diff --git a/freqtrade/data/history/hdf5datahandler.py b/freqtrade/data/history/hdf5datahandler.py
index db96bdf21..23120a4ba 100644
--- a/freqtrade/data/history/hdf5datahandler.py
+++ b/freqtrade/data/history/hdf5datahandler.py
@@ -206,7 +206,9 @@ class HDF5DataHandler(IDataHandler):
 
     @classmethod
     def _pair_ohlcv_key(cls, pair: str, timeframe: str) -> str:
-        return f"{pair}/ohlcv/tf_{timeframe}"
+        # Escape futures pairs to avoid warnings
+        pair_esc = pair.replace(':', '_')
+        return f"{pair_esc}/ohlcv/tf_{timeframe}"
 
     @classmethod
     def _pair_trades_key(cls, pair: str) -> str:
diff --git a/tests/data/test_history.py b/tests/data/test_history.py
index 43a3aaefd..0585fa0d4 100644
--- a/tests/data/test_history.py
+++ b/tests/data/test_history.py
@@ -683,7 +683,7 @@ def test_datahandler_ohlcv_get_pairs(testdatadir):
     assert set(pairs) == {'XRP/USDT'}
 
     pairs = HDF5DataHandler.ohlcv_get_pairs(testdatadir, '1h', candle_type=CandleType.MARK)
-    assert set(pairs) == {'UNITTEST/USDT'}
+    assert set(pairs) == {'UNITTEST/USDT:USDT'}
 
 
 @pytest.mark.parametrize('filename,pair,timeframe,candletype', [
@@ -914,7 +914,7 @@ def test_hdf5datahandler_trades_purge(mocker, testdatadir):
     # Data goes from 2018-01-10 - 2018-01-30
     ('UNITTEST/BTC', '5m', 'spot',  '', '2018-01-15', '2018-01-19'),
     # Mark data goes from to 2021-11-15 2021-11-19
-    ('UNITTEST/USDT', '1h', 'mark', '-mark', '2021-11-16', '2021-11-18'),
+    ('UNITTEST/USDT:USDT', '1h', 'mark', '-mark', '2021-11-16', '2021-11-18'),
 ])
 def test_hdf5datahandler_ohlcv_load_and_resave(
     testdatadir,
diff --git a/tests/test_misc.py b/tests/test_misc.py
index d28050dfb..107932be4 100644
--- a/tests/test_misc.py
+++ b/tests/test_misc.py
@@ -73,6 +73,8 @@ def test_file_load_json(mocker, testdatadir) -> None:
     ("ETH/BTC", 'ETH_BTC'),
     ("ETH/USDT", 'ETH_USDT'),
     ("ETH/USDT:USDT", 'ETH_USDT_USDT'),  # swap with USDT as settlement currency
+    ("ETH/USD:USD", 'ETH_USD_USD'),  # swap with USD as settlement currency
+    ("AAVE/USD:USD", 'AAVE_USD_USD'),  # swap with USDT as settlement currency
     ("ETH/USDT:USDT-210625", 'ETH_USDT_USDT-210625'),  # expiring futures
     ("Fabric Token/ETH", 'Fabric_Token_ETH'),
     ("ETHH20", 'ETHH20'),
diff --git a/tests/testdata/futures/UNITTEST_USDT-1h-mark.h5 b/tests/testdata/futures/UNITTEST_USDT_USDT-1h-mark.h5
similarity index 51%
rename from tests/testdata/futures/UNITTEST_USDT-1h-mark.h5
rename to tests/testdata/futures/UNITTEST_USDT_USDT-1h-mark.h5
index ce17eb9e1..e6b128dc1 100644
Binary files a/tests/testdata/futures/UNITTEST_USDT-1h-mark.h5 and b/tests/testdata/futures/UNITTEST_USDT_USDT-1h-mark.h5 differ