Added feature to bid/buy cryptocurrency using book orders from exchange. The idea, is to get rates from the top 2 (depending on the config settings) of book orders instead of tickers. This way we can offset the lags from the OHLCV data.

config.json.example

@@ -7,7 +7,9 @@
     "dry_run": false,
     "unfilledtimeout": 600,
     "bid_strategy": {
-        "ask_last_balance": 0.0
+        "ask_last_balance": 0.0,
+        "use_book_order": true,
+        "book_order_top": 6
     },
     "exchange": {
         "name": "bittrex",

config_full.json.example

@@ -14,7 +14,9 @@
     "stoploss": -0.10,
     "unfilledtimeout": 600,
     "bid_strategy": {
-        "ask_last_balance": 0.0
+        "ask_last_balance": 0.0,
+        "use_book_order": true,
+        "book_order_top": 6
     },
     "exchange": {
         "name": "bittrex",

freqtrade/constants.py

@@ -65,6 +65,8 @@ CONF_SCHEMA = {
                     'maximum': 1,
                     'exclusiveMaximum': False
                 },
+                'use_book_order': {'type': 'boolean'},
+                'book_order_top': {'type': 'number', 'maximum':20,'minimum':1}
             },
             'required': ['ask_last_balance']
         },

freqtrade/exchange/__init__.py

@@ -239,6 +239,19 @@ def get_balances() -> dict:
     except ccxt.BaseError as e:
         raise OperationalException(e)
 
+@retrier
+def get_order_book(pair: str, refresh: Optional[bool] = True) -> dict:
+    try:
+        return _API.fetch_order_book(pair)
+    except ccxt.NotSupported as e:
+        raise OperationalException(
+            f'Exchange {_API.name} does not support fetching order book.'
+            f'Message: {e}')
+    except (ccxt.NetworkError, ccxt.ExchangeError) as e:
+        raise TemporaryError(
+            f'Could not load order book due to {e.__class__.__name__}. Message: {e}')
+    except ccxt.BaseError as e:
+        raise OperationalException(e)
 
 @retrier
 def get_tickers() -> Dict:

freqtrade/freqtradebot.py

@@ -237,17 +237,26 @@ class FreqtradeBot(object):
 
         return final_list
 
-    def get_target_bid(self, ticker: Dict[str, float]) -> float:
+    def get_target_bid(self, pair: str) -> float:
         """
         Calculates bid target between current ask price and last price
         :param ticker: Ticker to use for getting Ask and Last Price
         :return: float: Price
         """
+
+        if self.config['bid_strategy']['use_book_order']:
+            logger.info('Using order book ')
+            orderBook = exchange.get_order_book(pair)
+            return orderBook['bids'][self.config['bid_strategy']['use_book_order']][0]
+        else:
+            logger.info('Using Ask / Last Price')
+            ticker = exchange.get_ticker(pair);
             if ticker['ask'] < ticker['last']:
                 return ticker['ask']
             balance = self.config['bid_strategy']['ask_last_balance']
             return ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
 
+
     def create_trade(self) -> bool:
         """
         Checks the implemented trading indicator(s) for a randomly picked pair,
@@ -290,7 +299,7 @@ class FreqtradeBot(object):
         pair_s = pair.replace('_', '/')
         pair_url = exchange.get_pair_detail_url(pair)
         # Calculate amount
-        buy_limit = self.get_target_bid(exchange.get_ticker(pair))
+        buy_limit = self.get_target_bid(pair)
         amount = stake_amount / buy_limit
 
         order_id = exchange.buy(pair, buy_limit, amount)['id']