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Merge #10637: Coin Selection with Murch's algorithm

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73b5bf2cb Add a test to make sure that negative effective values are filtered (Andrew Chow)
76d2f068a Benchmark BnB in the worst case where it exhausts (Andrew Chow)
6a34ff533 Have SelectCoinsMinConf and SelectCoins use BnB or Knapsack and use it (Andrew Chow)
fab04887c Add a GetMinimumFeeRate function which is wrapped by GetMinimumFee (Andrew Chow)
cd927ff32 Move original knapsack solver tests to coinselector_tests.cpp (Andrew Chow)
fb716f7b2 Move current coin selection algorithm to coinselection.{cpp,h} (Andrew Chow)
4566ab75f Add tests for the Branch and Bound algorithm (Andrew Chow)
4b2716da4 Remove coinselection.h -> wallet.h circular dependency (Andrew Chow)
7d77eb1a5 Use a struct for output eligibility (Andrew Chow)
ce7435cf1 Move output eligibility to a separate function (Andrew Chow)
0185939be Implement Branch and Bound coin selection in a new file (Andrew Chow)
f84fed8eb Store effective value, fee, and long term fee in CInputCoin (Andrew Chow)
12ec29d3b Calculate and store the number of bytes required to spend an input (Andrew Chow)

Pull request description:

  This is an implementation of the [Branch and Bound coin selection algorithm written by Murch](http://murch.one/wp-content/uploads/2016/11/erhardt2016coinselection.pdf) (@xekyo). I have it set so this algorithm will run first and if it fails, it will fall back to the current coin selection algorithm. The coin selection algorithms and tests have been refactored to separate files instead of having them all in wallet.cpp.

  I have added some tests for the new algorithm and a test for all of coin selection in general. However, more tests may be needed, but I will need help with coming up with more test cases.

  This PR uses some code borrowed from #10360 to use effective values when selecting coins.

Tree-SHA512: b0500f406bf671e74984fae78e2d0fbc5e321ddf4f06182c5855e9d1984c4ef2764c7586d03e16fa4b578c340b21710324926f9ca472d5447a0d1ed43eb4357e
This commit is contained in:
Wladimir J. van der Laan
2018-03-14 17:30:31 +01:00
parent e7721e6672 73b5bf2cb4
commit e057589dc6
17 changed files with 1278 additions and 640 deletions
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337
src/wallet/test/wallet_tests.cpp
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@@ -23,345 +23,8 @@ extern UniValue importmulti(const JSONRPCRequest& request);
extern UniValue dumpwallet(const JSONRPCRequest& request);
extern UniValue importwallet(const JSONRPCRequest& request);
// how many times to run all the tests to have a chance to catch errors that only show up with particular random shuffles
#define RUN_TESTS 100
// some tests fail 1% of the time due to bad luck.
// we repeat those tests this many times and only complain if all iterations of the test fail
#define RANDOM_REPEATS 5
std::vector<std::unique_ptr<CWalletTx>> wtxn;
typedef std::set<CInputCoin> CoinSet;
BOOST_FIXTURE_TEST_SUITE(wallet_tests, WalletTestingSetup)
static const CWallet testWallet("dummy", CWalletDBWrapper::CreateDummy());
static std::vector<COutput> vCoins;
static void add_coin(const CAmount& nValue, int nAge = 6*24, bool fIsFromMe = false, int nInput=0)
{
static int nextLockTime = 0;
CMutableTransaction tx;
tx.nLockTime = nextLockTime++; // so all transactions get different hashes
tx.vout.resize(nInput+1);
tx.vout[nInput].nValue = nValue;
if (fIsFromMe) {
// IsFromMe() returns (GetDebit() > 0), and GetDebit() is 0 if vin.empty(),
// so stop vin being empty, and cache a non-zero Debit to fake out IsFromMe()
tx.vin.resize(1);
}
std::unique_ptr<CWalletTx> wtx(new CWalletTx(&testWallet, MakeTransactionRef(std::move(tx))));
if (fIsFromMe)
{
wtx->fDebitCached = true;
wtx->nDebitCached = 1;
}
COutput output(wtx.get(), nInput, nAge, true /* spendable */, true /* solvable */, true /* safe */);
vCoins.push_back(output);
wtxn.emplace_back(std::move(wtx));
}
static void empty_wallet(void)
{
vCoins.clear();
wtxn.clear();
}
static bool equal_sets(CoinSet a, CoinSet b)
{
std::pair<CoinSet::iterator, CoinSet::iterator> ret = mismatch(a.begin(), a.end(), b.begin());
return ret.first == a.end() && ret.second == b.end();
}
BOOST_AUTO_TEST_CASE(coin_selection_tests)
{
CoinSet setCoinsRet, setCoinsRet2;
CAmount nValueRet;
LOCK(testWallet.cs_wallet);
// test multiple times to allow for differences in the shuffle order
for (int i = 0; i < RUN_TESTS; i++)
{
empty_wallet();
// with an empty wallet we can't even pay one cent
BOOST_CHECK(!testWallet.SelectCoinsMinConf( 1 * CENT, 1, 6, 0, vCoins, setCoinsRet, nValueRet));
add_coin(1*CENT, 4); // add a new 1 cent coin
// with a new 1 cent coin, we still can't find a mature 1 cent
BOOST_CHECK(!testWallet.SelectCoinsMinConf( 1 * CENT, 1, 6, 0, vCoins, setCoinsRet, nValueRet));
// but we can find a new 1 cent
BOOST_CHECK( testWallet.SelectCoinsMinConf( 1 * CENT, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 1 * CENT);
add_coin(2*CENT); // add a mature 2 cent coin
// we can't make 3 cents of mature coins
BOOST_CHECK(!testWallet.SelectCoinsMinConf( 3 * CENT, 1, 6, 0, vCoins, setCoinsRet, nValueRet));
// we can make 3 cents of new coins
BOOST_CHECK( testWallet.SelectCoinsMinConf( 3 * CENT, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 3 * CENT);
add_coin(5*CENT); // add a mature 5 cent coin,
add_coin(10*CENT, 3, true); // a new 10 cent coin sent from one of our own addresses
add_coin(20*CENT); // and a mature 20 cent coin
// now we have new: 1+10=11 (of which 10 was self-sent), and mature: 2+5+20=27. total = 38
// we can't make 38 cents only if we disallow new coins:
BOOST_CHECK(!testWallet.SelectCoinsMinConf(38 * CENT, 1, 6, 0, vCoins, setCoinsRet, nValueRet));
// we can't even make 37 cents if we don't allow new coins even if they're from us
BOOST_CHECK(!testWallet.SelectCoinsMinConf(38 * CENT, 6, 6, 0, vCoins, setCoinsRet, nValueRet));
// but we can make 37 cents if we accept new coins from ourself
BOOST_CHECK( testWallet.SelectCoinsMinConf(37 * CENT, 1, 6, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 37 * CENT);
// and we can make 38 cents if we accept all new coins
BOOST_CHECK( testWallet.SelectCoinsMinConf(38 * CENT, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 38 * CENT);
// try making 34 cents from 1,2,5,10,20 - we can't do it exactly
BOOST_CHECK( testWallet.SelectCoinsMinConf(34 * CENT, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 35 * CENT); // but 35 cents is closest
BOOST_CHECK_EQUAL(setCoinsRet.size(), 3U); // the best should be 20+10+5. it's incredibly unlikely the 1 or 2 got included (but possible)
// when we try making 7 cents, the smaller coins (1,2,5) are enough. We should see just 2+5
BOOST_CHECK( testWallet.SelectCoinsMinConf( 7 * CENT, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 7 * CENT);
BOOST_CHECK_EQUAL(setCoinsRet.size(), 2U);
// when we try making 8 cents, the smaller coins (1,2,5) are exactly enough.
BOOST_CHECK( testWallet.SelectCoinsMinConf( 8 * CENT, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK(nValueRet == 8 * CENT);
BOOST_CHECK_EQUAL(setCoinsRet.size(), 3U);
// when we try making 9 cents, no subset of smaller coins is enough, and we get the next bigger coin (10)
BOOST_CHECK( testWallet.SelectCoinsMinConf( 9 * CENT, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 10 * CENT);
BOOST_CHECK_EQUAL(setCoinsRet.size(), 1U);
// now clear out the wallet and start again to test choosing between subsets of smaller coins and the next biggest coin
empty_wallet();
add_coin( 6*CENT);
add_coin( 7*CENT);
add_coin( 8*CENT);
add_coin(20*CENT);
add_coin(30*CENT); // now we have 6+7+8+20+30 = 71 cents total
// check that we have 71 and not 72
BOOST_CHECK( testWallet.SelectCoinsMinConf(71 * CENT, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK(!testWallet.SelectCoinsMinConf(72 * CENT, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
// now try making 16 cents. the best smaller coins can do is 6+7+8 = 21; not as good at the next biggest coin, 20
BOOST_CHECK( testWallet.SelectCoinsMinConf(16 * CENT, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 20 * CENT); // we should get 20 in one coin
BOOST_CHECK_EQUAL(setCoinsRet.size(), 1U);
add_coin( 5*CENT); // now we have 5+6+7+8+20+30 = 75 cents total
// now if we try making 16 cents again, the smaller coins can make 5+6+7 = 18 cents, better than the next biggest coin, 20
BOOST_CHECK( testWallet.SelectCoinsMinConf(16 * CENT, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 18 * CENT); // we should get 18 in 3 coins
BOOST_CHECK_EQUAL(setCoinsRet.size(), 3U);
add_coin( 18*CENT); // now we have 5+6+7+8+18+20+30
// and now if we try making 16 cents again, the smaller coins can make 5+6+7 = 18 cents, the same as the next biggest coin, 18
BOOST_CHECK( testWallet.SelectCoinsMinConf(16 * CENT, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 18 * CENT); // we should get 18 in 1 coin
BOOST_CHECK_EQUAL(setCoinsRet.size(), 1U); // because in the event of a tie, the biggest coin wins
// now try making 11 cents. we should get 5+6
BOOST_CHECK( testWallet.SelectCoinsMinConf(11 * CENT, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 11 * CENT);
BOOST_CHECK_EQUAL(setCoinsRet.size(), 2U);
// check that the smallest bigger coin is used
add_coin( 1*COIN);
add_coin( 2*COIN);
add_coin( 3*COIN);
add_coin( 4*COIN); // now we have 5+6+7+8+18+20+30+100+200+300+400 = 1094 cents
BOOST_CHECK( testWallet.SelectCoinsMinConf(95 * CENT, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 1 * COIN); // we should get 1 BTC in 1 coin
BOOST_CHECK_EQUAL(setCoinsRet.size(), 1U);
BOOST_CHECK( testWallet.SelectCoinsMinConf(195 * CENT, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 2 * COIN); // we should get 2 BTC in 1 coin
BOOST_CHECK_EQUAL(setCoinsRet.size(), 1U);
// empty the wallet and start again, now with fractions of a cent, to test small change avoidance
empty_wallet();
add_coin(MIN_CHANGE * 1 / 10);
add_coin(MIN_CHANGE * 2 / 10);
add_coin(MIN_CHANGE * 3 / 10);
add_coin(MIN_CHANGE * 4 / 10);
add_coin(MIN_CHANGE * 5 / 10);
// try making 1 * MIN_CHANGE from the 1.5 * MIN_CHANGE
// we'll get change smaller than MIN_CHANGE whatever happens, so can expect MIN_CHANGE exactly
BOOST_CHECK( testWallet.SelectCoinsMinConf(MIN_CHANGE, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, MIN_CHANGE);
// but if we add a bigger coin, small change is avoided
add_coin(1111*MIN_CHANGE);
// try making 1 from 0.1 + 0.2 + 0.3 + 0.4 + 0.5 + 1111 = 1112.5
BOOST_CHECK( testWallet.SelectCoinsMinConf(1 * MIN_CHANGE, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 1 * MIN_CHANGE); // we should get the exact amount
// if we add more small coins:
add_coin(MIN_CHANGE * 6 / 10);
add_coin(MIN_CHANGE * 7 / 10);
// and try again to make 1.0 * MIN_CHANGE
BOOST_CHECK( testWallet.SelectCoinsMinConf(1 * MIN_CHANGE, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 1 * MIN_CHANGE); // we should get the exact amount
// run the 'mtgox' test (see http://blockexplorer.com/tx/29a3efd3ef04f9153d47a990bd7b048a4b2d213daaa5fb8ed670fb85f13bdbcf)
// they tried to consolidate 10 50k coins into one 500k coin, and ended up with 50k in change
empty_wallet();
for (int j = 0; j < 20; j++)
add_coin(50000 * COIN);
BOOST_CHECK( testWallet.SelectCoinsMinConf(500000 * COIN, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 500000 * COIN); // we should get the exact amount
BOOST_CHECK_EQUAL(setCoinsRet.size(), 10U); // in ten coins
// if there's not enough in the smaller coins to make at least 1 * MIN_CHANGE change (0.5+0.6+0.7 < 1.0+1.0),
// we need to try finding an exact subset anyway
// sometimes it will fail, and so we use the next biggest coin:
empty_wallet();
add_coin(MIN_CHANGE * 5 / 10);
add_coin(MIN_CHANGE * 6 / 10);
add_coin(MIN_CHANGE * 7 / 10);
add_coin(1111 * MIN_CHANGE);
BOOST_CHECK( testWallet.SelectCoinsMinConf(1 * MIN_CHANGE, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 1111 * MIN_CHANGE); // we get the bigger coin
BOOST_CHECK_EQUAL(setCoinsRet.size(), 1U);
// but sometimes it's possible, and we use an exact subset (0.4 + 0.6 = 1.0)
empty_wallet();
add_coin(MIN_CHANGE * 4 / 10);
add_coin(MIN_CHANGE * 6 / 10);
add_coin(MIN_CHANGE * 8 / 10);
add_coin(1111 * MIN_CHANGE);
BOOST_CHECK( testWallet.SelectCoinsMinConf(MIN_CHANGE, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, MIN_CHANGE); // we should get the exact amount
BOOST_CHECK_EQUAL(setCoinsRet.size(), 2U); // in two coins 0.4+0.6
// test avoiding small change
empty_wallet();
add_coin(MIN_CHANGE * 5 / 100);
add_coin(MIN_CHANGE * 1);
add_coin(MIN_CHANGE * 100);
// trying to make 100.01 from these three coins
BOOST_CHECK(testWallet.SelectCoinsMinConf(MIN_CHANGE * 10001 / 100, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, MIN_CHANGE * 10105 / 100); // we should get all coins
BOOST_CHECK_EQUAL(setCoinsRet.size(), 3U);
// but if we try to make 99.9, we should take the bigger of the two small coins to avoid small change
BOOST_CHECK(testWallet.SelectCoinsMinConf(MIN_CHANGE * 9990 / 100, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 101 * MIN_CHANGE);
BOOST_CHECK_EQUAL(setCoinsRet.size(), 2U);
// test with many inputs
for (CAmount amt=1500; amt < COIN; amt*=10) {
empty_wallet();
// Create 676 inputs (= (old MAX_STANDARD_TX_SIZE == 100000) / 148 bytes per input)
for (uint16_t j = 0; j < 676; j++)
add_coin(amt);
BOOST_CHECK(testWallet.SelectCoinsMinConf(2000, 1, 1, 0, vCoins, setCoinsRet, nValueRet));
if (amt - 2000 < MIN_CHANGE) {
// needs more than one input:
uint16_t returnSize = std::ceil((2000.0 + MIN_CHANGE)/amt);
CAmount returnValue = amt * returnSize;
BOOST_CHECK_EQUAL(nValueRet, returnValue);
BOOST_CHECK_EQUAL(setCoinsRet.size(), returnSize);
} else {
// one input is sufficient:
BOOST_CHECK_EQUAL(nValueRet, amt);
BOOST_CHECK_EQUAL(setCoinsRet.size(), 1U);
}
}
// test randomness
{
empty_wallet();
for (int i2 = 0; i2 < 100; i2++)
add_coin(COIN);
// picking 50 from 100 coins doesn't depend on the shuffle,
// but does depend on randomness in the stochastic approximation code
BOOST_CHECK(testWallet.SelectCoinsMinConf(50 * COIN, 1, 6, 0, vCoins, setCoinsRet , nValueRet));
BOOST_CHECK(testWallet.SelectCoinsMinConf(50 * COIN, 1, 6, 0, vCoins, setCoinsRet2, nValueRet));
BOOST_CHECK(!equal_sets(setCoinsRet, setCoinsRet2));
int fails = 0;
for (int j = 0; j < RANDOM_REPEATS; j++)
{
// selecting 1 from 100 identical coins depends on the shuffle; this test will fail 1% of the time
// run the test RANDOM_REPEATS times and only complain if all of them fail
BOOST_CHECK(testWallet.SelectCoinsMinConf(COIN, 1, 6, 0, vCoins, setCoinsRet , nValueRet));
BOOST_CHECK(testWallet.SelectCoinsMinConf(COIN, 1, 6, 0, vCoins, setCoinsRet2, nValueRet));
if (equal_sets(setCoinsRet, setCoinsRet2))
fails++;
}
BOOST_CHECK_NE(fails, RANDOM_REPEATS);
// add 75 cents in small change. not enough to make 90 cents,
// then try making 90 cents. there are multiple competing "smallest bigger" coins,
// one of which should be picked at random
add_coin(5 * CENT);
add_coin(10 * CENT);
add_coin(15 * CENT);
add_coin(20 * CENT);
add_coin(25 * CENT);
fails = 0;
for (int j = 0; j < RANDOM_REPEATS; j++)
{
// selecting 1 from 100 identical coins depends on the shuffle; this test will fail 1% of the time
// run the test RANDOM_REPEATS times and only complain if all of them fail
BOOST_CHECK(testWallet.SelectCoinsMinConf(90*CENT, 1, 6, 0, vCoins, setCoinsRet , nValueRet));
BOOST_CHECK(testWallet.SelectCoinsMinConf(90*CENT, 1, 6, 0, vCoins, setCoinsRet2, nValueRet));
if (equal_sets(setCoinsRet, setCoinsRet2))
fails++;
}
BOOST_CHECK_NE(fails, RANDOM_REPEATS);
}
}
empty_wallet();
}
BOOST_AUTO_TEST_CASE(ApproximateBestSubset)
{
CoinSet setCoinsRet;
CAmount nValueRet;
LOCK(testWallet.cs_wallet);
empty_wallet();
// Test vValue sort order
for (int i = 0; i < 1000; i++)
add_coin(1000 * COIN);
add_coin(3 * COIN);
BOOST_CHECK(testWallet.SelectCoinsMinConf(1003 * COIN, 1, 6, 0, vCoins, setCoinsRet, nValueRet));
BOOST_CHECK_EQUAL(nValueRet, 1003 * COIN);
BOOST_CHECK_EQUAL(setCoinsRet.size(), 2U);
empty_wallet();
}
static void AddKey(CWallet& wallet, const CKey& key)
{
LOCK(wallet.cs_wallet);