Aggregate Orderbook

import ccxt from '../../js/ccxt.js';

const aggregateOrderBookSide = function (orderbookSide, precision = undefined) {
   const result = []
   const amounts = {}
   for (let i = 0; i < orderbookSide.length; i++) {
       const ask = orderbookSide[i]
       let price = ask[0]
       if (precision !== undefined) {
           price = ccxt.decimalToPrecision (price, ccxt.ROUND, precision, ccxt.TICK_SIZE)
       }
       amounts[price] = (amounts[price] || 0) + ask[1]
   }
   Object.keys (amounts).forEach (price => {
       result.push ([
           parseFloat (price),
           amounts[price]
       ])
   })
   return result
}

const aggregateOrderBook = function (orderbook, precision = undefined) {
   let asks = aggregateOrderBookSide(orderbook['asks'], precision)
   let bids = aggregateOrderBookSide(orderbook['bids'], precision)
   return {
       'asks': ccxt.sortBy (asks, 0),
       'bids': ccxt.sortBy (bids, 0, true),
       'timestamp': orderbook['timestamp'],
       'datetime': orderbook['datetime'],
       'nonce': orderbook['nonce'],
   };
}

;(async () => {

   const exchange = new ccxt.coinbasepro()

   await exchange.loadMarkets ()

   // exchange.verbose = true // uncomment for verbose debug output

   // level 2 (default)
   const orderbook = await exchange.fetchOrderBook('BTC/USD')

   // or level 3
   // const orderbook = await exchange.fetchOrderBook('BTC/USD', undefined, { 'level': 3 })

   const step = 0.5 // 0.01, 0.1, 0.5, 1.0, 2.5, 5.0, 10.0
   console.log (aggregateOrderBook (orderbook, step))

})();