track idex orderbook snapshots (#1397)

* Track Idex and Oasis Orderbook Snapshots

1 files changed, 28 insertions, 0 deletions

diff --git a/packages/pipeline/src/parsers/utils.ts b/packages/pipeline/src/parsers/utils.ts
new file mode 100644
index 000000000..860729e9f
--- /dev/null
+++ b/packages/pipeline/src/parsers/utils.ts
@@ -0,0 +1,28 @@
+import { BigNumber } from '@0x/utils';
+
+export interface GenericRawOrder {
+    price: string;
+    amount: string;
+}
+
+/**
+ * Aggregates individual orders by price point. Filters zero amount orders.
+ * @param rawOrders An array of objects that have price and amount information.
+ */
+export function aggregateOrders(rawOrders: GenericRawOrder[]): Array<[string, BigNumber]> {
+    const aggregatedOrders = new Map<string, BigNumber>();
+    rawOrders.forEach(order => {
+        const amount = new BigNumber(order.amount);
+        if (amount.isZero()) {
+            return;
+        }
+        // Use string instead of BigNum to aggregate by value instead of variable.
+        // Convert to BigNumber first to consolidate different string
+        // representations of the same number. Eg. '0.0' and '0.00'.
+        const price = new BigNumber(order.price).toString();
+
+        const existingAmount = aggregatedOrders.get(price) || new BigNumber(0);
+        aggregatedOrders.set(price, amount.plus(existingAmount));
+    });
+    return Array.from(aggregatedOrders.entries());
+}