First small compat test

tests/exchange/test_ccxt_compat.py

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+"""
+Tests in this file do NOT mock network calls, so they are expected to be fluky at times.
+
+However, these tests should give a good idea to determine if a new exchange is
+suitable to run with freqtrade.
+
+"""
+
+from freqtrade.resolvers.exchange_resolver import ExchangeResolver
+import pytest
+
+# Exchanges that should be tested
+EXCHANGES = ['bittrex', 'binance', 'kraken', 'ftx']
+
+
+@pytest.fixture
+def exchange_conf(default_conf):
+    default_conf['exchange']['pair_whitelist'] = []
+    return default_conf
+
+
+@pytest.mark.parametrize('exchange', EXCHANGES)
+def test_ccxt_fetch_l2_orderbook(exchange_conf, exchange):
+
+    exchange_conf['exchange']['name'] = exchange
+    exchange_conf['exchange']['name'] = exchange
+
+    exchange = ExchangeResolver.load_exchange(exchange, exchange_conf)
+    l2 = exchange.fetch_l2_order_book('BTC/USDT')
+    assert 'asks' in l2
+    assert 'bids' in l2
+
+    for val in [1, 2, 5, 25, 100]:
+        l2 = exchange.fetch_l2_order_book('BTC/USDT', val)
+        if not exchange._ft_has['l2_limit_range'] or val in exchange._ft_has['l2_limit_range']:
+            assert len(l2['asks']) == val
+            assert len(l2['bids']) == val
+        else:
+            next_limit = exchange.get_next_limit_in_list(val, exchange._ft_has['l2_limit_range'])
+            assert len(l2['asks']) == next_limit
+            assert len(l2['asks']) == next_limit
+
+