ccxt-orderbook.js

"use strict";

import ccxt from 'ccxt';

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, true),
    'bids': ccxt.sortBy(bids, 0, true),
    'timestamp': orderbook['timestamp'],
    'datetime': orderbook['datetime'],
    'nonce': orderbook['nonce'],
  };
}

  ; (async () => {

    const exchange = new ccxt.kraken()

    await exchange.loadMarkets()

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

    // level 2 (default)
    const orderbook = await exchange.fetchOrderBook('XMR/EUR')

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

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

  })();