diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py
index 79500c512..2c01f9f48 100644
--- a/freqtrade/data/history.py
+++ b/freqtrade/data/history.py
@@ -295,6 +295,11 @@ def _download_pair_history(datadir: Path,
     :param timerange: range of time to download
     :return: bool with success state
     """
+    if not exchange:
+        raise OperationalException(
+            "Exchange needs to be initialized when downloading pair history data"
+        )
+
     try:
         logger.info(
             f'Download history data for pair: "{pair}", timeframe: {timeframe} '