Merge bids + asks into price rows, optionally bucketing every groupBy ticks
(price-step aggregation for deep books). Returns rows sorted high to low price.
Pass a TickSchedule in place of the tick size for an instrument whose tick
changes with price: each row is then a price its band allows, and a group
spans groupBy ticks of that band, so the step changes at a boundary.
There groupBy counts whole ticks, a fraction rounding down (2.5 groups by
2), because a fractional group would label rows between the prices a band
allows. The constant path multiplies tickSize * groupBy as it always has.
Merge bids + asks into price rows, optionally bucketing every
groupByticks (price-step aggregation for deep books). Returns rows sorted high to low price. Pass aTickSchedulein place of the tick size for an instrument whose tick changes with price: each row is then a price its band allows, and a group spansgroupByticks of that band, so the step changes at a boundary. TheregroupBycounts whole ticks, a fraction rounding down (2.5 groups by 2), because a fractional group would label rows between the prices a band allows. The constant path multipliestickSize * groupByas it always has.