Cross-exchange orderbook aggregator.

Trading on one exchange and watching another for arbitrage means juggling four browser tabs, four API keys, and four rate-limit budgets — and missing the prints that matter in the gaps.

Our team built the aggregation service as a single Bun binary with no external runtime dependencies. The 13KB browser bundle runs the same aggregation client-side too — open `docs/index.html` and the books connect directly to exchanges from your browser, no server required.

Per-exchange normalisation is the hard part: each venue sends a different message shape, ordering, and update semantics. We subscribe to L2 orderbook channels, normalise into a common `BookChange` format, then merge by summing amounts at matching price levels.

Exchanges that send snapshots via REST (Binance, Bitstamp) buffer WebSocket deltas until the snapshot arrives, then replay the buffered diffs in order so the merged book stays internally consistent. The merged book holds L2 depth across all four venues, and the depth-of-N call (N configurable per request) returns the same merged view regardless of which venue matched.