I've done some research on this issue and I've found that it is implemented in the latest version of jedi (0.10.0). Unfortunately, this version is in development state right now and is not available from pip. However, many editors use 0.10.0: Atom, VsCode, and even jedi-vim from the author of jedi.
It's easy to update jedi's version in anaconda-mode: https://github.com/nightuser/anaconda-mode. The actual change is just a one line. The Python part of anaconda-mode must be reinstalled -- simply delete anaconda-mode
directory. The default location is ~/.emacs.d/anaconda-mode
for Emacs and ~/.emacs.d/.cache/anaconda-mode
for Spacemacs.
upd: It seems that 0.10.0 will be released soon: https://github.com/davidhalter/jedi/issues/740 .
upd2: It was released and know everything works out of the box. Just remove anaconda-mode
directory and it'll automatically install latest version.