From b6a6aa48c952dfec28059bb9fa71c97a67efdec6 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Thu, 17 Mar 2022 20:05:05 +0100
Subject: [PATCH 01/11] Create separate _ft_has_futures dict

---
 freqtrade/exchange/binance.py  |  4 +++-
 freqtrade/exchange/exchange.py | 25 ++++++++++++-------------
 2 files changed, 15 insertions(+), 14 deletions(-)

diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py
index 6607c15b7..bfc363c5e 100644
--- a/freqtrade/exchange/binance.py
+++ b/freqtrade/exchange/binance.py
@@ -22,7 +22,6 @@ class Binance(Exchange):
     _ft_has: Dict = {
         "stoploss_on_exchange": True,
         "stoploss_order_types": {"limit": "stop_loss_limit"},
-        "stoploss_order_types_futures": {"limit": "stop"},
         "order_time_in_force": ['gtc', 'fok', 'ioc'],
         "time_in_force_parameter": "timeInForce",
         "ohlcv_candle_limit": 1000,
@@ -31,6 +30,9 @@ class Binance(Exchange):
         "l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
         "ccxt_futures_name": "future"
     }
+    _ft_has_futures: Dict = {
+        "stoploss_order_types": {"limit": "stop"},
+    }
 
     _supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
         # TradingMode.SPOT always supported and not required in this list
diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index 9e6a19de9..03d29233e 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -76,6 +76,7 @@ class Exchange:
         "ccxt_futures_name": "swap",
     }
     _ft_has: Dict = {}
+    _ft_has_futures: Dict = {}
 
     _supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
         # TradingMode.SPOT always supported and not required in this list
@@ -122,8 +123,19 @@ class Exchange:
         exchange_config = config['exchange']
         self.log_responses = exchange_config.get('log_responses', False)
 
+        # Leverage properties
+        self.trading_mode: TradingMode = config.get('trading_mode', TradingMode.SPOT)
+        self.margin_mode: Optional[MarginMode] = (
+            MarginMode(config.get('margin_mode'))
+            if config.get('margin_mode')
+            else None
+        )
+        self.liquidation_buffer = config.get('liquidation_buffer', 0.05)
+
         # Deep merge ft_has with default ft_has options
         self._ft_has = deep_merge_dicts(self._ft_has, deepcopy(self._ft_has_default))
+        if self.trading_mode == TradingMode.FUTURES:
+            self._ft_has = deep_merge_dicts(self._ft_has_futures, self._ft_has)
         if exchange_config.get('_ft_has_params'):
             self._ft_has = deep_merge_dicts(exchange_config.get('_ft_has_params'),
                                             self._ft_has)
@@ -135,15 +147,6 @@ class Exchange:
         self._trades_pagination = self._ft_has['trades_pagination']
         self._trades_pagination_arg = self._ft_has['trades_pagination_arg']
 
-        # Leverage properties
-        self.trading_mode: TradingMode = config.get('trading_mode', TradingMode.SPOT)
-        self.margin_mode: Optional[MarginMode] = (
-            MarginMode(config.get('margin_mode'))
-            if config.get('margin_mode')
-            else None
-        )
-        self.liquidation_buffer = config.get('liquidation_buffer', 0.05)
-
         # Initialize ccxt objects
         ccxt_config = self._ccxt_config
         ccxt_config = deep_merge_dicts(exchange_config.get('ccxt_config', {}), ccxt_config)
@@ -1011,10 +1014,6 @@ class Exchange:
     def _get_stop_order_type(self, user_order_type) -> Tuple[str, str]:
 
         available_order_Types: Dict[str, str] = self._ft_has["stoploss_order_types"]
-        if self.trading_mode == TradingMode.FUTURES:
-            # Optionally use different order type for stop order
-            available_order_Types = self._ft_has.get('stoploss_order_types_futures',
-                                                     self._ft_has["stoploss_order_types"])
 
         if user_order_type in available_order_Types.keys():
             ordertype = available_order_Types[user_order_type]

From a13b633c5623fc16b1ed997a8195ca82dc27c001 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Thu, 17 Mar 2022 20:11:56 +0100
Subject: [PATCH 02/11] update VOlumepairlist to also work without tickers

---
 freqtrade/plugins/pairlist/VolumePairList.py | 36 ++++++++++++--------
 tests/plugins/test_pairlist.py               |  4 +--
 2 files changed, 23 insertions(+), 17 deletions(-)

diff --git a/freqtrade/plugins/pairlist/VolumePairList.py b/freqtrade/plugins/pairlist/VolumePairList.py
index 961c461f2..6adca7369 100644
--- a/freqtrade/plugins/pairlist/VolumePairList.py
+++ b/freqtrade/plugins/pairlist/VolumePairList.py
@@ -71,10 +71,11 @@ class VolumePairList(IPairList):
                 f'to at least {self._tf_in_sec} and restart the bot.'
             )
 
-        if not self._exchange.exchange_has('fetchTickers'):
+        if not self._use_range and not self._exchange.exchange_has('fetchTickers'):
             raise OperationalException(
-                'Exchange does not support dynamic whitelist. '
-                'Please edit your config and restart the bot.'
+                "Exchange does not support dynamic whitelist in this configuration. "
+                "Please edit your config and either remove Volumepairlist, "
+                "or switch to using candles. and restart the bot."
             )
 
         if not self._validate_keys(self._sort_key):
@@ -95,7 +96,7 @@ class VolumePairList(IPairList):
         If no Pairlist requires tickers, an empty Dict is passed
         as tickers argument to filter_pairlist
         """
-        return True
+        return not self._use_range
 
     def _validate_keys(self, key):
         return key in SORT_VALUES
@@ -126,13 +127,15 @@ class VolumePairList(IPairList):
                 tradable_only=True, active_only=True).keys()]
             # No point in testing for blacklisted pairs...
             _pairlist = self.verify_blacklist(_pairlist, logger.info)
-
-            filtered_tickers = [
-                v for k, v in tickers.items()
-                if (self._exchange.get_pair_quote_currency(k) == self._stake_currency
-                    and (self._use_range or v[self._sort_key] is not None)
-                    and v['symbol'] in _pairlist)]
-            pairlist = [s['symbol'] for s in filtered_tickers]
+            if not self._use_range:
+                filtered_tickers = [
+                    v for k, v in tickers.items()
+                    if (self._exchange.get_pair_quote_currency(k) == self._stake_currency
+                        and (self._use_range or v[self._sort_key] is not None)
+                        and v['symbol'] in _pairlist)]
+                pairlist = [s['symbol'] for s in filtered_tickers]
+            else:
+                pairlist = _pairlist
 
             pairlist = self.filter_pairlist(pairlist, tickers)
             self._pair_cache['pairlist'] = pairlist.copy()
@@ -147,11 +150,11 @@ class VolumePairList(IPairList):
         :param tickers: Tickers (from exchange.get_tickers()). May be cached.
         :return: new whitelist
         """
-        # Use the incoming pairlist.
-        filtered_tickers = [v for k, v in tickers.items() if k in pairlist]
-
-        # get lookback period in ms, for exchange ohlcv fetch
         if self._use_range:
+            # Create bare minimum from tickers structure.
+            filtered_tickers = [{'symbol': k} for k in pairlist]
+
+            # get lookback period in ms, for exchange ohlcv fetch
             since_ms = int(arrow.utcnow()
                            .floor('minute')
                            .shift(minutes=-(self._lookback_period * self._tf_in_min)
@@ -208,6 +211,9 @@ class VolumePairList(IPairList):
                     filtered_tickers[i]['quoteVolume'] = quoteVolume
                 else:
                     filtered_tickers[i]['quoteVolume'] = 0
+        else:
+            # Tickers mode - filter based on incomming pairlist.
+            filtered_tickers = [v for k, v in tickers.items() if k in pairlist]
 
         if self._min_value > 0:
             filtered_tickers = [
diff --git a/tests/plugins/test_pairlist.py b/tests/plugins/test_pairlist.py
index 8d7e2b5c1..9b7865e82 100644
--- a/tests/plugins/test_pairlist.py
+++ b/tests/plugins/test_pairlist.py
@@ -587,10 +587,10 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t
     ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
        "lookback_timeframe": "1d", "lookback_period": 1, "refresh_period": 86400}],
      "BTC", "binance", ['LTC/BTC', 'ETH/BTC', 'TKN/BTC', 'XRP/BTC', 'HOT/BTC']),
-    # expecting pairs from default tickers, because 1h candles are not available
+    # expecting pairs as input, because 1h candles are not available
     ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
        "lookback_timeframe": "1h", "lookback_period": 2, "refresh_period": 3600}],
-     "BTC", "binance", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'HOT/BTC', 'FUEL/BTC']),
+     "BTC", "binance", ['ETH/BTC', 'LTC/BTC', 'NEO/BTC', 'TKN/BTC', 'XRP/BTC']),
     # ftx data is already in Quote currency, therefore won't require conversion
     ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
        "lookback_timeframe": "1d", "lookback_period": 1, "refresh_period": 86400}],

From 1299a703e279ad61b99625b601bc72380e344049 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Thu, 17 Mar 2022 20:15:51 +0100
Subject: [PATCH 03/11] Implement fix for okx futures not having quoteVolume

---
 freqtrade/exchange/exchange.py               | 1 +
 freqtrade/exchange/okx.py                    | 3 +++
 freqtrade/plugins/pairlist/VolumePairList.py | 4 +++-
 3 files changed, 7 insertions(+), 1 deletion(-)

diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index 03d29233e..a0b1177ad 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -67,6 +67,7 @@ class Exchange:
         "ohlcv_partial_candle": True,
         # Check https://github.com/ccxt/ccxt/issues/10767 for removal of ohlcv_volume_currency
         "ohlcv_volume_currency": "base",  # "base" or "quote"
+        "tickers_has_quoteVolume": True,
         "trades_pagination": "time",  # Possible are "time" or "id"
         "trades_pagination_arg": "since",
         "l2_limit_range": None,
diff --git a/freqtrade/exchange/okx.py b/freqtrade/exchange/okx.py
index 08c29c7b2..aa4390b31 100644
--- a/freqtrade/exchange/okx.py
+++ b/freqtrade/exchange/okx.py
@@ -23,6 +23,9 @@ class Okx(Exchange):
         "mark_ohlcv_timeframe": "4h",
         "funding_fee_timeframe": "8h",
     }
+    _ft_has_futures: Dict = {
+        "tickers_has_quoteVolume": False,
+    }
 
     _supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
         # TradingMode.SPOT always supported and not required in this list
diff --git a/freqtrade/plugins/pairlist/VolumePairList.py b/freqtrade/plugins/pairlist/VolumePairList.py
index 6adca7369..f18dce735 100644
--- a/freqtrade/plugins/pairlist/VolumePairList.py
+++ b/freqtrade/plugins/pairlist/VolumePairList.py
@@ -71,7 +71,9 @@ class VolumePairList(IPairList):
                 f'to at least {self._tf_in_sec} and restart the bot.'
             )
 
-        if not self._use_range and not self._exchange.exchange_has('fetchTickers'):
+        if (not self._use_range and not (
+                self._exchange.exchange_has('fetchTickers')
+                and self._exchange._ft_has["tickers_has_quoteVolume"])):
             raise OperationalException(
                 "Exchange does not support dynamic whitelist in this configuration. "
                 "Please edit your config and either remove Volumepairlist, "

From b56aab0bdfa6527902d36940a7a1ec2402dca3a5 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Fri, 18 Mar 2022 06:34:35 +0100
Subject: [PATCH 04/11] Update Volumepairlist type

---
 freqtrade/plugins/pairlist/VolumePairList.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/freqtrade/plugins/pairlist/VolumePairList.py b/freqtrade/plugins/pairlist/VolumePairList.py
index f18dce735..688305b5a 100644
--- a/freqtrade/plugins/pairlist/VolumePairList.py
+++ b/freqtrade/plugins/pairlist/VolumePairList.py
@@ -154,7 +154,7 @@ class VolumePairList(IPairList):
         """
         if self._use_range:
             # Create bare minimum from tickers structure.
-            filtered_tickers = [{'symbol': k} for k in pairlist]
+            filtered_tickers: List[Dict[str, Any]] = [{'symbol': k} for k in pairlist]
 
             # get lookback period in ms, for exchange ohlcv fetch
             since_ms = int(arrow.utcnow()

From fdce055061324c4f29f29093feb33813db840755 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Fri, 18 Mar 2022 06:58:22 +0100
Subject: [PATCH 05/11] Update deep_merge_dicts to disallow null-overrides

---
 freqtrade/misc.py  |  6 +++---
 tests/test_misc.py | 22 ++++++++++++++++++----
 2 files changed, 21 insertions(+), 7 deletions(-)

diff --git a/freqtrade/misc.py b/freqtrade/misc.py
index 534844036..acc7fc2e4 100644
--- a/freqtrade/misc.py
+++ b/freqtrade/misc.py
@@ -129,7 +129,7 @@ def format_ms_time(date: int) -> str:
     return datetime.fromtimestamp(date/1000.0).strftime('%Y-%m-%dT%H:%M:%S')
 
 
-def deep_merge_dicts(source, destination):
+def deep_merge_dicts(source, destination, allow_null_overrides: bool = True):
     """
     Values from Source override destination, destination is returned (and modified!!)
     Sample:
@@ -142,8 +142,8 @@ def deep_merge_dicts(source, destination):
         if isinstance(value, dict):
             # get node or create one
             node = destination.setdefault(key, {})
-            deep_merge_dicts(value, node)
-        else:
+            deep_merge_dicts(value, node, allow_null_overrides)
+        elif value is not None or allow_null_overrides:
             destination[key] = value
 
     return destination
diff --git a/tests/test_misc.py b/tests/test_misc.py
index aef7e576b..d28050dfb 100644
--- a/tests/test_misc.py
+++ b/tests/test_misc.py
@@ -1,15 +1,16 @@
 # pragma pylint: disable=missing-docstring,C0103
 
 import datetime
+from copy import deepcopy
 from pathlib import Path
 from unittest.mock import MagicMock
 
 import pytest
 
-from freqtrade.misc import (decimals_per_coin, file_dump_json, file_load_json, format_ms_time,
-                            pair_to_filename, parse_db_uri_for_logging, plural, render_template,
-                            render_template_with_fallback, round_coin_value, safe_value_fallback,
-                            safe_value_fallback2, shorten_date)
+from freqtrade.misc import (decimals_per_coin, deep_merge_dicts, file_dump_json, file_load_json,
+                            format_ms_time, pair_to_filename, parse_db_uri_for_logging, plural,
+                            render_template, render_template_with_fallback, round_coin_value,
+                            safe_value_fallback, safe_value_fallback2, shorten_date)
 
 
 def test_decimals_per_coin():
@@ -203,3 +204,16 @@ def test_render_template_fallback(mocker):
 def test_parse_db_uri_for_logging(conn_url, expected) -> None:
 
     assert parse_db_uri_for_logging(conn_url) == expected
+
+
+def test_deep_merge_dicts():
+    a = {'first': {'rows': {'pass': 'dog', 'number': '1', 'test': None}}}
+    b = {'first': {'rows': {'fail': 'cat', 'number': '5', 'test': 'asdf'}}}
+    res = {'first': {'rows': {'pass': 'dog', 'fail': 'cat', 'number': '5', 'test': 'asdf'}}}
+    res2 = {'first': {'rows': {'pass': 'dog', 'fail': 'cat', 'number': '1', 'test': None}}}
+    assert deep_merge_dicts(b, deepcopy(a)) == res
+
+    assert deep_merge_dicts(a, deepcopy(b)) == res2
+
+    res2['first']['rows']['test'] = 'asdf'
+    assert deep_merge_dicts(a, deepcopy(b), allow_null_overrides=False) == res2

From 208a139d2b2119cff7eda4da8fe89375d5ce0ffa Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Fri, 18 Mar 2022 07:08:16 +0100
Subject: [PATCH 06/11] Incorporate fetch_bids_asks to allow binance spread
 filter to work

closes #6474
---
 freqtrade/exchange/binance.py   | 10 +++++
 freqtrade/exchange/exchange.py  | 30 ++++++++++++++-
 tests/exchange/test_exchange.py | 68 +++++++++++++++++++++++++++++++++
 3 files changed, 107 insertions(+), 1 deletion(-)

diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py
index bfc363c5e..314337c3e 100644
--- a/freqtrade/exchange/binance.py
+++ b/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,
diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index a0b1177ad..25c6cbd69 100644
--- a/freqtrade/exchange/exchange.py
+++ b/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:
         """
diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py
index 5c0b55efe..7438d900d 100644
--- a/tests/exchange/test_exchange.py
+++ b/tests/exchange/test_exchange.py
@@ -1572,6 +1572,59 @@ def test_fetch_positions(default_conf, mocker, exchange_name):
                            "fetch_positions", "fetch_positions")
 
 
+def test_fetch_bids_asks(default_conf, mocker):
+    api_mock = MagicMock()
+    tick = {'ETH/BTC': {
+        'symbol': 'ETH/BTC',
+        'bid': 0.5,
+        'ask': 1,
+        'last': 42,
+    }, 'BCH/BTC': {
+        'symbol': 'BCH/BTC',
+        'bid': 0.6,
+        'ask': 0.5,
+        'last': 41,
+    }
+    }
+    exchange_name = 'binance'
+    api_mock.fetch_bids_asks = MagicMock(return_value=tick)
+    mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
+    exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
+    # retrieve original ticker
+    bidsasks = exchange.fetch_bids_asks()
+
+    assert 'ETH/BTC' in bidsasks
+    assert 'BCH/BTC' in bidsasks
+    assert bidsasks['ETH/BTC']['bid'] == 0.5
+    assert bidsasks['ETH/BTC']['ask'] == 1
+    assert bidsasks['BCH/BTC']['bid'] == 0.6
+    assert bidsasks['BCH/BTC']['ask'] == 0.5
+    assert api_mock.fetch_bids_asks.call_count == 1
+
+    api_mock.fetch_bids_asks.reset_mock()
+
+    # Cached ticker should not call api again
+    tickers2 = exchange.fetch_bids_asks(cached=True)
+    assert tickers2 == bidsasks
+    assert api_mock.fetch_bids_asks.call_count == 0
+    tickers2 = exchange.fetch_bids_asks(cached=False)
+    assert api_mock.fetch_bids_asks.call_count == 1
+
+    ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name,
+                           "fetch_bids_asks", "fetch_bids_asks")
+
+    with pytest.raises(OperationalException):
+        api_mock.fetch_bids_asks = MagicMock(side_effect=ccxt.NotSupported("DeadBeef"))
+        exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
+        exchange.fetch_bids_asks()
+
+    api_mock.fetch_bids_asks = MagicMock(return_value={})
+    exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
+    exchange.fetch_bids_asks()
+    mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
+    assert exchange.fetch_bids_asks() == {}
+
+
 @pytest.mark.parametrize("exchange_name", EXCHANGES)
 def test_get_tickers(default_conf, mocker, exchange_name):
     api_mock = MagicMock()
@@ -1588,6 +1641,7 @@ def test_get_tickers(default_conf, mocker, exchange_name):
     }
     }
     api_mock.fetch_tickers = MagicMock(return_value=tick)
+    api_mock.fetch_bids_asks = MagicMock(return_value={})
     exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
     # retrieve original ticker
     tickers = exchange.get_tickers()
@@ -1599,6 +1653,7 @@ def test_get_tickers(default_conf, mocker, exchange_name):
     assert tickers['BCH/BTC']['bid'] == 0.6
     assert tickers['BCH/BTC']['ask'] == 0.5
     assert api_mock.fetch_tickers.call_count == 1
+    assert api_mock.fetch_bids_asks.call_count == 0
 
     api_mock.fetch_tickers.reset_mock()
 
@@ -1606,8 +1661,10 @@ def test_get_tickers(default_conf, mocker, exchange_name):
     tickers2 = exchange.get_tickers(cached=True)
     assert tickers2 == tickers
     assert api_mock.fetch_tickers.call_count == 0
+    assert api_mock.fetch_bids_asks.call_count == 0
     tickers2 = exchange.get_tickers(cached=False)
     assert api_mock.fetch_tickers.call_count == 1
+    assert api_mock.fetch_bids_asks.call_count == 0
 
     ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name,
                            "get_tickers", "fetch_tickers")
@@ -1621,6 +1678,17 @@ def test_get_tickers(default_conf, mocker, exchange_name):
     exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
     exchange.get_tickers()
 
+    api_mock.fetch_tickers.reset_mock()
+    api_mock.fetch_bids_asks.reset_mock()
+    default_conf['trading_mode'] = TradingMode.FUTURES
+    default_conf['margin_mode'] = MarginMode.ISOLATED
+    mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
+    exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
+
+    exchange.get_tickers()
+    assert api_mock.fetch_tickers.call_count == 1
+    assert api_mock.fetch_bids_asks.call_count == (1 if exchange_name == 'binance' else 0)
+
 
 @pytest.mark.parametrize("exchange_name", EXCHANGES)
 def test_fetch_ticker(default_conf, mocker, exchange_name):

From 1de5d2fb94d9df67c5e18f1a3528d86e64c44667 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Fri, 18 Mar 2022 16:44:27 +0100
Subject: [PATCH 07/11] Remove unnecessary condition

---
 freqtrade/exchange/exchange.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index 25c6cbd69..a84a63edb 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -1426,7 +1426,7 @@ class Exchange:
 
         conf_strategy = self._config.get(strat_name, {})
 
-        if conf_strategy.get('use_order_book', False) and ('use_order_book' in conf_strategy):
+        if conf_strategy.get('use_order_book', False):
 
             order_book_top = conf_strategy.get('order_book_top', 1)
             order_book = self.fetch_l2_order_book(pair, order_book_top)

From 2791e799ee163e8360e8092a4e6caa75a786f848 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Fri, 18 Mar 2022 16:49:37 +0100
Subject: [PATCH 08/11] Rename tickers_has_quoteVolume

---
 freqtrade/exchange/binance.py                | 1 +
 freqtrade/exchange/exchange.py               | 3 ++-
 freqtrade/exchange/okx.py                    | 2 +-
 freqtrade/plugins/pairlist/VolumePairList.py | 2 +-
 4 files changed, 5 insertions(+), 3 deletions(-)

diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py
index 314337c3e..8c442cd26 100644
--- a/freqtrade/exchange/binance.py
+++ b/freqtrade/exchange/binance.py
@@ -33,6 +33,7 @@ class Binance(Exchange):
     }
     _ft_has_futures: Dict = {
         "stoploss_order_types": {"limit": "stop"},
+        "tickers_have_price": False,
     }
 
     _supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index a84a63edb..5d6786476 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -67,7 +67,8 @@ class Exchange:
         "ohlcv_partial_candle": True,
         # Check https://github.com/ccxt/ccxt/issues/10767 for removal of ohlcv_volume_currency
         "ohlcv_volume_currency": "base",  # "base" or "quote"
-        "tickers_has_quoteVolume": True,
+        "tickers_have_quoteVolume": True,
+        "tickers_have_price": True,
         "trades_pagination": "time",  # Possible are "time" or "id"
         "trades_pagination_arg": "since",
         "l2_limit_range": None,
diff --git a/freqtrade/exchange/okx.py b/freqtrade/exchange/okx.py
index aa4390b31..a21da2344 100644
--- a/freqtrade/exchange/okx.py
+++ b/freqtrade/exchange/okx.py
@@ -24,7 +24,7 @@ class Okx(Exchange):
         "funding_fee_timeframe": "8h",
     }
     _ft_has_futures: Dict = {
-        "tickers_has_quoteVolume": False,
+        "tickers_have_quoteVolume": False,
     }
 
     _supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
diff --git a/freqtrade/plugins/pairlist/VolumePairList.py b/freqtrade/plugins/pairlist/VolumePairList.py
index 688305b5a..26e7d45be 100644
--- a/freqtrade/plugins/pairlist/VolumePairList.py
+++ b/freqtrade/plugins/pairlist/VolumePairList.py
@@ -73,7 +73,7 @@ class VolumePairList(IPairList):
 
         if (not self._use_range and not (
                 self._exchange.exchange_has('fetchTickers')
-                and self._exchange._ft_has["tickers_has_quoteVolume"])):
+                and self._exchange._ft_has["tickers_have_quoteVolume"])):
             raise OperationalException(
                 "Exchange does not support dynamic whitelist in this configuration. "
                 "Please edit your config and either remove Volumepairlist, "

From d32153c8d352d7ada8e4af8b70c1000b32f93a1a Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Fri, 18 Mar 2022 17:07:12 +0100
Subject: [PATCH 09/11] Validate pricing configuration

---
 freqtrade/exchange/exchange.py  | 10 +++++++++
 tests/exchange/test_exchange.py | 40 ++++++++++++++++++++++++++++++++-
 2 files changed, 49 insertions(+), 1 deletion(-)

diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index 5d6786476..fd4fd627f 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -182,6 +182,8 @@ class Exchange:
             self.required_candle_call_count = self.validate_required_startup_candles(
                 config.get('startup_candle_count', 0), config.get('timeframe', ''))
             self.validate_trading_mode_and_margin_mode(self.trading_mode, self.margin_mode)
+            self.validate_pricing(config['ask_strategy'])
+            self.validate_pricing(config['bid_strategy'])
 
         # Converts the interval provided in minutes in config to seconds
         self.markets_refresh_interval: int = exchange_config.get(
@@ -575,6 +577,14 @@ class Exchange:
                 f'On exchange stoploss is not supported for {self.name}.'
             )
 
+    def validate_pricing(self, pricing: Dict) -> None:
+        if pricing.get('use_order_book', False) and not self.exchange_has('fetchL2OrderBook'):
+            raise OperationalException(f'Orderbook not available for {self.name}.')
+        if (not pricing.get('use_order_book', False) and not (
+                self.exchange_has('fetchTicker') and self._ft_has['tickers_have_price']
+                )):
+            raise OperationalException(f'Ticker pricing not available for {self.name}.')
+
     def validate_order_time_in_force(self, order_time_in_force: Dict) -> None:
         """
         Checks if order time in force configured in strategy/config are supported
diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py
index 7438d900d..c375f37fe 100644
--- a/tests/exchange/test_exchange.py
+++ b/tests/exchange/test_exchange.py
@@ -939,7 +939,45 @@ def test_validate_timeframes_not_in_config(default_conf, mocker):
     Exchange(default_conf)
 
 
-def test_validate_order_types(default_conf, mocker):
+def test_validate_pricing(default_conf, mocker):
+    api_mock = MagicMock()
+    has = {
+        'fetchL2OrderBook': True,
+        'fetchTicker': True,
+    }
+    type(api_mock).has = PropertyMock(return_value=has)
+    mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock))
+    mocker.patch('freqtrade.exchange.Exchange._load_markets', MagicMock(return_value={}))
+    mocker.patch('freqtrade.exchange.exchange.Exchange.validate_trading_mode_and_margin_mode')
+    mocker.patch('freqtrade.exchange.Exchange.validate_pairs')
+    mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
+    mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
+    mocker.patch('freqtrade.exchange.Exchange.name', 'Binance')
+    ExchangeResolver.load_exchange('binance', default_conf)
+    has.update({'fetchTicker': False})
+    with pytest.raises(OperationalException, match="Ticker pricing not available for .*"):
+        ExchangeResolver.load_exchange('binance', default_conf)
+
+    has.update({'fetchTicker': True})
+
+    default_conf['ask_strategy']['use_order_book'] = True
+    ExchangeResolver.load_exchange('binance', default_conf)
+    has.update({'fetchL2OrderBook': False})
+
+    with pytest.raises(OperationalException, match="Orderbook not available for .*"):
+        ExchangeResolver.load_exchange('binance', default_conf)
+
+    has.update({'fetchL2OrderBook': True})
+
+    # Binance has no tickers on futures
+    default_conf['trading_mode'] = TradingMode.FUTURES
+    default_conf['margin_mode'] = MarginMode.ISOLATED
+
+    with pytest.raises(OperationalException, match="Ticker pricing not available for .*"):
+        ExchangeResolver.load_exchange('binance', default_conf)
+
+
+def test_validate_ordertypes(default_conf, mocker):
     api_mock = MagicMock()
 
     type(api_mock).has = PropertyMock(return_value={'createMarketOrder': True})

From 97c1316bf1c37697304b265d77d65ab2304177a6 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Fri, 18 Mar 2022 19:26:54 +0100
Subject: [PATCH 10/11] Add new validation to validate excludes

---
 freqtrade/exchange/exchange.py  |  6 +++---
 tests/conftest.py               |  1 +
 tests/exchange/test_exchange.py | 19 ++++++++++++++++++-
 tests/exchange/test_gateio.py   |  1 +
 4 files changed, 23 insertions(+), 4 deletions(-)

diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index fd4fd627f..108b074f3 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -580,9 +580,9 @@ class Exchange:
     def validate_pricing(self, pricing: Dict) -> None:
         if pricing.get('use_order_book', False) and not self.exchange_has('fetchL2OrderBook'):
             raise OperationalException(f'Orderbook not available for {self.name}.')
-        if (not pricing.get('use_order_book', False) and not (
-                self.exchange_has('fetchTicker') and self._ft_has['tickers_have_price']
-                )):
+        if (not pricing.get('use_order_book', False) and (
+                not self.exchange_has('fetchTicker')
+                or not self._ft_has['tickers_have_price'])):
             raise OperationalException(f'Ticker pricing not available for {self.name}.')
 
     def validate_order_time_in_force(self, order_time_in_force: Dict) -> None:
diff --git a/tests/conftest.py b/tests/conftest.py
index 698cdc7b4..05ff39358 100644
--- a/tests/conftest.py
+++ b/tests/conftest.py
@@ -104,6 +104,7 @@ def patch_exchange(
     mocker.patch('freqtrade.exchange.Exchange.validate_timeframes', MagicMock())
     mocker.patch('freqtrade.exchange.Exchange.validate_ordertypes', MagicMock())
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency', MagicMock())
+    mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
     mocker.patch('freqtrade.exchange.Exchange.id', PropertyMock(return_value=id))
     mocker.patch('freqtrade.exchange.Exchange.name', PropertyMock(return_value=id.title()))
     mocker.patch('freqtrade.exchange.Exchange.precisionMode', PropertyMock(return_value=2))
diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py
index c375f37fe..27750637e 100644
--- a/tests/exchange/test_exchange.py
+++ b/tests/exchange/test_exchange.py
@@ -167,6 +167,7 @@ def test_exchange_resolver(default_conf, mocker, caplog):
     mocker.patch('freqtrade.exchange.Exchange.validate_pairs')
     mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
+    mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
 
     exchange = ExchangeResolver.load_exchange('zaif', default_conf)
     assert isinstance(exchange, Exchange)
@@ -570,6 +571,7 @@ def test__load_async_markets(default_conf, mocker, caplog):
     mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
     mocker.patch('freqtrade.exchange.Exchange._load_markets')
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
+    mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
     exchange = Exchange(default_conf)
     exchange._api_async.load_markets = get_mock_coro(None)
     exchange._load_async_markets()
@@ -591,6 +593,7 @@ def test__load_markets(default_conf, mocker, caplog):
     mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
     mocker.patch('freqtrade.exchange.Exchange._load_async_markets')
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
+    mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
     Exchange(default_conf)
     assert log_has('Unable to initialize markets.', caplog)
 
@@ -659,6 +662,7 @@ def test_validate_stakecurrency(default_conf, stake_currency, mocker, caplog):
     mocker.patch('freqtrade.exchange.Exchange.validate_pairs')
     mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
     mocker.patch('freqtrade.exchange.Exchange._load_async_markets')
+    mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
     Exchange(default_conf)
 
 
@@ -731,6 +735,7 @@ def test_validate_pairs(default_conf, mocker):  # test exchange.validate_pairs d
     mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
     mocker.patch('freqtrade.exchange.Exchange._load_async_markets')
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
+    mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
     Exchange(default_conf)
 
 
@@ -757,6 +762,7 @@ def test_validate_pairs_exception(default_conf, mocker, caplog):
     mocker.patch('freqtrade.exchange.Exchange._init_ccxt', api_mock)
     mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
+    mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
     mocker.patch('freqtrade.exchange.Exchange._load_async_markets')
 
     with pytest.raises(OperationalException, match=r'Pair ETH/BTC is not available on Binance'):
@@ -777,6 +783,7 @@ def test_validate_pairs_restricted(default_conf, mocker, caplog):
     mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock))
     mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
     mocker.patch('freqtrade.exchange.Exchange._load_async_markets')
+    mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
 
     Exchange(default_conf)
@@ -796,6 +803,7 @@ def test_validate_pairs_stakecompatibility(default_conf, mocker, caplog):
     mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
     mocker.patch('freqtrade.exchange.Exchange._load_async_markets')
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
+    mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
 
     Exchange(default_conf)
 
@@ -812,6 +820,7 @@ def test_validate_pairs_stakecompatibility_downloaddata(default_conf, mocker, ca
     mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
     mocker.patch('freqtrade.exchange.Exchange._load_async_markets')
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
+    mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
 
     Exchange(default_conf)
     assert type(api_mock).load_markets.call_count == 1
@@ -852,6 +861,7 @@ def test_validate_timeframes(default_conf, mocker, timeframe):
     mocker.patch('freqtrade.exchange.Exchange._load_markets', MagicMock(return_value={}))
     mocker.patch('freqtrade.exchange.Exchange.validate_pairs')
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
+    mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
     Exchange(default_conf)
 
 
@@ -936,6 +946,7 @@ def test_validate_timeframes_not_in_config(default_conf, mocker):
     mocker.patch('freqtrade.exchange.Exchange._load_markets', MagicMock(return_value={}))
     mocker.patch('freqtrade.exchange.Exchange.validate_pairs')
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
+    mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
     Exchange(default_conf)
 
 
@@ -986,6 +997,7 @@ def test_validate_ordertypes(default_conf, mocker):
     mocker.patch('freqtrade.exchange.Exchange.validate_pairs')
     mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
+    mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
     mocker.patch('freqtrade.exchange.Exchange.name', 'Bittrex')
 
     default_conf['order_types'] = {
@@ -1026,6 +1038,7 @@ def test_validate_order_types_not_in_config(default_conf, mocker):
     mocker.patch('freqtrade.exchange.Exchange._load_markets', MagicMock(return_value={}))
     mocker.patch('freqtrade.exchange.Exchange.validate_pairs')
     mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
+    mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
 
     conf = copy.deepcopy(default_conf)
@@ -1040,6 +1053,7 @@ def test_validate_required_startup_candles(default_conf, mocker, caplog):
     mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
     mocker.patch('freqtrade.exchange.Exchange._load_async_markets')
     mocker.patch('freqtrade.exchange.Exchange.validate_pairs')
+    mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
 
     default_conf['startup_candle_count'] = 20
@@ -3084,7 +3098,8 @@ def test_merge_ft_has_dict(default_conf, mocker):
                           _load_async_markets=MagicMock(),
                           validate_pairs=MagicMock(),
                           validate_timeframes=MagicMock(),
-                          validate_stakecurrency=MagicMock()
+                          validate_stakecurrency=MagicMock(),
+                          validate_pricing=MagicMock(),
                           )
     ex = Exchange(default_conf)
     assert ex._ft_has == Exchange._ft_has_default
@@ -3118,6 +3133,7 @@ def test_get_valid_pair_combination(default_conf, mocker, markets):
                           _load_async_markets=MagicMock(),
                           validate_pairs=MagicMock(),
                           validate_timeframes=MagicMock(),
+                          validate_pricing=MagicMock(),
                           markets=PropertyMock(return_value=markets))
     ex = Exchange(default_conf)
 
@@ -3209,6 +3225,7 @@ def test_get_markets(default_conf, mocker, markets_static,
                           _load_async_markets=MagicMock(),
                           validate_pairs=MagicMock(),
                           validate_timeframes=MagicMock(),
+                          validate_pricing=MagicMock(),
                           markets=PropertyMock(return_value=markets_static))
     ex = Exchange(default_conf)
     pairs = ex.get_markets(base_currencies,
diff --git a/tests/exchange/test_gateio.py b/tests/exchange/test_gateio.py
index 3ecce96aa..2de6080ef 100644
--- a/tests/exchange/test_gateio.py
+++ b/tests/exchange/test_gateio.py
@@ -12,6 +12,7 @@ def test_validate_order_types_gateio(default_conf, mocker):
     mocker.patch('freqtrade.exchange.Exchange.validate_pairs')
     mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
+    mocker.patch('freqtrade.exchange.Exchange.validate_pricing')
     mocker.patch('freqtrade.exchange.Exchange.name', 'Bittrex')
     exch = ExchangeResolver.load_exchange('gateio', default_conf, True)
     assert isinstance(exch, Gateio)

From f44601d0cc4f9559dfafda60272f9cf0bf503161 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Sat, 19 Mar 2022 14:45:26 +0100
Subject: [PATCH 11/11] Update ccxt-compat test config

---
 tests/exchange/test_ccxt_compat.py | 2 ++
 1 file changed, 2 insertions(+)

diff --git a/tests/exchange/test_ccxt_compat.py b/tests/exchange/test_ccxt_compat.py
index a9b399461..5eb7e68d4 100644
--- a/tests/exchange/test_ccxt_compat.py
+++ b/tests/exchange/test_ccxt_compat.py
@@ -107,6 +107,8 @@ def exchange_conf():
     config['exchange']['key'] = ''
     config['exchange']['secret'] = ''
     config['dry_run'] = False
+    config['bid_strategy']['use_order_book'] = True
+    config['ask_strategy']['use_order_book'] = True
     return config