type Orderbook

freqtrade/constants.py

@@ -681,6 +681,7 @@ EntryExit = Literal['entry', 'exit']
 BuySell = Literal['buy', 'sell']
 MakerTaker = Literal['maker', 'taker']
 BidAsk = Literal['bid', 'ask']
+OBLiteral = Literal['asks', 'bids']
 
 Config = Dict[str, Any]
 IntOrInf = float

freqtrade/data/dataprovider.py

@@ -18,6 +18,7 @@ from freqtrade.data.history import load_pair_history
 from freqtrade.enums import CandleType, RPCMessageType, RunMode
 from freqtrade.exceptions import ExchangeError, OperationalException
 from freqtrade.exchange import Exchange, timeframe_to_seconds
+from freqtrade.exchange.types import OrderBook
 from freqtrade.misc import append_candles_to_dataframe
 from freqtrade.rpc import RPCManager
 from freqtrade.util import PeriodicCache
@@ -489,7 +490,7 @@ class DataProvider:
         except ExchangeError:
             return {}
 
-    def orderbook(self, pair: str, maximum: int) -> Dict[str, List]:
+    def orderbook(self, pair: str, maximum: int) -> OrderBook:
         """
         Fetch latest l2 orderbook data
         Warning: Does a network request - so use with common sense.

freqtrade/exchange/exchange.py

@@ -21,7 +21,7 @@ from pandas import DataFrame, concat
 
 from freqtrade.constants import (DEFAULT_AMOUNT_RESERVE_PERCENT, NON_OPEN_EXCHANGE_STATES, BidAsk,
                                  BuySell, Config, EntryExit, ListPairsWithTimeframes, MakerTaker,
-                                 PairWithTimeframe)
+                                 OBLiteral, PairWithTimeframe)
 from freqtrade.data.converter import clean_ohlcv_dataframe, ohlcv_to_dataframe, trades_dict_to_list
 from freqtrade.enums import OPTIMIZE_MODES, CandleType, MarginMode, TradingMode
 from freqtrade.enums.pricetype import PriceType
@@ -37,7 +37,7 @@ from freqtrade.exchange.exchange_utils import (CcxtModuleType, amount_to_contrac
                                                price_to_precision, timeframe_to_minutes,
                                                timeframe_to_msecs, timeframe_to_next_date,
                                                timeframe_to_prev_date, timeframe_to_seconds)
-from freqtrade.exchange.types import OHLCVResponse, Ticker, Tickers
+from freqtrade.exchange.types import OHLCVResponse, OrderBook, Ticker, Tickers
 from freqtrade.misc import (chunks, deep_merge_dicts, file_dump_json, file_load_json,
                             safe_value_fallback2)
 from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
@@ -901,7 +901,7 @@ class Exchange:
         """
         if self.exchange_has('fetchL2OrderBook'):
             ob = self.fetch_l2_order_book(pair, 20)
-            ob_type = 'asks' if side == 'buy' else 'bids'
+            ob_type: OBLiteral = 'asks' if side == 'buy' else 'bids'
             slippage = 0.05
             max_slippage_val = rate * ((1 + slippage) if side == 'buy' else (1 - slippage))
 
@@ -1511,7 +1511,7 @@ class Exchange:
         return result
 
     @retrier
-    def fetch_l2_order_book(self, pair: str, limit: int = 100) -> dict:
+    def fetch_l2_order_book(self, pair: str, limit: int = 100) -> OrderBook:
         """
         Get L2 order book from exchange.
         Can be limited to a certain amount (if supported).
@@ -1554,7 +1554,7 @@ class Exchange:
 
     def get_rate(self, pair: str, refresh: bool,
                  side: EntryExit, is_short: bool,
-                 order_book: Optional[dict] = None, ticker: Optional[Ticker] = None) -> float:
+                 order_book: Optional[OrderBook] = None, ticker: Optional[Ticker] = None) -> float:
         """
         Calculates bid/ask target
         bid rate - between current ask price and last price
@@ -1592,7 +1592,8 @@ class Exchange:
             logger.debug('order_book %s', order_book)
             # top 1 = index 0
             try:
-                rate = order_book[f"{price_side}s"][order_book_top - 1][0]
+                obside: OBLiteral = 'bids' if price_side == 'bid' else 'asks'
+                rate = order_book[obside][order_book_top - 1][0]
             except (IndexError, KeyError) as e:
                 logger.warning(
                     f"{pair} - {name} Price at location {order_book_top} from orderbook "

freqtrade/exchange/types.py

@@ -15,6 +15,15 @@ class Ticker(TypedDict):
     # Several more - only listing required.
 
 
+class OrderBook(TypedDict):
+    symbol: str
+    bids: List[Tuple[float, float]]
+    asks: List[Tuple[float, float]]
+    timestamp: int
+    datetime: str
+    nonce: int
+
+
 Tickers = Dict[str, Ticker]
 
 # pair, timeframe, candleType, OHLCV, drop last?,