Propose settlement based on the payout curve and current BitMex price

cfd_protocol/src/protocol.rs

@@ -409,6 +409,18 @@ pub fn generate_payouts(
 }
 
 impl Payout {
+    pub fn digits(&self) -> &interval::Digits {
+        &self.digits
+    }
+
+    pub fn maker_amount(&self) -> &Amount {
+        &self.maker_amount
+    }
+
+    pub fn taker_amount(&self) -> &Amount {
+        &self.taker_amount
+    }
+
     fn into_txouts(self, maker_address: &Address, taker_address: &Address) -> Vec<TxOut> {
         let txouts = [
             (self.maker_amount, maker_address),

daemon/src/maker_cfd.rs

@@ -5,7 +5,8 @@ use crate::db::{
 use crate::maker_inc_connections::TakerCommand;
 use crate::model::cfd::{
     Attestation, Cfd, CfdState, CfdStateChangeEvent, CfdStateCommon, Dlc, Order, OrderId, Origin,
-   Role, RollOverProposal, SettlementKind, SettlementProposal, UpdateCfdProposal, UpdateCfdProposals,
+    Role, RollOverProposal, SettlementKind, SettlementProposal, TimestampedTransaction,
+    UpdateCfdProposal, UpdateCfdProposals,
 };
 use crate::model::{TakerId, Usd};
 use crate::monitor::MonitorParams;

daemon/src/model/cfd.rs

@@ -1,5 +1,5 @@
 use crate::model::{BitMexPriceEventId, Leverage, Percent, Position, TakerId, TradingPair, Usd};
-use crate::{monitor, oracle};
+use crate::{monitor, oracle, payout_curve};
 use anyhow::{bail, Context, Result};
 use bdk::bitcoin::secp256k1::{SecretKey, Signature};
 use bdk::bitcoin::{Address, Amount, PublicKey, Script, SignedAmount, Transaction, Txid};
@@ -581,14 +581,22 @@ impl Cfd {
     }
 
     #[allow(dead_code)] // Not used by all binaries.
-    pub fn calculate_settlement(&self, _current_price: Usd) -> Result<SettlementProposal> {
-        // TODO: Calculate values for taker and maker
-        // For the time being, assume that everybody loses :)
+    pub fn calculate_settlement(&self, current_price: Usd) -> Result<SettlementProposal> {
+        let payout_curve =
+            payout_curve::calculate(self.order.price, self.quantity_usd, self.order.leverage)?;
+
+        let current_price = current_price.try_into_u64()?;
+
+        let payout = payout_curve
+            .iter()
+            .find(|&x| x.digits().range().contains(&current_price))
+            .context("find current price on the payout curve")?;
+
         let settlement = SettlementProposal {
             order_id: self.order.id,
             timestamp: SystemTime::now(),
-            taker: Amount::ZERO,
-            maker: Amount::ZERO,
+            taker: *payout.taker_amount(),
+            maker: *payout.maker_amount(),
         };
 
         Ok(settlement)
@@ -947,6 +955,7 @@ impl Cfd {
                 } => bail!("Cannot transition to PendingClose because Open state did not record a settlement proposal beforehand"),
                 _ => bail!(
                     "Cannot transition to PendingClose because of unexpected state {}",
+                    self.state)
             }
         };
 

daemon/src/taker_cfd.rs

@@ -4,7 +4,8 @@ use crate::db::{
 };
 use crate::model::cfd::{
     Attestation, Cfd, CfdState, CfdStateChangeEvent, CfdStateCommon, Dlc, Order, OrderId, Origin,
-    Role, RollOverProposal, SettlementKind, SettlementProposal, UpdateCfdProposal, UpdateCfdProposals,
+    Role, RollOverProposal, SettlementKind, SettlementProposal, TimestampedTransaction,
+    UpdateCfdProposal, UpdateCfdProposals,
 };
 use crate::model::{BitMexPriceEventId, Usd};
 use crate::monitor::{self, MonitorParams};