// Copyright (c) 2017-2022 The Bitcoin Core developers // Distributed under the MIT software license, see the accompanying // file COPYING or http://www.opensource.org/licenses/mit-license.php. #ifndef BITCOIN_WALLET_COINSELECTION_H #define BITCOIN_WALLET_COINSELECTION_H #include #include #include #include #include #include #include #include #include #include namespace wallet { //! lower bound for randomly-chosen target change amount static constexpr CAmount CHANGE_LOWER{50000}; //! upper bound for randomly-chosen target change amount static constexpr CAmount CHANGE_UPPER{1000000}; /** A UTXO under consideration for use in funding a new transaction. */ struct COutput { private: /** The output's value minus fees required to spend it and bump its unconfirmed ancestors to the target feerate. */ std::optional effective_value; /** The fee required to spend this output at the transaction's target feerate and to bump its unconfirmed ancestors to the target feerate. */ std::optional fee; public: /** The outpoint identifying this UTXO */ COutPoint outpoint; /** The output itself */ CTxOut txout; /** * Depth in block chain. * If > 0: the tx is on chain and has this many confirmations. * If = 0: the tx is waiting confirmation. * If < 0: a conflicting tx is on chain and has this many confirmations. */ int depth; /** Pre-computed estimated size of this output as a fully-signed input in a transaction. Can be -1 if it could not be calculated */ int input_bytes; /** Whether we have the private keys to spend this output */ bool spendable; /** Whether we know how to spend this output, ignoring the lack of keys */ bool solvable; /** * Whether this output is considered safe to spend. Unconfirmed transactions * from outside keys and unconfirmed replacement transactions are considered * unsafe and will not be used to fund new spending transactions. */ bool safe; /** The time of the transaction containing this output as determined by CWalletTx::nTimeSmart */ int64_t time; /** Whether the transaction containing this output is sent from the owning wallet */ bool from_me; /** The fee required to spend this output at the consolidation feerate. */ CAmount long_term_fee{0}; /** The fee necessary to bump this UTXO's ancestor transactions to the target feerate */ CAmount ancestor_bump_fees{0}; 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 feerate = std::nullopt) : outpoint{outpoint}, txout{txout}, depth{depth}, input_bytes{input_bytes}, spendable{spendable}, solvable{solvable}, safe{safe}, time{time}, from_me{from_me} { if (feerate) { // base fee without considering potential unconfirmed ancestors fee = input_bytes < 0 ? 0 : feerate.value().GetFee(input_bytes); effective_value = txout.nValue - fee.value(); } } 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) : COutput(outpoint, txout, depth, input_bytes, spendable, solvable, safe, time, from_me) { // 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) assert((input_bytes < 0 && fees == 0) || (input_bytes > 0 && fees >= 0)); fee = fees; effective_value = txout.nValue - fee.value(); } std::string ToString() const; bool operator<(const COutput& rhs) const { return outpoint < rhs.outpoint; } void ApplyBumpFee(CAmount bump_fee) { assert(bump_fee >= 0); ancestor_bump_fees = bump_fee; assert(fee); *fee += bump_fee; // Note: assert(effective_value - bump_fee == nValue - fee.value()); effective_value = txout.nValue - fee.value(); } CAmount GetFee() const { assert(fee.has_value()); return fee.value(); } CAmount GetEffectiveValue() const { assert(effective_value.has_value()); return effective_value.value(); } bool HasEffectiveValue() const { return effective_value.has_value(); } }; /** Parameters for one iteration of Coin Selection. */ struct CoinSelectionParams { /** Randomness to use in the context of coin selection. */ FastRandomContext& rng_fast; /** Size of a change output in bytes, determined by the output type. */ size_t change_output_size = 0; /** Size of the input to spend a change output in virtual bytes. */ size_t change_spend_size = 0; /** Mininmum change to target in Knapsack solver and CoinGrinder: * select coins to cover the payment and at least this value of change. */ CAmount m_min_change_target{0}; /** Minimum amount for creating a change output. * If change budget is smaller than min_change then we forgo creation of change output. */ CAmount min_viable_change{0}; /** Cost of creating the change output. */ CAmount m_change_fee{0}; /** Cost of creating the change output + cost of spending the change output in the future. */ CAmount m_cost_of_change{0}; /** The targeted feerate of the transaction being built. */ CFeeRate m_effective_feerate; /** The feerate estimate used to estimate an upper bound on what should be sufficient to spend * the change output sometime in the future. */ CFeeRate m_long_term_feerate; /** If the cost to spend a change output at the discard feerate exceeds its value, drop it to fees. */ CFeeRate m_discard_feerate; /** Size of the transaction before coin selection, consisting of the header and recipient * output(s), excluding the inputs and change output(s). */ size_t tx_noinputs_size = 0; /** Indicate that we are subtracting the fee from outputs */ bool m_subtract_fee_outputs = false; /** When true, always spend all (up to OUTPUT_GROUP_MAX_ENTRIES) or none of the outputs * associated with the same address. This helps reduce privacy leaks resulting from address * reuse. Dust outputs are not eligible to be added to output groups and thus not considered. */ bool m_avoid_partial_spends = false; /** * When true, allow unsafe coins to be selected during Coin Selection. This may spend unconfirmed outputs: * 1) Received from other wallets, 2) replacing other txs, 3) that have been replaced. */ bool m_include_unsafe_inputs = false; CoinSelectionParams(FastRandomContext& rng_fast, size_t change_output_size, size_t change_spend_size, CAmount min_change_target, CFeeRate effective_feerate, CFeeRate long_term_feerate, CFeeRate discard_feerate, size_t tx_noinputs_size, bool avoid_partial) : rng_fast{rng_fast}, change_output_size(change_output_size), change_spend_size(change_spend_size), m_min_change_target(min_change_target), m_effective_feerate(effective_feerate), m_long_term_feerate(long_term_feerate), m_discard_feerate(discard_feerate), tx_noinputs_size(tx_noinputs_size), m_avoid_partial_spends(avoid_partial) { } CoinSelectionParams(FastRandomContext& rng_fast) : rng_fast{rng_fast} {} }; /** Parameters for filtering which OutputGroups we may use in coin selection. * We start by being very selective and requiring multiple confirmations and * then get more permissive if we cannot fund the transaction. */ struct CoinEligibilityFilter { /** Minimum number of confirmations for outputs that we sent to ourselves. * We may use unconfirmed UTXOs sent from ourselves, e.g. change outputs. */ const int conf_mine; /** Minimum number of confirmations for outputs received from a different wallet. */ const int conf_theirs; /** Maximum number of unconfirmed ancestors aggregated across all UTXOs in an OutputGroup. */ const uint64_t max_ancestors; /** Maximum number of descendants that a single UTXO in the OutputGroup may have. */ const uint64_t max_descendants; /** When avoid_reuse=true and there are full groups (OUTPUT_GROUP_MAX_ENTRIES), whether or not to use any partial groups.*/ const bool m_include_partial_groups{false}; CoinEligibilityFilter() = delete; 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) {} 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) {} 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) {} bool operator<(const CoinEligibilityFilter& other) const { return std::tie(conf_mine, conf_theirs, max_ancestors, max_descendants, m_include_partial_groups) < std::tie(other.conf_mine, other.conf_theirs, other.max_ancestors, other.max_descendants, other.m_include_partial_groups); } }; /** A group of UTXOs paid to the same output script. */ struct OutputGroup { /** The list of UTXOs contained in this output group. */ std::vector> m_outputs; /** Whether the UTXOs were sent by the wallet to itself. This is relevant because we may want at * least a certain number of confirmations on UTXOs received from outside wallets while trusting * our own UTXOs more. */ bool m_from_me{true}; /** The total value of the UTXOs in sum. */ CAmount m_value{0}; /** The minimum number of confirmations the UTXOs in the group have. Unconfirmed is 0. */ int m_depth{999}; /** The aggregated count of unconfirmed ancestors of all UTXOs in this * group. Not deduplicated and may overestimate when ancestors are shared. */ size_t m_ancestors{0}; /** The maximum count of descendants of a single UTXO in this output group. */ size_t m_descendants{0}; /** The value of the UTXOs after deducting the cost of spending them at the effective feerate. */ CAmount effective_value{0}; /** The fee to spend these UTXOs at the effective feerate. */ CAmount fee{0}; /** The fee to spend these UTXOs at the long term feerate. */ CAmount long_term_fee{0}; /** The feerate for spending a created change output eventually (i.e. not urgently, and thus at * a lower feerate). Calculated using long term fee estimate. This is used to decide whether * it could be economical to create a change output. */ CFeeRate m_long_term_feerate{0}; /** Indicate that we are subtracting the fee from outputs. * When true, the value that is used for coin selection is the UTXO's real value rather than effective value */ bool m_subtract_fee_outputs{false}; /** Total weight of the UTXOs in this group. */ int m_weight{0}; OutputGroup() {} OutputGroup(const CoinSelectionParams& params) : m_long_term_feerate(params.m_long_term_feerate), m_subtract_fee_outputs(params.m_subtract_fee_outputs) {} void Insert(const std::shared_ptr& output, size_t ancestors, size_t descendants); bool EligibleForSpending(const CoinEligibilityFilter& eligibility_filter) const; CAmount GetSelectionAmount() const; }; struct Groups { // Stores 'OutputGroup' containing only positive UTXOs (value > 0). std::vector positive_group; // Stores 'OutputGroup' which may contain both positive and negative UTXOs. std::vector mixed_group; }; /** Stores several 'Groups' whose were mapped by output type. */ struct OutputGroupTypeMap { // Maps output type to output groups. std::map groups_by_type; // All inserted groups, no type distinction. Groups all_groups; // Based on the insert flag; appends group to the 'mixed_group' and, if value > 0, to the 'positive_group'. // This affects both; the groups filtered by type and the overall groups container. void Push(const OutputGroup& group, OutputType type, bool insert_positive, bool insert_mixed); // Different output types count size_t TypesCount() { return groups_by_type.size(); } }; typedef std::map FilteredOutputGroups; /** Choose a random change target for each transaction to make it harder to fingerprint the Core * wallet based on the change output values of transactions it creates. * Change target covers at least change fees and adds a random value on top of it. * The random value is between 50ksat and min(2 * payment_value, 1milsat) * When payment_value <= 25ksat, the value is just 50ksat. * * Making change amounts similar to the payment value may help disguise which output(s) are payments * are which ones are change. Using double the payment value may increase the number of inputs * needed (and thus be more expensive in fees), but breaks analysis techniques which assume the * coins selected are just sufficient to cover the payment amount ("unnecessary input" heuristic). * * @param[in] payment_value Average payment value of the transaction output(s). * @param[in] change_fee Fee for creating a change output. */ [[nodiscard]] CAmount GenerateChangeTarget(const CAmount payment_value, const CAmount change_fee, FastRandomContext& rng); enum class SelectionAlgorithm : uint8_t { BNB = 0, KNAPSACK = 1, SRD = 2, CG = 3, MANUAL = 4, }; std::string GetAlgorithmName(const SelectionAlgorithm algo); struct SelectionResult { private: /** Set of inputs selected by the algorithm to use in the transaction */ std::set> m_selected_inputs; /** The target the algorithm selected for. Equal to the recipient amount plus non-input fees */ CAmount m_target; /** The algorithm used to produce this result */ SelectionAlgorithm m_algo; /** Whether the input values for calculations should be the effective value (true) or normal value (false) */ bool m_use_effective{false}; /** The computed waste */ std::optional m_waste; /** False if algorithm was cut short by hitting limit of attempts and solution is non-optimal */ bool m_algo_completed{true}; /** The count of selections that were evaluated by this coin selection attempt */ size_t m_selections_evaluated; /** Total weight of the selected inputs */ int m_weight{0}; /** How much individual inputs overestimated the bump fees for the shared ancestry */ CAmount bump_fee_group_discount{0}; template void InsertInputs(const T& inputs) { // Store sum of combined input sets to check that the results have no shared UTXOs const size_t expected_count = m_selected_inputs.size() + inputs.size(); util::insert(m_selected_inputs, inputs); if (m_selected_inputs.size() != expected_count) { throw std::runtime_error(STR_INTERNAL_BUG("Shared UTXOs among selection results")); } } /** Compute the waste for this result given the cost of change * and the opportunity cost of spending these inputs now vs in the future. * If change exists, waste = change_cost + inputs * (effective_feerate - long_term_feerate) * If no change, waste = excess + inputs * (effective_feerate - long_term_feerate) * where excess = selected_effective_value - target * change_cost = effective_feerate * change_output_size + long_term_feerate * change_spend_size * * @param[in] change_cost The cost of creating change and spending it in the future. * Only used if there is change, in which case it must be positive. * Must be 0 if there is no change. * @param[in] target The amount targeted by the coin selection algorithm. * @param[in] use_effective_value Whether to use the input's effective value (when true) or the real value (when false). * @return The waste */ [[nodiscard]] CAmount GetSelectionWaste(CAmount change_cost, CAmount target, bool use_effective_value = true); public: explicit SelectionResult(const CAmount target, SelectionAlgorithm algo) : m_target(target), m_algo(algo) {} SelectionResult() = delete; /** Get the sum of the input values */ [[nodiscard]] CAmount GetSelectedValue() const; [[nodiscard]] CAmount GetSelectedEffectiveValue() const; [[nodiscard]] CAmount GetTotalBumpFees() const; void Clear(); void AddInput(const OutputGroup& group); void AddInputs(const std::set>& inputs, bool subtract_fee_outputs); /** How much individual inputs overestimated the bump fees for shared ancestries */ void SetBumpFeeDiscount(const CAmount discount); /** Calculates and stores the waste for this selection via GetSelectionWaste */ void ComputeAndSetWaste(const CAmount min_viable_change, const CAmount change_cost, const CAmount change_fee); [[nodiscard]] CAmount GetWaste() const; /** Tracks that algorithm was able to exhaustively search the entire combination space before hitting limit of tries */ void SetAlgoCompleted(bool algo_completed); /** Get m_algo_completed */ bool GetAlgoCompleted() const; /** Record the number of selections that were evaluated */ void SetSelectionsEvaluated(size_t attempts); /** Get selections_evaluated */ size_t GetSelectionsEvaluated() const ; /** * Combines the @param[in] other selection result into 'this' selection result. * * Important note: * There must be no shared 'COutput' among the two selection results being combined. */ void Merge(const SelectionResult& other); /** Get m_selected_inputs */ const std::set>& GetInputSet() const; /** Get the vector of COutputs that will be used to fill in a CTransaction's vin */ std::vector> GetShuffledInputVector() const; bool operator<(SelectionResult other) const; /** Get the amount for the change output after paying needed fees. * * The change amount is not 100% precise due to discrepancies in fee calculation. * The final change amount (if any) should be corrected after calculating the final tx fees. * When there is a discrepancy, most of the time the final change would be slightly bigger than estimated. * * Following are the possible factors of discrepancy: * + non-input fees always include segwit flags * + input fee estimation always include segwit stack size * + input fees are rounded individually and not collectively, which leads to small rounding errors * - input counter size is always assumed to be 1vbyte * * @param[in] min_viable_change Minimum amount for change output, if change would be less then we forgo change * @param[in] change_fee Fees to include change output in the tx * @returns Amount for change output, 0 when there is no change. * */ CAmount GetChange(const CAmount min_viable_change, const CAmount change_fee) const; CAmount GetTarget() const { return m_target; } SelectionAlgorithm GetAlgo() const { return m_algo; } int GetWeight() const { return m_weight; } }; util::Result SelectCoinsBnB(std::vector& utxo_pool, const CAmount& selection_target, const CAmount& cost_of_change, int max_weight); util::Result CoinGrinder(std::vector& utxo_pool, const CAmount& selection_target, CAmount change_target, int max_weight); /** Select coins by Single Random Draw. OutputGroups are selected randomly from the eligible * outputs until the target is satisfied * * @param[in] utxo_pool The positive effective value OutputGroups eligible for selection * @param[in] target_value The target value to select for * @param[in] rng The randomness source to shuffle coins * @param[in] max_weight The maximum allowed weight for a selection result to be valid * @returns If successful, a valid SelectionResult, otherwise, util::Error */ util::Result SelectCoinsSRD(const std::vector& utxo_pool, CAmount target_value, CAmount change_fee, FastRandomContext& rng, int max_weight); // Original coin selection algorithm as a fallback util::Result KnapsackSolver(std::vector& groups, const CAmount& nTargetValue, CAmount change_target, FastRandomContext& rng, int max_weight); } // namespace wallet #endif // BITCOIN_WALLET_COINSELECTION_H