cost of spending these inputs now vs in the future.
376 : : * If change exists, waste = change_cost + inputs * (effective_feerate - long_term_feerate) - bump_fee_group_discount
377 : : * If no change, waste = excess + inputs * (effective_feerate - long_term_feerate) - bump_fee_group_discount
378 : : * where excess = selected_effective_value - target
379 : : * change_cost = effective_feerate * change_output_size + long_term_feerate * change_spend_size
380 : : *
381 : : * @param[in] min_viable_change The minimum amount necessary to make a change output economic
382 : : * @param[in] change_cost The cost of creating a change output and spending it in the future. Only
383 : : * used if there is change, in which case it must be non-negative.
384 : : * @param[in] change_fee The fee for creating a change output
385 : : */
386 : : void RecalculateWaste(const CAmount min_viable_change, const CAmount change_cost, const CAmount change_fee);
387 : : [[nodiscard]] CAmount GetWaste() const;
388 : :
389 : : /** Tracks that algorithm was able to exhaustively search the entire combination space before hitting limit of tries */
390 : : void SetAlgoCompleted(bool algo_completed);
391 : :
392 : : /** Get m_algo_completed */
393 : : bool GetAlgoCompleted() const;
394 : :
395 : : /** Record the number of selections that were evaluated */
396 : : void SetSelectionsEvaluated(size_t attempts);
397 : :
398 : : /** Get selections_evaluated */
399 : : size_t GetSelectionsEvaluated() const ;
400 : :
401 : : /**
402 : : * Combines the @param[in] other selection result into 'this' selection result.
403 : : *
404 : : * Important note:
405 : : * There must be no shared 'COutput' among the two selection results being combined.
406 : : */
407 : : void Merge(const SelectionResult& other);
408 : :
409 : : /** Get m_selected_inputs */
410 : : const std::set<std::shared_ptr<COutput>>& GetInputSet() const;
411 : : /** Get the vector of COutputs that will be used to fill in a CTransaction's vin */
412 : : std::vector<std::shared_ptr<COutput>> GetShuffledInputVector() const;
413 : :
414 : : bool operator<(SelectionResult other) const;
415 : :
416 : : /** Get the amount for the change output after paying needed fees.
417 : : *
418 : : * The change amount is not 100% precise due to discrepancies in fee calculation.
419 : : * The final change amount (if any) should be corrected after calculating the final tx fees.
420 : : * When there is a discrepancy, most of the time the final change would be slightly bigger than estimated.
421 : : *
422 : : * Following are the possible factors of discrepancy:
423 : : * + non-input fees always include segwit flags
424 : : * + input fee estimation always include segwit stack size
425 : : * + input fees are rounded individually and not collectively, which leads to small rounding errors
426 : : * - input counter size is always assumed to be 1vbyte
427 : : *
428 : : * @param[in] min_viable_change Minimum amount for change output, if change would be less then we forgo change
429 : : * @param[in] change_fee Fees to include change output in the tx
430 : : * @returns Amount for change output, 0 when there is no change.
431 : : *
432 : : */
433 : : CAmount GetChange(const CAmount min_viable_change, const CAmount change_fee) const;
434 : :
435 : 603 : CAmount GetTarget() const { return m_target; }
436 : :
437 : 35995 : SelectionAlgorithm GetAlgo() const { return m_algo; }
438 : :
439 : 73993 : int GetWeight() const { return m_weight; }
440 : : };
441 : :
442 : : util::Result<SelectionResult> SelectCoinsBnB(std::vector<OutputGroup>& utxo_pool, const CAmount& selection_target, const CAmount& cost_of_change,
443 : : int max_weight);
444 : :
445 : : util::Result<SelectionResult> CoinGrinder(std::vector<OutputGroup>& utxo_pool, const CAmount& selection_target, CAmount change_target, int max_weight);
446 : :
447 : : /** Select coins by Single Random Draw. OutputGroups are selected randomly from the eligible
448 : : * outputs until the target is satisfied
449 : : *
450 : : * @param[in] utxo_pool The positive effective value OutputGroups eligible for selection
451 : : * @param[in] target_value The target value to select for
452 : : * @param[in] rng The randomness source to shuffle coins
453 : : * @param[in] max_weight The maximum allowed weight for a selection result to be valid
454 : : * @returns If successful, a valid SelectionResult, otherwise, util::Error
455 : : */
456 : : util::Result<SelectionResult> SelectCoinsSRD(const std::vector<OutputGroup>& utxo_pool, CAmount target_value, CAmount change_fee, FastRandomContext& rng,
457 : : int max_weight);
458 : :
459 : : // Original coin selection algorithm as a fallback
460 : : util::Result<SelectionResult> KnapsackSolver(std::vector<OutputGroup>& groups, const CAmount& nTargetValue,
461 : : CAmount change_target, FastRandomContext& rng, int max_weight);
462 : : } // namespace wallet
463 : :
464 : : #endif // BITCOIN_WALLET_COINSELECTION_H
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