Merge pull request #1901 from yperfanov/bid_ask_strategy

Bid ask strategy

docs/strategy-customization.md

@@ -298,6 +298,18 @@ if self.dp:
 !!! Warning Warning in hyperopt
     This option cannot currently be used during hyperopt.
 
+#### Orderbook
+
+``` python
+if self.dp:
+    if self.dp.runmode in ('live', 'dry_run'):
+        ob = self.dp.orderbook(metadata['pair'], 1)
+        dataframe['best_bid'] = ob['bids'][0][0]
+        dataframe['best_ask'] = ob['asks'][0][0]
+```
+!Warning The order book is not part of the historic data which means backtesting and hyperopt will not work if this
+ method is used.
+
 #### Available Pairs
 
 ``` python
@@ -306,6 +318,7 @@ if self.dp:
         print(f"available {pair}, {ticker}")
 ```
 
+
 #### Get data for non-tradeable pairs
 
 Data for additional, informative pairs (reference pairs) can be beneficial for some strategies.

freqtrade/data/dataprovider.py

@@ -85,8 +85,7 @@ class DataProvider(object):
         """
         return latest orderbook data
         """
-        # TODO: Implement me
-        pass
+        return self._exchange.get_order_book(pair, max)
 
     @property
     def runmode(self) -> RunMode:

user_data/strategies/test_strategy.py

@@ -253,6 +253,17 @@ class TestStrategy(IStrategy):
         dataframe['ha_low'] = heikinashi['low']
         """
 
+        # Retrieve best bid and best ask
+        # ------------------------------------
+        """
+        # first check if dataprovider is available 
+        if self.dp:
+            if self.dp.runmode in ('live', 'dry_run'):
+                ob = self.dp.orderbook(metadata['pair'], 1)
+                dataframe['best_bid'] = ob['bids'][0][0]
+                dataframe['best_ask'] = ob['asks'][0][0]
+        """
+        
         return dataframe
 
     def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: