Aggregate Orderbook

// @NO_AUTO_TRANSPILE
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.coinbaseexchange();
    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));
})();