Incorporate fetch_bids_asks to allow binance spread filter to work

closes #6474

freqtrade/exchange/binance.py

@@ -12,6 +12,7 @@ from freqtrade.enums import CandleType, MarginMode, TradingMode
 from freqtrade.exceptions import DDosProtection, OperationalException, TemporaryError
 from freqtrade.exchange import Exchange
 from freqtrade.exchange.common import retrier
+from freqtrade.misc import deep_merge_dicts
 
 
 logger = logging.getLogger(__name__)
@@ -55,6 +56,15 @@ class Binance(Exchange):
             (side == "buy" and stop_loss < float(order['info']['stopPrice']))
         )
 
+    def get_tickers(self, symbols: List[str] = None, cached: bool = False) -> Dict:
+        tickers = super().get_tickers(symbols=symbols, cached=cached)
+        if self.trading_mode == TradingMode.FUTURES:
+            # Binance's future result has no bid/ask values.
+            # Therefore we must fetch that from fetch_bids_asks and combine the two results.
+            bidsasks = self.fetch_bids_asks(symbols, cached)
+            tickers = deep_merge_dicts(bidsasks, tickers, allow_null_overrides=False)
+        return tickers
+
     @retrier
     def _set_leverage(
         self,

freqtrade/exchange/exchange.py

@@ -104,7 +104,7 @@ class Exchange:
         self._last_markets_refresh: int = 0
 
         # Cache for 10 minutes ...
-        self._fetch_tickers_cache: TTLCache = TTLCache(maxsize=1, ttl=60 * 10)
+        self._fetch_tickers_cache: TTLCache = TTLCache(maxsize=2, ttl=60 * 10)
         # Cache values for 1800 to avoid frequent polling of the exchange for prices
         # Caching only applies to RPC methods, so prices for open trades are still
         # refreshed once every iteration.
@@ -1289,6 +1289,34 @@ class Exchange:
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 
+    @retrier
+    def fetch_bids_asks(self, symbols: List[str] = None, cached: bool = False) -> Dict:
+        """
+        :param cached: Allow cached result
+        :return: fetch_tickers result
+        """
+        if not self.exchange_has('fetchBidsAsks'):
+            return {}
+        if cached:
+            tickers = self._fetch_tickers_cache.get('fetch_bids_asks')
+            if tickers:
+                return tickers
+        try:
+            tickers = self._api.fetch_bids_asks(symbols)
+            self._fetch_tickers_cache['fetch_bids_asks'] = tickers
+            return tickers
+        except ccxt.NotSupported as e:
+            raise OperationalException(
+                f'Exchange {self._api.name} does not support fetching bids/asks in batch. '
+                f'Message: {e}') from e
+        except ccxt.DDoSProtection as e:
+            raise DDosProtection(e) from e
+        except (ccxt.NetworkError, ccxt.ExchangeError) as e:
+            raise TemporaryError(
+                f'Could not load bids/asks due to {e.__class__.__name__}. Message: {e}') from e
+        except ccxt.BaseError as e:
+            raise OperationalException(e) from e
+
     @retrier
     def get_tickers(self, symbols: List[str] = None, cached: bool = False) -> Dict:
         """