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docs/ccxt/examples/js/aggregate-orderbook.js

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+
+
+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))
+
+})();