Bitcoin Core  22.99.0
P2P Digital Currency
coinselection.cpp
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1 // Copyright (c) 2017-2020 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 #include <wallet/coinselection.h>
6 
7 #include <consensus/amount.h>
8 #include <policy/feerate.h>
9 #include <util/check.h>
10 #include <util/system.h>
11 #include <util/moneystr.h>
12 
13 #include <numeric>
14 #include <optional>
15 
16 // Descending order comparator
17 struct {
18  bool operator()(const OutputGroup& a, const OutputGroup& b) const
19  {
20  return a.GetSelectionAmount() > b.GetSelectionAmount();
21  }
22 } descending;
23 
24 /*
25  * This is the Branch and Bound Coin Selection algorithm designed by Murch. It searches for an input
26  * set that can pay for the spending target and does not exceed the spending target by more than the
27  * cost of creating and spending a change output. The algorithm uses a depth-first search on a binary
28  * tree. In the binary tree, each node corresponds to the inclusion or the omission of a UTXO. UTXOs
29  * are sorted by their effective values and the trees is explored deterministically per the inclusion
30  * branch first. At each node, the algorithm checks whether the selection is within the target range.
31  * While the selection has not reached the target range, more UTXOs are included. When a selection's
32  * value exceeds the target range, the complete subtree deriving from this selection can be omitted.
33  * At that point, the last included UTXO is deselected and the corresponding omission branch explored
34  * instead. The search ends after the complete tree has been searched or after a limited number of tries.
35  *
36  * The search continues to search for better solutions after one solution has been found. The best
37  * solution is chosen by minimizing the waste metric. The waste metric is defined as the cost to
38  * spend the current inputs at the given fee rate minus the long term expected cost to spend the
39  * inputs, plus the amount the selection exceeds the spending target:
40  *
41  * waste = selectionTotal - target + inputs × (currentFeeRate - longTermFeeRate)
42  *
43  * The algorithm uses two additional optimizations. A lookahead keeps track of the total value of
44  * the unexplored UTXOs. A subtree is not explored if the lookahead indicates that the target range
45  * cannot be reached. Further, it is unnecessary to test equivalent combinations. This allows us
46  * to skip testing the inclusion of UTXOs that match the effective value and waste of an omitted
47  * predecessor.
48  *
49  * The Branch and Bound algorithm is described in detail in Murch's Master Thesis:
50  * https://murch.one/wp-content/uploads/2016/11/erhardt2016coinselection.pdf
51  *
52  * @param const std::vector<CInputCoin>& utxo_pool The set of UTXOs that we are choosing from.
53  * These UTXOs will be sorted in descending order by effective value and the CInputCoins'
54  * values are their effective values.
55  * @param const CAmount& selection_target This is the value that we want to select. It is the lower
56  * bound of the range.
57  * @param const CAmount& cost_of_change This is the cost of creating and spending a change output.
58  * This plus selection_target is the upper bound of the range.
59  * @param std::set<CInputCoin>& out_set -> This is an output parameter for the set of CInputCoins
60  * that have been selected.
61  * @param CAmount& value_ret -> This is an output parameter for the total value of the CInputCoins
62  * that were selected.
63  */
64 
65 static const size_t TOTAL_TRIES = 100000;
66 
67 bool SelectCoinsBnB(std::vector<OutputGroup>& utxo_pool, const CAmount& selection_target, const CAmount& cost_of_change, std::set<CInputCoin>& out_set, CAmount& value_ret)
68 {
69  out_set.clear();
70  CAmount curr_value = 0;
71 
72  std::vector<bool> curr_selection; // select the utxo at this index
73  curr_selection.reserve(utxo_pool.size());
74 
75  // Calculate curr_available_value
76  CAmount curr_available_value = 0;
77  for (const OutputGroup& utxo : utxo_pool) {
78  // Assert that this utxo is not negative. It should never be negative, effective value calculation should have removed it
79  assert(utxo.GetSelectionAmount() > 0);
80  curr_available_value += utxo.GetSelectionAmount();
81  }
82  if (curr_available_value < selection_target) {
83  return false;
84  }
85 
86  // Sort the utxo_pool
87  std::sort(utxo_pool.begin(), utxo_pool.end(), descending);
88 
89  CAmount curr_waste = 0;
90  std::vector<bool> best_selection;
91  CAmount best_waste = MAX_MONEY;
92 
93  // Depth First search loop for choosing the UTXOs
94  for (size_t i = 0; i < TOTAL_TRIES; ++i) {
95  // Conditions for starting a backtrack
96  bool backtrack = false;
97  if (curr_value + curr_available_value < selection_target || // Cannot possibly reach target with the amount remaining in the curr_available_value.
98  curr_value > selection_target + cost_of_change || // Selected value is out of range, go back and try other branch
99  (curr_waste > best_waste && (utxo_pool.at(0).fee - utxo_pool.at(0).long_term_fee) > 0)) { // Don't select things which we know will be more wasteful if the waste is increasing
100  backtrack = true;
101  } else if (curr_value >= selection_target) { // Selected value is within range
102  curr_waste += (curr_value - selection_target); // This is the excess value which is added to the waste for the below comparison
103  // Adding another UTXO after this check could bring the waste down if the long term fee is higher than the current fee.
104  // However we are not going to explore that because this optimization for the waste is only done when we have hit our target
105  // value. Adding any more UTXOs will be just burning the UTXO; it will go entirely to fees. Thus we aren't going to
106  // explore any more UTXOs to avoid burning money like that.
107  if (curr_waste <= best_waste) {
108  best_selection = curr_selection;
109  best_selection.resize(utxo_pool.size());
110  best_waste = curr_waste;
111  if (best_waste == 0) {
112  break;
113  }
114  }
115  curr_waste -= (curr_value - selection_target); // Remove the excess value as we will be selecting different coins now
116  backtrack = true;
117  }
118 
119  // Backtracking, moving backwards
120  if (backtrack) {
121  // Walk backwards to find the last included UTXO that still needs to have its omission branch traversed.
122  while (!curr_selection.empty() && !curr_selection.back()) {
123  curr_selection.pop_back();
124  curr_available_value += utxo_pool.at(curr_selection.size()).GetSelectionAmount();
125  }
126 
127  if (curr_selection.empty()) { // We have walked back to the first utxo and no branch is untraversed. All solutions searched
128  break;
129  }
130 
131  // Output was included on previous iterations, try excluding now.
132  curr_selection.back() = false;
133  OutputGroup& utxo = utxo_pool.at(curr_selection.size() - 1);
134  curr_value -= utxo.GetSelectionAmount();
135  curr_waste -= utxo.fee - utxo.long_term_fee;
136  } else { // Moving forwards, continuing down this branch
137  OutputGroup& utxo = utxo_pool.at(curr_selection.size());
138 
139  // Remove this utxo from the curr_available_value utxo amount
140  curr_available_value -= utxo.GetSelectionAmount();
141 
142  // Avoid searching a branch if the previous UTXO has the same value and same waste and was excluded. Since the ratio of fee to
143  // long term fee is the same, we only need to check if one of those values match in order to know that the waste is the same.
144  if (!curr_selection.empty() && !curr_selection.back() &&
145  utxo.GetSelectionAmount() == utxo_pool.at(curr_selection.size() - 1).GetSelectionAmount() &&
146  utxo.fee == utxo_pool.at(curr_selection.size() - 1).fee) {
147  curr_selection.push_back(false);
148  } else {
149  // Inclusion branch first (Largest First Exploration)
150  curr_selection.push_back(true);
151  curr_value += utxo.GetSelectionAmount();
152  curr_waste += utxo.fee - utxo.long_term_fee;
153  }
154  }
155  }
156 
157  // Check for solution
158  if (best_selection.empty()) {
159  return false;
160  }
161 
162  // Set output set
163  value_ret = 0;
164  for (size_t i = 0; i < best_selection.size(); ++i) {
165  if (best_selection.at(i)) {
166  util::insert(out_set, utxo_pool.at(i).m_outputs);
167  value_ret += utxo_pool.at(i).m_value;
168  }
169  }
170 
171  return true;
172 }
173 
174 std::optional<std::pair<std::set<CInputCoin>, CAmount>> SelectCoinsSRD(const std::vector<OutputGroup>& utxo_pool, CAmount target_value)
175 {
176  std::set<CInputCoin> out_set;
177  CAmount value_ret = 0;
178 
179  std::vector<size_t> indexes;
180  indexes.resize(utxo_pool.size());
181  std::iota(indexes.begin(), indexes.end(), 0);
182  Shuffle(indexes.begin(), indexes.end(), FastRandomContext());
183 
184  CAmount selected_eff_value = 0;
185  for (const size_t i : indexes) {
186  const OutputGroup& group = utxo_pool.at(i);
187  Assume(group.GetSelectionAmount() > 0);
188  selected_eff_value += group.GetSelectionAmount();
189  value_ret += group.m_value;
190  util::insert(out_set, group.m_outputs);
191  if (selected_eff_value >= target_value) {
192  return std::make_pair(out_set, value_ret);
193  }
194  }
195  return std::nullopt;
196 }
197 
198 static void ApproximateBestSubset(const std::vector<OutputGroup>& groups, const CAmount& nTotalLower, const CAmount& nTargetValue,
199  std::vector<char>& vfBest, CAmount& nBest, int iterations = 1000)
200 {
201  std::vector<char> vfIncluded;
202 
203  vfBest.assign(groups.size(), true);
204  nBest = nTotalLower;
205 
206  FastRandomContext insecure_rand;
207 
208  for (int nRep = 0; nRep < iterations && nBest != nTargetValue; nRep++)
209  {
210  vfIncluded.assign(groups.size(), false);
211  CAmount nTotal = 0;
212  bool fReachedTarget = false;
213  for (int nPass = 0; nPass < 2 && !fReachedTarget; nPass++)
214  {
215  for (unsigned int i = 0; i < groups.size(); i++)
216  {
217  //The solver here uses a randomized algorithm,
218  //the randomness serves no real security purpose but is just
219  //needed to prevent degenerate behavior and it is important
220  //that the rng is fast. We do not use a constant random sequence,
221  //because there may be some privacy improvement by making
222  //the selection random.
223  if (nPass == 0 ? insecure_rand.randbool() : !vfIncluded[i])
224  {
225  nTotal += groups[i].GetSelectionAmount();
226  vfIncluded[i] = true;
227  if (nTotal >= nTargetValue)
228  {
229  fReachedTarget = true;
230  if (nTotal < nBest)
231  {
232  nBest = nTotal;
233  vfBest = vfIncluded;
234  }
235  nTotal -= groups[i].GetSelectionAmount();
236  vfIncluded[i] = false;
237  }
238  }
239  }
240  }
241  }
242 }
243 
244 bool KnapsackSolver(const CAmount& nTargetValue, std::vector<OutputGroup>& groups, std::set<CInputCoin>& setCoinsRet, CAmount& nValueRet)
245 {
246  setCoinsRet.clear();
247  nValueRet = 0;
248 
249  // List of values less than target
250  std::optional<OutputGroup> lowest_larger;
251  std::vector<OutputGroup> applicable_groups;
252  CAmount nTotalLower = 0;
253 
254  Shuffle(groups.begin(), groups.end(), FastRandomContext());
255 
256  for (const OutputGroup& group : groups) {
257  if (group.GetSelectionAmount() == nTargetValue) {
258  util::insert(setCoinsRet, group.m_outputs);
259  nValueRet += group.m_value;
260  return true;
261  } else if (group.GetSelectionAmount() < nTargetValue + MIN_CHANGE) {
262  applicable_groups.push_back(group);
263  nTotalLower += group.GetSelectionAmount();
264  } else if (!lowest_larger || group.GetSelectionAmount() < lowest_larger->GetSelectionAmount()) {
265  lowest_larger = group;
266  }
267  }
268 
269  if (nTotalLower == nTargetValue) {
270  for (const auto& group : applicable_groups) {
271  util::insert(setCoinsRet, group.m_outputs);
272  nValueRet += group.m_value;
273  }
274  return true;
275  }
276 
277  if (nTotalLower < nTargetValue) {
278  if (!lowest_larger) return false;
279  util::insert(setCoinsRet, lowest_larger->m_outputs);
280  nValueRet += lowest_larger->m_value;
281  return true;
282  }
283 
284  // Solve subset sum by stochastic approximation
285  std::sort(applicable_groups.begin(), applicable_groups.end(), descending);
286  std::vector<char> vfBest;
287  CAmount nBest;
288 
289  ApproximateBestSubset(applicable_groups, nTotalLower, nTargetValue, vfBest, nBest);
290  if (nBest != nTargetValue && nTotalLower >= nTargetValue + MIN_CHANGE) {
291  ApproximateBestSubset(applicable_groups, nTotalLower, nTargetValue + MIN_CHANGE, vfBest, nBest);
292  }
293 
294  // If we have a bigger coin and (either the stochastic approximation didn't find a good solution,
295  // or the next bigger coin is closer), return the bigger coin
296  if (lowest_larger &&
297  ((nBest != nTargetValue && nBest < nTargetValue + MIN_CHANGE) || lowest_larger->GetSelectionAmount() <= nBest)) {
298  util::insert(setCoinsRet, lowest_larger->m_outputs);
299  nValueRet += lowest_larger->m_value;
300  } else {
301  for (unsigned int i = 0; i < applicable_groups.size(); i++) {
302  if (vfBest[i]) {
303  util::insert(setCoinsRet, applicable_groups[i].m_outputs);
304  nValueRet += applicable_groups[i].m_value;
305  }
306  }
307 
309  std::string log_message{"Coin selection best subset: "};
310  for (unsigned int i = 0; i < applicable_groups.size(); i++) {
311  if (vfBest[i]) {
312  log_message += strprintf("%s ", FormatMoney(applicable_groups[i].m_value));
313  }
314  }
315  LogPrint(BCLog::SELECTCOINS, "%stotal %s\n", log_message, FormatMoney(nBest));
316  }
317  }
318 
319  return true;
320 }
321 
322 /******************************************************************************
323 
324  OutputGroup
325 
326  ******************************************************************************/
327 
328 void OutputGroup::Insert(const CInputCoin& output, int depth, bool from_me, size_t ancestors, size_t descendants, bool positive_only) {
329  // Compute the effective value first
330  const CAmount coin_fee = output.m_input_bytes < 0 ? 0 : m_effective_feerate.GetFee(output.m_input_bytes);
331  const CAmount ev = output.txout.nValue - coin_fee;
332 
333  // Filter for positive only here before adding the coin
334  if (positive_only && ev <= 0) return;
335 
336  m_outputs.push_back(output);
337  CInputCoin& coin = m_outputs.back();
338 
339  coin.m_fee = coin_fee;
340  fee += coin.m_fee;
341 
344 
345  coin.effective_value = ev;
347 
348  m_from_me &= from_me;
349  m_value += output.txout.nValue;
350  m_depth = std::min(m_depth, depth);
351  // ancestors here express the number of ancestors the new coin will end up having, which is
352  // the sum, rather than the max; this will overestimate in the cases where multiple inputs
353  // have common ancestors
354  m_ancestors += ancestors;
355  // descendants is the count as seen from the top ancestor, not the descendants as seen from the
356  // coin itself; thus, this value is counted as the max, not the sum
357  m_descendants = std::max(m_descendants, descendants);
358 }
359 
360 bool OutputGroup::EligibleForSpending(const CoinEligibilityFilter& eligibility_filter) const
361 {
362  return m_depth >= (m_from_me ? eligibility_filter.conf_mine : eligibility_filter.conf_theirs)
363  && m_ancestors <= eligibility_filter.max_ancestors
364  && m_descendants <= eligibility_filter.max_descendants;
365 }
366 
368 {
370 }
371 
372 CAmount GetSelectionWaste(const std::set<CInputCoin>& inputs, CAmount change_cost, CAmount target, bool use_effective_value)
373 {
374  // This function should not be called with empty inputs as that would mean the selection failed
375  assert(!inputs.empty());
376 
377  // Always consider the cost of spending an input now vs in the future.
378  CAmount waste = 0;
379  CAmount selected_effective_value = 0;
380  for (const CInputCoin& coin : inputs) {
381  waste += coin.m_fee - coin.m_long_term_fee;
382  selected_effective_value += use_effective_value ? coin.effective_value : coin.txout.nValue;
383  }
384 
385  if (change_cost) {
386  // Consider the cost of making change and spending it in the future
387  // If we aren't making change, the caller should've set change_cost to 0
388  assert(change_cost > 0);
389  waste += change_cost;
390  } else {
391  // When we are not making change (change_cost == 0), consider the excess we are throwing away to fees
392  assert(selected_effective_value >= target);
393  waste += selected_effective_value - target;
394  }
395 
396  return waste;
397 }
GetSelectionWaste
CAmount GetSelectionWaste(const std::set< CInputCoin > &inputs, CAmount change_cost, CAmount target, bool use_effective_value)
Compute the waste for this result given the cost of change and the opportunity cost of spending these...
Definition: coinselection.cpp:372
OutputGroup::Insert
void Insert(const CInputCoin &output, int depth, bool from_me, size_t ancestors, size_t descendants, bool positive_only)
Definition: coinselection.cpp:328
OutputGroup::m_depth
int m_depth
The minimum number of confirmations the UTXOs in the group have.
Definition: coinselection.h:149
feerate.h
CoinEligibilityFilter::max_descendants
const uint64_t max_descendants
Maximum number of descendants that a single UTXO in the OutputGroup may have.
Definition: coinselection.h:128
assert
assert(!tx.IsCoinBase())
check.h
MIN_CHANGE
static constexpr CAmount MIN_CHANGE
target minimum change amount
Definition: coinselection.h:16
OutputGroup::m_subtract_fee_outputs
bool m_subtract_fee_outputs
Indicate that we are subtracting the fee from outputs.
Definition: coinselection.h:169
OutputGroup
A group of UTXOs paid to the same output script.
Definition: coinselection.h:138
moneystr.h
CoinEligibilityFilter::conf_theirs
const int conf_theirs
Minimum number of confirmations for outputs received from a different wallet.
Definition: coinselection.h:124
FastRandomContext::randbool
bool randbool() noexcept
Generate a random boolean.
Definition: random.h:211
OutputGroup::m_long_term_feerate
CFeeRate m_long_term_feerate
The feerate for spending a created change output eventually (i.e.
Definition: coinselection.h:166
CoinEligibilityFilter::max_ancestors
const uint64_t max_ancestors
Maximum number of unconfirmed ancestors aggregated across all UTXOs in an OutputGroup.
Definition: coinselection.h:126
OutputGroup::effective_value
CAmount effective_value
The value of the UTXOs after deducting the cost of spending them at the effective feerate.
Definition: coinselection.h:156
CInputCoin::effective_value
CAmount effective_value
Definition: coinselection.h:54
CInputCoin::m_fee
CAmount m_fee
Definition: coinselection.h:55
CoinEligibilityFilter
Parameters for filtering which OutputGroups we may use in coin selection.
Definition: coinselection.h:118
OutputGroup::m_outputs
std::vector< CInputCoin > m_outputs
The list of UTXOs contained in this output group.
Definition: coinselection.h:141
ApproximateBestSubset
static void ApproximateBestSubset(const std::vector< OutputGroup > &groups, const CAmount &nTotalLower, const CAmount &nTargetValue, std::vector< char > &vfBest, CAmount &nBest, int iterations=1000)
Definition: coinselection.cpp:198
OutputGroup::m_effective_feerate
CFeeRate m_effective_feerate
The target feerate of the transaction we're trying to build.
Definition: coinselection.h:160
CTxOut::nValue
CAmount nValue
Definition: transaction.h:131
Assume
#define Assume(val)
Assume is the identity function.
Definition: check.h:72
coinselection.h
descending
struct @16 descending
OutputGroup::long_term_fee
CAmount long_term_fee
The fee to spend these UTXOs at the long term feerate.
Definition: coinselection.h:162
SelectCoinsBnB
bool SelectCoinsBnB(std::vector< OutputGroup > &utxo_pool, const CAmount &selection_target, const CAmount &cost_of_change, std::set< CInputCoin > &out_set, CAmount &value_ret)
Definition: coinselection.cpp:67
TOTAL_TRIES
static const size_t TOTAL_TRIES
Definition: coinselection.cpp:65
CInputCoin::txout
CTxOut txout
Definition: coinselection.h:53
OutputGroup::m_value
CAmount m_value
The total value of the UTXOs in sum.
Definition: coinselection.h:147
CAmount
int64_t CAmount
Amount in satoshis (Can be negative)
Definition: amount.h:12
KnapsackSolver
bool KnapsackSolver(const CAmount &nTargetValue, std::vector< OutputGroup > &groups, std::set< CInputCoin > &setCoinsRet, CAmount &nValueRet)
Definition: coinselection.cpp:244
CInputCoin::m_input_bytes
int m_input_bytes
Pre-computed estimated size of this output as a fully-signed input in a transaction.
Definition: coinselection.h:59
Shuffle
void Shuffle(I first, I last, R &&rng)
More efficient than using std::shuffle on a FastRandomContext.
Definition: random.h:231
SelectCoinsSRD
std::optional< std::pair< std::set< CInputCoin >, CAmount > > SelectCoinsSRD(const std::vector< OutputGroup > &utxo_pool, CAmount target_value)
Select coins by Single Random Draw.
Definition: coinselection.cpp:174
LogPrint
#define LogPrint(category,...)
Definition: logging.h:191
OutputGroup::fee
CAmount fee
The fee to spend these UTXOs at the effective feerate.
Definition: coinselection.h:158
CInputCoin
A UTXO under consideration for use in funding a new transaction.
Definition: coinselection.h:21
system.h
strprintf
#define strprintf
Format arguments and return the string or write to given std::ostream (see tinyformat::format doc for...
Definition: tinyformat.h:1164
OutputGroup::GetSelectionAmount
CAmount GetSelectionAmount() const
Definition: coinselection.cpp:367
LogAcceptCategory
static bool LogAcceptCategory(BCLog::LogFlags category)
Return true if log accepts specified category.
Definition: logging.h:160
CoinEligibilityFilter::conf_mine
const int conf_mine
Minimum number of confirmations for outputs that we sent to ourselves.
Definition: coinselection.h:122
util::insert
void insert(Tdst &dst, const Tsrc &src)
Simplification of std insertion.
Definition: system.h:512
BCLog::SELECTCOINS
@ SELECTCOINS
Definition: logging.h:48
OutputGroup::m_from_me
bool m_from_me
Whether the UTXOs were sent by the wallet to itself.
Definition: coinselection.h:145
MAX_MONEY
static constexpr CAmount MAX_MONEY
No amount larger than this (in satoshi) is valid.
Definition: amount.h:26
CFeeRate::GetFee
CAmount GetFee(uint32_t num_bytes) const
Return the fee in satoshis for the given size in bytes.
Definition: feerate.cpp:23
OutputGroup::m_descendants
size_t m_descendants
The maximum count of descendants of a single UTXO in this output group.
Definition: coinselection.h:154
OutputGroup::m_ancestors
size_t m_ancestors
The aggregated count of unconfirmed ancestors of all UTXOs in this group.
Definition: coinselection.h:152
amount.h
CInputCoin::m_long_term_fee
CAmount m_long_term_fee
Definition: coinselection.h:56
FastRandomContext
Fast randomness source.
Definition: random.h:119
OutputGroup::EligibleForSpending
bool EligibleForSpending(const CoinEligibilityFilter &eligibility_filter) const
Definition: coinselection.cpp:360
FormatMoney
std::string FormatMoney(const CAmount n)
Money parsing/formatting utilities.
Definition: moneystr.cpp:15