diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index 0ae78cf1b..22041ddef 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -685,16 +685,20 @@ class Exchange:
         if not self.exchange_has('fetchL2OrderBook'):
             return True
         ob = self.fetch_l2_order_book(pair, 1)
-        if side == 'buy':
-            price = ob['asks'][0][0]
-            logger.debug(f"{pair} checking dry buy-order: price={price}, limit={limit}")
-            if limit >= price:
-                return True
-        else:
-            price = ob['bids'][0][0]
-            logger.debug(f"{pair} checking dry sell-order: price={price}, limit={limit}")
-            if limit <= price:
-                return True
+        try:
+            if side == 'buy':
+                price = ob['asks'][0][0]
+                logger.debug(f"{pair} checking dry buy-order: price={price}, limit={limit}")
+                if limit >= price:
+                    return True
+            else:
+                price = ob['bids'][0][0]
+                logger.debug(f"{pair} checking dry sell-order: price={price}, limit={limit}")
+                if limit <= price:
+                    return True
+        except IndexError:
+            # Ignore empty orderbooks when filling - can be filled with the next iteration.
+            pass
         return False
 
     def check_dry_limit_order_filled(self, order: Dict[str, Any]) -> Dict[str, Any]:
diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py
index 5a35675a8..b33e0cbb7 100644
--- a/tests/exchange/test_exchange.py
+++ b/tests/exchange/test_exchange.py
@@ -1026,6 +1026,12 @@ def test_create_dry_run_order_limit_fill(default_conf, mocker, side, startprice,
     assert order_closed['status'] == 'closed'
     assert order['fee']
 
+    # Empty orderbook test
+    mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book',
+                 return_value={'asks': [], 'bids': []})
+    exchange._dry_run_open_orders[order['id']]['status'] = 'open'
+    order_closed = exchange.fetch_dry_run_order(order['id'])
+
 
 @pytest.mark.parametrize("side,rate,amount,endprice", [
     # spread is 25.263-25.266