rebalance: constrain can send amounts

lndmanage/lib/forwardings.py

@@ -7,7 +7,7 @@
 
 from lndmanage.lib.data_types import NodeProperties
 from lndmanage.lib.node import LndNode
-from lndmanage.lib.ln_utilities import channel_unbalancedness_and_commit_fee
+from lndmanage.lib.ln_utilities import local_balance_to_unbalancedness
 from lndmanage import settings
 
 logger = logging.getLogger(__name__)
@@ -641,7 +641,7 @@ def get_node_properites(
             "max_public_capacity": max(properties.public_capacities)
             if properties.public_capacities
             else 0,
-            "unbalancedness": channel_unbalancedness_and_commit_fee(
+            "unbalancedness": local_balance_to_unbalancedness(
                 local_balance, capacity, 0, False
             )[0],
         }

lndmanage/lib/ln_utilities.py

@@ -1,4 +1,5 @@
 """Contains Lightning network specific conversion utilities."""
+from typing import Tuple
 
 import re
 import time
@@ -38,23 +39,21 @@ def extract_short_channel_id_from_string(string):
     return groups
 
 
-def channel_unbalancedness_and_commit_fee(local_balance, capacity, commit_fee,
-                                          initiator):
-    """
-    Calculates the unbalancedness.
+def local_balance_to_unbalancedness(local_balance: int, capacity: int, commit_fee: int,
+                                    initiator: bool) -> Tuple[float, int]:
+    """Calculates the unbalancedness.
 
-    :param local_balance: int
-    :param capacity: int
-    :param commit_fee: int
-    :param initiator: bool
     :return: float:
         in [-1.0, 1.0]
     """
     # inverse of the formula:
-    # c.local_balance = c.capacity * 0.5 * (-unbalancedness + 1) - commit_fee
     commit_fee = 0 if not initiator else commit_fee
-    return -(2 * float(local_balance + commit_fee) / capacity - 1), commit_fee
+    return -(2 * (local_balance + commit_fee) / capacity - 1), commit_fee
+
 
+def unbalancedness_to_local_balance(unbalancedness: float, capacity: int, commit_fee: int, initiator: bool) -> Tuple[int, int]:
+    commit_fee = 0 if not initiator else commit_fee
+    return -int(capacity * (unbalancedness - 1) / 2) - commit_fee, commit_fee
 
 def height_to_timestamp(node, close_height):
     now = time.time()

lndmanage/lib/node.py

@@ -25,7 +25,7 @@
     extract_short_channel_id_from_string,
     convert_short_channel_id_to_channel_id,
     convert_channel_id_to_short_channel_id,
-    channel_unbalancedness_and_commit_fee
+    local_balance_to_unbalancedness
 )
 from lndmanage.lib.psbt import extract_psbt_inputs_outputs
 from lndmanage.lib.data_types import UTXO, AddressType
@@ -395,7 +395,7 @@ def convert_to_days_ago(timestamp):
 
             # define unbalancedness |ub| large means very unbalanced
             channel_unbalancedness, our_commit_fee = \
-                channel_unbalancedness_and_commit_fee(
+                local_balance_to_unbalancedness(
                     c.local_balance, c.capacity, c.commit_fee, c.initiator)
             try:
                 uptime_lifetime_ratio = c.uptime / c.lifetime

lndmanage/lib/rebalance.py

@@ -15,6 +15,7 @@
     PaymentTimeOut,
     TooExpensive,
 )
+from lndmanage.lib.ln_utilities import unbalancedness_to_local_balance
 from lndmanage import settings
 
 if TYPE_CHECKING:
@@ -24,7 +25,7 @@
 logger.addHandler(logging.NullHandler())
 
 DEFAULT_MAX_FEE_RATE = 0.001000
-DEFAULT_AMOUNT_SAT = 500000
+DEFAULT_AMOUNT_SAT = 100000
 # MIN_FEE_RATE_AFFORDABLE is the minimal effective fee rate a rebalance attempt can cost
 RESERVED_REBALANCE_FEE_RATE = 50
 
@@ -225,9 +226,17 @@ def _get_rebalance_candidates(
             k: c for k, c in self.channels.items() if k not in removed_channels}
 
         # filter channels, which can't receive/send the amount
-        candidate_balance = 'remote_balance' if local_balance_change < 0 else 'local_balance'
-        # TODO: include channel reserve
-        rebalance_candidates = {k: c for k, c in rebalance_candidates.items() if c[candidate_balance] > abs(local_balance_change)}
+        candidates_send = True if local_balance_change > 0 else False
+        rebalance_candidates_with_funds = {}
+        for k, c in rebalance_candidates.items():
+            if candidates_send:
+                maximal_can_send = self._maximal_local_balance_change(False, c)
+                if maximal_can_send > abs(local_balance_change):
+                    rebalance_candidates_with_funds[k] = c
+            else:
+                maximal_can_receive = self._maximal_local_balance_change(True, c)
+                if maximal_can_receive > abs(local_balance_change):
+                    rebalance_candidates_with_funds[k] = c
 
         # We only include rebalance candidates for which it makes economically sense to
         # rebalance. This is determined by the difference in fee rates:
@@ -237,7 +246,7 @@ def _get_rebalance_candidates(
         #   fee_rate[rebalance_channel] - fee_rate[candidate_channel],
         #   it always needs to be positive at least
         rebalance_candidates_filtered = {}
-        for k, c in rebalance_candidates.items():
+        for k, c in rebalance_candidates_with_funds.items():
             if not self.force:  # we allow only economic candidates
                 if local_balance_change < 0:  # we take liquidity out of the channel
                     fee_rate_margin = c['local_fee_rate'] - channel_fee_rate_milli_msat
@@ -305,7 +314,7 @@ def _debug_rebalance_candidates(rebalance_candidates: Dict[int, dict]):
 
     @staticmethod
     def _maximal_local_balance_change(
-            unbalancedness_target: float,
+            increase_local_balance: bool,
             unbalanced_channel_info: dict
     ) -> int:
         """Tries to find out the amount to maximally send/receive given the
@@ -326,61 +335,26 @@ def _maximal_local_balance_change(
         """
         # both parties need to maintain a channel reserve of 1%
         # according to BOLT 2
-        channel_reserve = int(0.01 * unbalanced_channel_info['capacity'])
-
-        if unbalancedness_target:
-            # a commit fee needs to be only respected by the channel initiator
-            commit_fee = 0 if not unbalanced_channel_info['initiator'] \
-                else unbalanced_channel_info['commit_fee']
-
-            # first naively calculate the local balance change to
-            # fulfill the requested target
-            local_balance_target = int(
-                unbalanced_channel_info['capacity'] * 0.5 *
-                (-unbalancedness_target + 1.0) - commit_fee)
-            local_balance_change = local_balance_target - \
-                unbalanced_channel_info['local_balance']
-
-            # TODO: clarify exact definitions of dust and htlc_cost
-            # related: https://github.com/lightningnetwork/lnd/issues/1076
-            # https://github.com/lightningnetwork/lightning-rfc/blob/master/03-transactions.md#fees
-
-            dust = 700
-            htlc_weight = 172
-            number_htlcs = 2
-            htlc_cost = int(
-                number_htlcs * htlc_weight *
-                unbalanced_channel_info['fee_per_kw'] / 1000)
-            logger.debug(f">>> Assuming a dust limit of {dust} sat and an "
-                         f"HTLC cost of {htlc_cost} sat.")
-
-            # we can only send the local balance less the channel reserve
-            # (if above the dust limit), less the cost to enforce the HTLC
-            can_send = max(0, unbalanced_channel_info['local_balance']
-                           - max(dust, channel_reserve) - htlc_cost - 1)
-
-            # we can only receive the remote balance less the channel reserve
-            # (if above the dust limit)
-            can_receive = max(0, unbalanced_channel_info['remote_balance']
-                              - max(dust, channel_reserve) - 1)
-
-            logger.debug(f">>> Channel can send {can_send} sat and receive "
-                         f"{can_receive} sat.")
-
-            # check that we respect and enforce the channel reserve
-            if (local_balance_change > 0 and
-                    abs(local_balance_change)) > can_receive:
-                local_balance_change = can_receive
-            if (local_balance_change < 0 and
-                    abs(local_balance_change)) > can_send:
-                local_balance_change = -can_send
-
-            amt_target_original = int(local_balance_change)
-        else:
-            # use the already calculated optimal amount for 50:50 balancedness
-            amt_target_original = unbalanced_channel_info['amt_to_balanced']
 
-        return amt_target_original
+        local_balance = unbalanced_channel_info['local_balance']
+        remote_balance = unbalanced_channel_info['remote_balance']
+        remote_channel_reserve = unbalanced_channel_info['remote_chan_reserve_sat']
+        local_channel_reserve = unbalanced_channel_info['local_chan_reserve_sat']
+
+        if increase_local_balance:  # we want to add funds to the channel
+            local_balance_change = remote_balance
+            local_balance_change -= remote_channel_reserve
+        else:  # we want to decrease funds
+            local_balance_change = local_balance
+            local_balance_change -= local_channel_reserve
+
+        # the local balance already reflects commitment transaction fees
+        # in principle we should account for the HTLC output here
+        local_balance_change -= 172 * unbalanced_channel_info['fee_per_kw'] / 1000
+
+        # TODO: buffer for all the rest of costs which is why
+        #  local_balance_change can be negative
+        return max(0, int(local_balance_change))
 
     def _node_is_multiple_connected(self, pub_key: str) -> bool:
         """Checks if the node is connected to us via several channels.
@@ -446,19 +420,33 @@ def rebalance(
 
         # 0. determine the amount we want to send/receive on the channel
         if target is not None:
-            # if a target is given and it is set close to -1 or 1,
-            # then we need to think about the channel reserve
-            # TODO: check maximal local balance change
-            initial_local_balance_change = self._maximal_local_balance_change(
-                target, unbalanced_channel_info)
+            if target < unbalanced_channel_info['unbalancedness']:
+                increase_local_balance = True
+            else:
+                increase_local_balance = False
+
+            maximal_abs_local_balance_change = self._maximal_local_balance_change(
+                increase_local_balance, unbalanced_channel_info)
+            target_local_balance, _ = unbalancedness_to_local_balance(
+                target,
+                unbalanced_channel_info['capacity'],
+                unbalanced_channel_info['commit_fee'],
+                unbalanced_channel_info['initiator']
+            )
+            abs_local_balance_change = abs(target_local_balance - unbalanced_channel_info['local_balance'])
+            initial_local_balance_change = min(abs_local_balance_change, maximal_abs_local_balance_change)
+            # encode the sign to send (< 0) or receive (> 0)
+            initial_local_balance_change *= 1 if increase_local_balance else -1
+
             if abs(initial_local_balance_change) <= 10_000:
                 logger.info(f"Channel already balanced.")
                 return 0
-        # if no target is given, we enforce some default amount
-        else:
-            if not amount_sat:
-                amount_sat = DEFAULT_AMOUNT_SAT
+        # if no target is given, we enforce some default amount in the opposite direction of unbalancedness
+        elif not amount_sat:
+            amount_sat = DEFAULT_AMOUNT_SAT
             initial_local_balance_change = int(math.copysign(1, unbalanced_channel_info['unbalancedness']) * amount_sat)
+        else:
+            initial_local_balance_change = amount_sat
 
         # determine budget and fee rate from local balance change:
         # budget fee_rate  result

lndmanage/lndmanage.py

@@ -166,8 +166,8 @@ def __init__(self):
             help='Sets the maximal fees in satoshis to be paid.')
         self.parser_rebalance.add_argument(
             '--amount-sat', type=int, default=DEFAULT_AMOUNT_SAT,
-            help='Specifies the rebalance amount in satoshis. The direction is '
-                 'determined automatically.')
+            help='Specifies the increase in local balance in sat. The amount can be'
+                 'negative to decrease the local balance.')
         self.parser_rebalance.add_argument(
             '--max-fee-rate', type=range_limited_float_type, default=DEFAULT_MAX_FEE_RATE,
             help='Sets the maximal effective fee rate to be paid.'

test/test_ln_utilities.py

@@ -1,15 +1,35 @@
 from unittest import TestCase
-from lndmanage.lib.ln_utilities import channel_unbalancedness_and_commit_fee
+from lndmanage.lib.ln_utilities import (
+    local_balance_to_unbalancedness,
+    unbalancedness_to_local_balance,
+)
 
 
 class LnUtilityTest(TestCase):
     def test_unbalancedness_formula(self):
         self.assertAlmostEqual(
-            channel_unbalancedness_and_commit_fee(
-                500000, 1000000, 1000, False)[0], 0.0)
+            local_balance_to_unbalancedness(500000, 1000000, 1000, False)[0], 0.0
+        )
         self.assertAlmostEqual(
-            channel_unbalancedness_and_commit_fee(
-                500000, 1000000, 1000, True)[0], -0.002)
+            local_balance_to_unbalancedness(500000, 1000000, 1000, True)[0], -0.002
+        )
         self.assertAlmostEqual(
-            channel_unbalancedness_and_commit_fee(
-                600000, 1000000, 0, False)[0], -0.2)
+            local_balance_to_unbalancedness(600000, 1000000, 0, False)[0], -0.2
+        )
+
+        # test inverse:
+        ub = -0.2
+        cap = 1000000
+        cf = 100
+        self.assertAlmostEqual(
+            ub,
+            local_balance_to_unbalancedness(
+                unbalancedness_to_local_balance(ub, cap, 0, False)[0], cap, 0, False
+            )[0],
+        )
+        self.assertAlmostEqual(
+            ub,
+            local_balance_to_unbalancedness(
+                unbalancedness_to_local_balance(ub, cap, cf, True)[0], cap, cf, True
+            )[0],
+        )

test/test_rebalance.py

@@ -6,7 +6,7 @@
 
 from lndmanage import settings
 from lndmanage.lib.rebalance import Rebalancer
-from lndmanage.lib.ln_utilities import channel_unbalancedness_and_commit_fee
+from lndmanage.lib.ln_utilities import local_balance_to_unbalancedness
 from lndmanage.lib.exceptions import NoRebalanceCandidates
 
 from test.testing_common import (
@@ -76,7 +76,7 @@ def rebalance_and_check(
         channel_data_after = graph_after['A'][test_channel_number]
         amount_sent = channel_data_before['local_balance'] - channel_data_after['local_balance']
 
-        channel_unbalancedness, _ = channel_unbalancedness_and_commit_fee(
+        channel_unbalancedness, _ = local_balance_to_unbalancedness(
             channel_data_after['local_balance'],
             channel_data_after['capacity'],
             channel_data_after['commit_fee'],
@@ -149,9 +149,9 @@ def test_init_already_balanced(self):
         test_channel_number = 2
         self.rebalance_and_check(test_channel_number, target=0.0, amount_sat=None, allow_uneconomic=True, places=2)
 
-    def test_init_amount(self):
+    def test_init_default_amount(self):
         test_channel_number = 1
-        self.rebalance_and_check(test_channel_number, target=None, amount_sat=500_000, allow_uneconomic=True, places=-1)
+        self.rebalance_and_check(test_channel_number, target=None, amount_sat=None, allow_uneconomic=True, places=-1)
 
     def test_shuffle_arround(self):
         """Shuffles sats around in channel 6."""