Implement generic solution for l2 limited limit

freqtrade/exchange/binance.py

@@ -20,20 +20,9 @@ class Binance(Exchange):
         "order_time_in_force": ['gtc', 'fok', 'ioc'],
         "trades_pagination": "id",
         "trades_pagination_arg": "fromId",
+        "l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
     }
 
-    def fetch_l2_order_book(self, pair: str, limit: int = 100) -> dict:
-        """
-        get order book level 2 from exchange
-
-        20180619: binance support limits but only on specific range
-        """
-        limit_range = [5, 10, 20, 50, 100, 500, 1000]
-        # get next-higher step in the limit_range list
-        limit = min(list(filter(lambda x: limit <= x, limit_range)))
-
-        return super().fetch_l2_order_book(pair, limit)
-
     def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
         """
         Verify stop_loss against stoploss-order value (limit or price)

freqtrade/exchange/exchange.py

@@ -53,7 +53,7 @@ class Exchange:
         "ohlcv_partial_candle": True,
         "trades_pagination": "time",  # Possible are "time" or "id"
         "trades_pagination_arg": "since",
-
+        "l2_limit_range": None,
     }
     _ft_has: Dict = {}
 
@@ -1069,6 +1069,16 @@ class Exchange:
             return self.fetch_stoploss_order(order_id, pair)
         return self.fetch_order(order_id, pair)
 
+    @staticmethod
+    def get_next_limit_in_list(limit: int, limit_range: Optional[List[int]]):
+        """
+        Get next greater limit
+        """
+        if not limit_range:
+            return limit
+
+        return min(list(filter(lambda x: limit <= x, limit_range)))
+
     @retrier
     def fetch_l2_order_book(self, pair: str, limit: int = 100) -> dict:
         """
@@ -1077,9 +1087,10 @@ class Exchange:
         Returns a dict in the format
         {'asks': [price, volume], 'bids': [price, volume]}
         """
+        limit1 = self.get_next_limit_in_list(limit, self._ft_has['l2_limit_range'])
         try:
 
-            return self._api.fetch_l2_order_book(pair, limit)
+            return self._api.fetch_l2_order_book(pair, limit1)
         except ccxt.NotSupported as e:
             raise OperationalException(
                 f'Exchange {self._api.name} does not support fetching order book.'

tests/exchange/test_exchange.py

@@ -1438,6 +1438,25 @@ def test_refresh_latest_ohlcv_inv_result(default_conf, mocker, caplog):
     assert log_has("Async code raised an exception: TypeError", caplog)
 
 
+def test_get_next_limit_in_list():
+    limit_range = [5, 10, 20, 50, 100, 500, 1000]
+    assert Exchange.get_next_limit_in_list(1, limit_range) == 5
+    assert Exchange.get_next_limit_in_list(5, limit_range) == 5
+    assert Exchange.get_next_limit_in_list(6, limit_range) == 10
+    assert Exchange.get_next_limit_in_list(9, limit_range) == 10
+    assert Exchange.get_next_limit_in_list(10, limit_range) == 10
+    assert Exchange.get_next_limit_in_list(11, limit_range) == 20
+    assert Exchange.get_next_limit_in_list(19, limit_range) == 20
+    assert Exchange.get_next_limit_in_list(21, limit_range) == 50
+    assert Exchange.get_next_limit_in_list(51, limit_range) == 100
+    assert Exchange.get_next_limit_in_list(1000, limit_range) == 1000
+    # assert Exchange.get_next_limit_in_list(1001, limit_range) == 1001
+
+    assert Exchange.get_next_limit_in_list(21, None) == 21
+    assert Exchange.get_next_limit_in_list(100, None) == 100
+    assert Exchange.get_next_limit_in_list(1000, None) == 1000
+
+
 @pytest.mark.parametrize("exchange_name", EXCHANGES)
 def test_fetch_l2_order_book(default_conf, mocker, order_book_l2, exchange_name):
     default_conf['exchange']['name'] = exchange_name
@@ -1450,6 +1469,20 @@ def test_fetch_l2_order_book(default_conf, mocker, order_book_l2, exchange_name)
     assert 'asks' in order_book
     assert len(order_book['bids']) == 10
     assert len(order_book['asks']) == 10
+    assert api_mock.fetch_l2_order_book.call_args_list[0][0][0] == 'ETH/BTC'
+    assert api_mock.fetch_l2_order_book.call_args_list[0][0][1] == 10
+
+    for val in [1, 5, 12, 20, 50, 100]:
+        api_mock.fetch_l2_order_book.reset_mock()
+
+        order_book = exchange.fetch_l2_order_book(pair='ETH/BTC', limit=val)
+        assert api_mock.fetch_l2_order_book.call_args_list[0][0][0] == 'ETH/BTC'
+        # Not all exchanges support all limits for orderbook
+        if not exchange._ft_has['l2_limit_range'] or val in exchange._ft_has['l2_limit_range']:
+            assert api_mock.fetch_l2_order_book.call_args_list[0][0][1] == val
+        else:
+            next_limit = exchange.get_next_limit_in_list(val, exchange._ft_has['l2_limit_range'])
+            assert api_mock.fetch_l2_order_book.call_args_list[0][0][1] == next_limit
 
 
 @pytest.mark.parametrize("exchange_name", EXCHANGES)