Submitting with unit test for the working scenario.

Strongly recommend core team check the unit test is even targetting the
correct code in exchange/__init__.py

I have a real knowledge gap on mocker, in so far as how tests map to
what they're targeting.

freqtrade/exchange/__init__.py

@@ -95,9 +95,7 @@ class Exchange(object):
         except (KeyError, AttributeError):
             raise OperationalException(f'Exchange {name} is not supported')
 
-        # check if config requests sanbox, if so use ['test'] from url
-        if (exchange_config.get('sandbox')):
-            api.urls['api'] = api.urls['test']
+        self.set_sandbox(api, exchange_config, name)
 
         return api
 
@@ -111,6 +109,14 @@ class Exchange(object):
         """exchange ccxt id"""
         return self._api.id
 
+    def set_sandbox(self, api, exchange_config: dict, name: str):
+        if exchange_config.get('sandbox'):
+            if api.urls.get('test'):
+                api.urls['api'] = api.urls['test']
+            else:
+                logger.warning(self, "No Sandbox URL in CCXT, exiting. Please check your config.json")
+                raise OperationalException(f'Exchange {name} does not provide a sandbox api')
+
     def validate_pairs(self, pairs: List[str]) -> None:
         """
         Checks if all given pairs are tradable on the current exchange.

freqtrade/tests/exchange/test_exchange.py

@@ -51,6 +51,36 @@ def test_init_exception(default_conf, mocker):
         mocker.patch("ccxt.binance", MagicMock(side_effect=AttributeError))
         Exchange(default_conf)
 
+def test_set_sandbox(default_conf, mocker):
+    """
+    Test working scenario
+    """
+    api_mock = MagicMock()
+    api_mock.load_markets = MagicMock(return_value={
+        'ETH/BTC': '', 'LTC/BTC': '', 'XRP/BTC': '', 'NEO/BTC': ''
+    })
+    url_mock = PropertyMock(return_value={'test': "api-public.sandbox.gdax.com", 'api': 'https://api.gdax.com'})
+    type(api_mock).urls = url_mock
+    mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock))
+    mocker.patch('freqtrade.exchange.Exchange.validate_timeframes', MagicMock())
+    Exchange(default_conf)
+
+# def test_set_sandbox_exception(default_conf, mocker):
+#     """
+#     Test Fail scenario
+#     """
+#     api_mock = MagicMock()
+#     api_mock.load_markets = MagicMock(return_value={
+#         'ETH/BTC': '', 'LTC/BTC': '', 'XRP/BTC': '', 'NEO/BTC': ''
+#     })
+#     url_mock = PropertyMock(return_value={'api': 'https://api.gdax.com'})
+#     type(api_mock).urls = url_mock
+#
+#     mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock))
+#     mocker.patch('freqtrade.exchange.Exchange.validate_timeframes', MagicMock())
+#
+#     with pytest.raises(OperationalException, match=r'does not provide a sandbox api'):
+#         Exchange(default_conf)
 
 def test_validate_pairs(default_conf, mocker):
     api_mock = MagicMock()