fix: filter out uneconomical utxos, closes #4505

src/app/common/transactions/bitcoin/coinselect/local-coin-selection.spec.ts

@@ -34,7 +34,7 @@ describe(determineUtxosForSpend.name, () => {
   describe('sorting algorithm (biggest first and no dust)', () => {
     test('that it filters out dust utxos', () => {
       const result = generate10kSpendWithTestData('tb1qt28eagxcl9gvhq2rpj5slg7dwgxae2dn2hk93m');
-      const hasDust = result.orderedUtxos.some(utxo => utxo.value <= BTC_P2WPKH_DUST_AMOUNT);
+      const hasDust = result.filteredUtxos.some(utxo => utxo.value <= BTC_P2WPKH_DUST_AMOUNT);
       expect(hasDust).toBeFalsy();
     });
 

src/app/common/transactions/bitcoin/coinselect/local-coin-selection.ts

@@ -1,10 +1,8 @@
-import { getAddressInfo, validate } from 'bitcoin-address-validation';
-
-import { BTC_P2WPKH_DUST_AMOUNT } from '@shared/constants';
+import { validate } from 'bitcoin-address-validation';
 
 import { UtxoResponseItem } from '@app/query/bitcoin/bitcoin-client';
 
-import { BtcSizeFeeEstimator } from '../fees/btc-size-fee-estimator';
+import { filterUneconomicalUtxos, getSizeInfo } from '../utils';
 
 export interface DetermineUtxosForSpendArgs {
   amount: number;
@@ -20,17 +18,12 @@ export function determineUtxosForSpendAll({
   utxos,
 }: DetermineUtxosForSpendArgs) {
   if (!validate(recipient)) throw new Error('Cannot calculate spend of invalid address type');
+  const filteredUtxos = filterUneconomicalUtxos({ utxos, feeRate, address: recipient });
 
-  const addressInfo = getAddressInfo(recipient);
-
-  const txSizer = new BtcSizeFeeEstimator();
-
-  const filteredUtxos = utxos.filter(utxo => utxo.value >= BTC_P2WPKH_DUST_AMOUNT);
-
-  const sizeInfo = txSizer.calcTxSize({
-    input_script: 'p2wpkh',
-    input_count: filteredUtxos.length,
-    [addressInfo.type + '_output_count']: 1,
+  const sizeInfo = getSizeInfo({
+    inputLength: filteredUtxos.length,
+    outputLength: 1,
+    recipient,
   });
 
   // Fee has already been deducted from the amount with send all
@@ -54,25 +47,23 @@ export function determineUtxosForSpend({
 }: DetermineUtxosForSpendArgs) {
   if (!validate(recipient)) throw new Error('Cannot calculate spend of invalid address type');
 
-  const addressInfo = getAddressInfo(recipient);
-
-  const orderedUtxos = utxos
-    .filter(utxo => utxo.value >= BTC_P2WPKH_DUST_AMOUNT)
-    .sort((a, b) => b.value - a.value);
+  const orderedUtxos = utxos.sort((a, b) => b.value - a.value);
 
-  const txSizer = new BtcSizeFeeEstimator();
+  const filteredUtxos = filterUneconomicalUtxos({
+    utxos: orderedUtxos,
+    feeRate,
+    address: recipient,
+  });
 
   const neededUtxos = [];
   let sum = 0n;
   let sizeInfo = null;
 
-  for (const utxo of orderedUtxos) {
-    sizeInfo = txSizer.calcTxSize({
-      // Only p2wpkh is supported by the wallet
-      input_script: 'p2wpkh',
-      input_count: neededUtxos.length,
-      // From the address of the recipient, we infer the output type
-      [addressInfo.type + '_output_count']: 2,
+  for (const utxo of filteredUtxos) {
+    sizeInfo = getSizeInfo({
+      inputLength: neededUtxos.length,
+      outputLength: 2,
+      recipient,
     });
     if (sum >= BigInt(amount) + BigInt(Math.ceil(sizeInfo.txVBytes * feeRate))) break;
 
@@ -92,7 +83,7 @@ export function determineUtxosForSpend({
   ];
 
   return {
-    orderedUtxos,
+    filteredUtxos,
     inputs: neededUtxos,
     outputs,
     size: sizeInfo.txVBytes,

src/app/common/transactions/bitcoin/fees/bitcoin-fees.spec.ts

@@ -0,0 +1,143 @@
+import BigNumber from 'bignumber.js';
+import { sha256 } from 'bitcoinjs-lib/src/crypto';
+
+import { UtxoResponseItem } from '@app/query/bitcoin/bitcoin-client';
+
+import { filterUneconomicalUtxos } from '../utils';
+import { calculateMaxBitcoinSpend } from './calculate-max-bitcoin-spend';
+
+function generateTxId(value: number): UtxoResponseItem {
+  const buffer = Buffer.from(Math.random().toString());
+  return {
+    txid: sha256(sha256(buffer)).toString(),
+    vout: 0,
+    status: {
+      confirmed: true,
+      block_height: 2568495,
+      block_hash: '000000000000008622fafce4a5388861b252d534f819d0f7cb5d4f2c5f9c1638',
+      block_time: 1703787327,
+    },
+    value,
+  };
+}
+
+function generateTransactions(values: number[]) {
+  return values.map(val => generateTxId(val));
+}
+
+function generateAverageFee(value: number) {
+  return {
+    hourFee: BigNumber(value / 2),
+    halfHourFee: BigNumber(value),
+    fastestFee: BigNumber(value * 2),
+  };
+}
+
+describe(calculateMaxBitcoinSpend.name, () => {
+  const utxos = generateTransactions([600, 600, 1200, 1200, 10000, 10000, 25000, 40000, 50000000]);
+
+  test('with 1 sat/vb fee', () => {
+    const fee = 1;
+    const maxBitcoinSpend = calculateMaxBitcoinSpend({
+      address: '',
+      utxos,
+      fetchedFeeRates: generateAverageFee(fee),
+    });
+    expect(maxBitcoinSpend.amount.amount.toNumber()).toEqual(50087948);
+  });
+
+  test('with 5 sat/vb fee', () => {
+    const fee = 5;
+    const maxBitcoinSpend = calculateMaxBitcoinSpend({
+      address: '',
+      utxos,
+      fetchedFeeRates: generateAverageFee(fee),
+    });
+    expect(maxBitcoinSpend.amount.amount.toNumber()).toEqual(50085342);
+  });
+
+  test('with 30 sat/vb fee', () => {
+    const fee = 30;
+    const maxBitcoinSpend = calculateMaxBitcoinSpend({
+      address: '',
+      utxos,
+      fetchedFeeRates: generateAverageFee(fee),
+    });
+    expect(maxBitcoinSpend.amount.amount.toNumber()).toEqual(50073585);
+  });
+
+  test('with 100 sat/vb fee', () => {
+    const fee = 100;
+    const maxBitcoinSpend = calculateMaxBitcoinSpend({
+      address: '',
+      utxos,
+      fetchedFeeRates: generateAverageFee(fee),
+    });
+    expect(maxBitcoinSpend.amount.amount.toNumber()).toEqual(50046950);
+  });
+
+  test('with 400 sat/vb fee', () => {
+    const fee = 400;
+    const maxBitcoinSpend = calculateMaxBitcoinSpend({
+      address: '',
+      utxos,
+      fetchedFeeRates: generateAverageFee(fee),
+    });
+    expect(maxBitcoinSpend.amount.amount.toNumber()).toEqual(49969100);
+  });
+});
+
+describe(filterUneconomicalUtxos.name, () => {
+  const utxos = generateTransactions([600, 600, 1200, 1200, 10000, 10000, 25000, 40000, 50000000]);
+
+  test('with 1 sat/vb fee', () => {
+    const fee = 1;
+    const filteredUtxos = filterUneconomicalUtxos({
+      address: '',
+      utxos,
+      feeRate: fee,
+    });
+
+    expect(filteredUtxos.length).toEqual(9);
+  });
+
+  test('with 10 sat/vb fee', () => {
+    const fee = 10;
+    const filteredUtxos = filterUneconomicalUtxos({
+      address: '',
+      utxos,
+      feeRate: fee,
+    });
+    expect(filteredUtxos.length).toEqual(7);
+  });
+
+  test('with 30 sat/vb fee', () => {
+    const fee = 30;
+    const filteredUtxos = filterUneconomicalUtxos({
+      address: '',
+      utxos,
+      feeRate: fee,
+    });
+    expect(filteredUtxos.length).toEqual(5);
+  });
+
+  test('with 200 sat/vb fee', () => {
+    const fee = 200;
+    const filteredUtxos = filterUneconomicalUtxos({
+      address: '',
+      utxos,
+      feeRate: fee,
+    });
+    expect(filteredUtxos.length).toEqual(3);
+  });
+
+  test('with 400 sat/vb fee', () => {
+    const fee = 400;
+    const filteredUtxos = filterUneconomicalUtxos({
+      address: '',
+      utxos,
+      feeRate: fee,
+    });
+    expect(filteredUtxos.length).toEqual(2);
+  });
+});

src/app/common/transactions/bitcoin/fees/btc-size-fee-estimator.ts

@@ -10,7 +10,7 @@ type InputScriptTypes =
   | 'p2wsh'
   | 'p2tr';
 
-interface Params {
+interface TxSizerParams {
   input_count: number;
   input_script: InputScriptTypes;
   input_m: number;
@@ -48,7 +48,7 @@ export class BtcSizeFeeEstimator {
     'p2tr',
   ];
 
-  defaultParams: Params = {
+  defaultParams: TxSizerParams = {
     input_count: 0,
     input_script: 'p2wpkh',
     input_m: 0,
@@ -62,7 +62,7 @@ export class BtcSizeFeeEstimator {
     p2tr_output_count: 0,
   };
 
-  params: Params = { ...this.defaultParams };
+  params: TxSizerParams = { ...this.defaultParams };
 
   getSizeOfScriptLengthElement(length: number) {
     if (length < 75) {
@@ -128,7 +128,7 @@ export class BtcSizeFeeEstimator {
     return witness_vbytes * 3;
   }
 
-  prepareParams(opts: Partial<Params>) {
+  prepareParams(opts: Partial<TxSizerParams>) {
     // Verify opts and set them to this.params
     opts = opts || Object.assign(this.defaultParams);
 
@@ -279,7 +279,7 @@ export class BtcSizeFeeEstimator {
     };
   }
 
-  calcTxSize(opts: Partial<Params>) {
+  calcTxSize(opts: Partial<TxSizerParams>) {
     this.prepareParams(opts);
     const output_count = this.getOutputCount();
     const { inputSize, inputWitnessSize } = this.getSizeBasedOnInputType();

src/app/common/transactions/bitcoin/fees/calculate-max-bitcoin-spend.ts

@@ -0,0 +1,50 @@
+import BigNumber from 'bignumber.js';
+
+import { AverageBitcoinFeeRates } from '@shared/models/fees/bitcoin-fees.model';
+import { createMoney } from '@shared/models/money.model';
+
+import { satToBtc } from '@app/common/money/unit-conversion';
+import { UtxoResponseItem } from '@app/query/bitcoin/bitcoin-client';
+
+import { filterUneconomicalUtxos, getSpendableAmount } from '../utils';
+
+interface CalculateMaxBitcoinSpend {
+  address: string;
+  utxos: UtxoResponseItem[];
+  fetchedFeeRates?: AverageBitcoinFeeRates;
+  feeRate?: number;
+}
+
+export function calculateMaxBitcoinSpend({
+  address,
+  utxos,
+  feeRate,
+  fetchedFeeRates,
+}: CalculateMaxBitcoinSpend) {
+  if (!utxos.length || !fetchedFeeRates)
+    return {
+      spendAllFee: 0,
+      amount: createMoney(0, 'BTC'),
+      spendableBitcoin: new BigNumber(0),
+    };
+
+  const currentFeeRate = feeRate ?? fetchedFeeRates.halfHourFee.toNumber();
+
+  const filteredUtxos = filterUneconomicalUtxos({
+    utxos,
+    feeRate: currentFeeRate,
+    address,
+  });
+
+  const { spendableAmount, fee } = getSpendableAmount({
+    utxos: filteredUtxos,
+    feeRate: currentFeeRate,
+    address,
+  });
+
+  return {
+    spendAllFee: fee,
+    amount: createMoney(spendableAmount, 'BTC'),
+    spendableBitcoin: satToBtc(spendableAmount),
+  };
+}