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Use rust_decimal in estimate_fee function.

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This commit is contained in:
Philipp Hoenisch 2021-05-07 14:44:15 +10:00
parent 08d7d587cf
commit b5073e3052
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GPG Key ID: E5F8E74C672BC666
3 changed files with 102 additions and 51 deletions
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11
Cargo.lock generated
View File

@ -3194,6 +3194,16 @@ dependencies = [
"serde",
]
[[package]]
name = "rust_decimal_macros"
version = "1.13.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "1e57c22158e46bfc2cf146ce1e64ea3314d9d048217d92da3caf11da2054884c"
dependencies = [
"quote 1.0.9",
"rust_decimal",
]
[[package]]
name = "rustc-hex"
version = "2.1.0"
@ -3829,6 +3839,7 @@ dependencies = [
"rand_chacha 0.2.2",
"reqwest",
"rust_decimal",
"rust_decimal_macros",
"serde",
"serde_cbor",
"serde_json",

1
swap/Cargo.toml
View File

@ -41,6 +41,7 @@ rand = "0.7"
rand_chacha = "0.2"
reqwest = { version = "0.11", features = [ "rustls-tls", "stream", "socks" ], default-features = false }
rust_decimal = "1"
rust_decimal_macros = "1"
serde = { version = "1", features = [ "derive" ] }
serde_cbor = "0.11"
serde_json = "1"

141
swap/src/bitcoin/wallet.rs
View File

@ -13,6 +13,9 @@ use bdk::wallet::AddressIndex;
use bdk::{FeeRate, KeychainKind};
use bitcoin::{Network, Script};
use reqwest::Url;
use rust_decimal::prelude::*;
use rust_decimal::Decimal;
use rust_decimal_macros::dec;
use std::collections::{BTreeMap, HashMap};
use std::convert::TryFrom;
use std::fmt;
@ -25,8 +28,8 @@ const SLED_TREE_NAME: &str = "default_tree";
/// Assuming we add a spread of 3% we don't want to pay more than 3% of the
/// amount for tx fees.
const MAX_RELATIVE_TX_FEE: f64 = 0.03;
const MAX_ABSOLUTE_TX_FEE: u64 = 100_000;
const MAX_RELATIVE_TX_FEE: Decimal = dec!(0.03);
const MAX_ABSOLUTE_TX_FEE: Decimal = dec!(100_000);
pub struct Wallet<B = ElectrumBlockchain, D = bdk::sled::Tree, C = Client> {
client: Arc<Mutex<C>>,
@ -339,12 +342,7 @@ where
let min_relay_fee = client.min_relay_fee()?;
tracing::debug!("Min relay fee: {}", min_relay_fee);
Ok(estimate_fee(
weight,
transfer_amount,
fee_rate,
min_relay_fee,
))
estimate_fee(weight, transfer_amount, fee_rate, min_relay_fee)
}
}
@ -353,17 +351,30 @@ fn estimate_fee(
transfer_amount: Amount,
fee_rate: FeeRate,
min_relay_fee: Amount,
) -> Amount {
// Doing some heavy math here :)
// `usize` is 32 or 64 bits wide, but `f32`'s mantissa is only 23 bits wide.
// This is fine because such a big transaction cannot exist and there are also
// no negative fees.
#[allow(
clippy::cast_precision_loss,
clippy::cast_possible_truncation,
clippy::cast_sign_loss
)]
let sats_per_vbyte = ((weight as f32) / 4.0 * fee_rate.as_sat_vb()) as u64;
) -> Result<Amount> {
if transfer_amount.as_sat() <= 546 {
bail!("Amounts needs to be greater than Bitcoin dust amount.")
}
let fee_rate_svb = fee_rate.as_sat_vb();
if fee_rate_svb <= 0.0 {
bail!("Fee rate needs to be > 0")
}
if fee_rate_svb > 100_000_000.0 || min_relay_fee.as_sat() > 100_000_000 {
bail!("A fee_rate or min_relay_fee of > 1BTC does not make sense")
}
let min_relay_fee = if min_relay_fee.as_sat() == 0 {
// if min_relay_fee is 0 we don't fail, we just set it to 1 satoshi;
Amount::ONE_SAT
} else {
min_relay_fee
};
let weight = Decimal::from(weight);
let weight_factor = dec!(4.0);
let fee_rate = Decimal::from_f32(fee_rate_svb).context("Could not parse fee_rate.")?;
let sats_per_vbyte = weight / weight_factor * fee_rate;
tracing::debug!(
"Estimated fee for weight: {} for fee_rate: {:?} is in total: {}",
weight,
@ -371,37 +382,36 @@ fn estimate_fee(
sats_per_vbyte
);
// Similar as above: we do not care about fractional fees and have to cast a
// couple of times.
#[allow(
clippy::cast_precision_loss,
clippy::cast_possible_truncation,
clippy::cast_sign_loss
)]
let max_allowed_fee = (transfer_amount.as_sat() as f64 * MAX_RELATIVE_TX_FEE).ceil() as u64;
let transfer_amount = Decimal::from(transfer_amount.as_sat());
let max_allowed_fee = transfer_amount * MAX_RELATIVE_TX_FEE;
if sats_per_vbyte < min_relay_fee.as_sat() {
let min_relay_fee = Decimal::from(min_relay_fee.as_sat());
let recommended_fee = if sats_per_vbyte < min_relay_fee {
tracing::warn!(
"Estimated fee of {} is smaller than the min relay fee, defaulting to min relay fee {}",
sats_per_vbyte,
min_relay_fee.as_sat()
);
min_relay_fee
);
min_relay_fee.to_u64()
} else if sats_per_vbyte > max_allowed_fee && sats_per_vbyte > MAX_ABSOLUTE_TX_FEE {
tracing::warn!(
"Hard bound of transaction fees reached. Falling back to: {} sats",
MAX_ABSOLUTE_TX_FEE
);
bitcoin::Amount::from_sat(MAX_ABSOLUTE_TX_FEE)
MAX_ABSOLUTE_TX_FEE.to_u64()
} else if sats_per_vbyte > max_allowed_fee {
tracing::warn!(
"Relative bound of transaction fees reached. Falling back to: {} sats",
max_allowed_fee
);
bitcoin::Amount::from_sat(max_allowed_fee)
max_allowed_fee.to_u64()
} else {
bitcoin::Amount::from_sat(sats_per_vbyte)
}
sats_per_vbyte.to_u64()
};
let amount = recommended_fee
.map(bitcoin::Amount::from_sat)
.context("Could not estimate tranasction fee.")?;
Ok(amount)
}
impl<B, D, C> Wallet<B, D, C>
@ -448,7 +458,6 @@ where
use bdk::database::MemoryDatabase;
use bdk::{LocalUtxo, TransactionDetails};
use bitcoin::OutPoint;
use std::str::FromStr;
use testutils::testutils;
let descriptors = testutils!(@descriptors ("wpkh(tpubEBr4i6yk5nf5DAaJpsi9N2pPYBeJ7fZ5Z9rmN4977iYLCGco1VyjB9tvvuvYtfZzjD5A8igzgw3HeWeeKFmanHYqksqZXYXGsw5zjnj7KM9/*)"));
@ -785,7 +794,7 @@ mod tests {
let fee_rate = FeeRate::from_sat_per_vb(sat_per_vb);
let relay_fee = bitcoin::Amount::ONE_SAT;
let is_fee = estimate_fee(weight, amount, fee_rate, relay_fee);
let is_fee = estimate_fee(weight, amount, fee_rate, relay_fee).unwrap();
// weight / 4.0 * sat_per_vb
let should_fee = bitcoin::Amount::from_sat(10_000);
@ -802,7 +811,7 @@ mod tests {
let fee_rate = FeeRate::from_sat_per_vb(sat_per_vb);
let relay_fee = bitcoin::Amount::from_sat(100_000);
let is_fee = estimate_fee(weight, amount, fee_rate, relay_fee);
let is_fee = estimate_fee(weight, amount, fee_rate, relay_fee).unwrap();
// weight / 4.0 * sat_per_vb would be smaller than relay fee hence we take min
// relay fee
@ -820,7 +829,7 @@ mod tests {
let fee_rate = FeeRate::from_sat_per_vb(sat_per_vb);
let relay_fee = bitcoin::Amount::ONE_SAT;
let is_fee = estimate_fee(weight, amount, fee_rate, relay_fee);
let is_fee = estimate_fee(weight, amount, fee_rate, relay_fee).unwrap();
// weight / 4.0 * sat_per_vb would be greater than 3% hence we take max
// relative fee.
@ -839,20 +848,19 @@ mod tests {
let fee_rate = FeeRate::from_sat_per_vb(sat_per_vb);
let relay_fee = bitcoin::Amount::ONE_SAT;
let is_fee = estimate_fee(weight, amount, fee_rate, relay_fee);
let is_fee = estimate_fee(weight, amount, fee_rate, relay_fee).unwrap();
// weight / 4.0 * sat_per_vb would be greater than 3% hence we take total
// max allowed fee.
let should_fee = bitcoin::Amount::from_sat(MAX_ABSOLUTE_TX_FEE);
assert_eq!(is_fee, should_fee);
assert_eq!(is_fee.as_sat(), MAX_ABSOLUTE_TX_FEE.to_u64().unwrap());
}
proptest! {
#[test]
fn given_randon_amount_random_fee_and_random_relay_rate_but_fix_weight_does_not_panic(
amount in prop::num::u64::ANY,
sat_per_vb in prop::num::f32::POSITIVE,
relay_fee in prop::num::u64::ANY
fn given_randon_amount_random_fee_and_random_relay_rate_but_fix_weight_does_not_error(
amount in 547u64..,
sat_per_vb in 1.0f32..100_000_000.0f32,
relay_fee in 0u64..100_000_000u64
) {
let weight = 400;
let amount = bitcoin::Amount::from_sat(amount);
@ -860,7 +868,7 @@ mod tests {
let fee_rate = FeeRate::from_sat_per_vb(sat_per_vb);
let relay_fee = bitcoin::Amount::from_sat(relay_fee);
let _is_fee = estimate_fee(weight, amount, fee_rate, relay_fee);
let _is_fee = estimate_fee(weight, amount, fee_rate, relay_fee).unwrap();
}
}
@ -868,7 +876,7 @@ mod tests {
proptest! {
#[test]
fn given_amount_in_range_fix_fee_fix_relay_rate_fix_weight_fee_always_smaller_max(
amount in 0u64..100_000_000,
amount in 1u64..100_000_000,
) {
let weight = 400;
let amount = bitcoin::Amount::from_sat(amount);
@ -877,10 +885,10 @@ mod tests {
let fee_rate = FeeRate::from_sat_per_vb(sat_per_vb);
let relay_fee = bitcoin::Amount::ONE_SAT;
let is_fee = estimate_fee(weight, amount, fee_rate, relay_fee);
let is_fee = estimate_fee(weight, amount, fee_rate, relay_fee).unwrap();
// weight / 4 * 1_000 is always lower than MAX_ABSOLUTE_TX_FEE
assert!(is_fee.as_sat() < MAX_ABSOLUTE_TX_FEE);
assert!(is_fee.as_sat() < MAX_ABSOLUTE_TX_FEE.to_u64().unwrap());
}
}
@ -896,10 +904,41 @@ mod tests {
let fee_rate = FeeRate::from_sat_per_vb(sat_per_vb);
let relay_fee = bitcoin::Amount::ONE_SAT;
let is_fee = estimate_fee(weight, amount, fee_rate, relay_fee);
let is_fee = estimate_fee(weight, amount, fee_rate, relay_fee).unwrap();
// weight / 4 * 1_000 is always higher than MAX_ABSOLUTE_TX_FEE
assert!(is_fee.as_sat() >= MAX_ABSOLUTE_TX_FEE);
assert!(is_fee.as_sat() >= MAX_ABSOLUTE_TX_FEE.to_u64().unwrap());
}
}
proptest! {
#[test]
fn given_fee_above_max_should_always_errors(
sat_per_vb in 100_000_000.0f32..,
) {
let weight = 400;
let amount = bitcoin::Amount::from_sat(547u64);
let fee_rate = FeeRate::from_sat_per_vb(sat_per_vb);
let relay_fee = bitcoin::Amount::from_sat(1);
assert!(estimate_fee(weight, amount, fee_rate, relay_fee).is_err());
}
}
proptest! {
#[test]
fn given_relay_fee_above_max_should_always_errors(
relay_fee in 100_000_000u64..
) {
let weight = 400;
let amount = bitcoin::Amount::from_sat(547u64);
let fee_rate = FeeRate::from_sat_per_vb(1.0);
let relay_fee = bitcoin::Amount::from_sat(relay_fee);
assert!(estimate_fee(weight, amount, fee_rate, relay_fee).is_err());
}
}
}