diff --git a/freqtrade/exchange/__init__.py b/freqtrade/exchange/__init__.py
index fbc84c9b9..f663420e0 100644
--- a/freqtrade/exchange/__init__.py
+++ b/freqtrade/exchange/__init__.py
@@ -454,7 +454,8 @@ class Exchange(object):
             data = sorted(data, key=lambda x: x[0])
 
             # keeping last candle time as last refreshed time of the pair
-            self._pairs_last_refresh_time[pair] = data[-1][0] // 1000
+            if data:
+                self._pairs_last_refresh_time[pair] = data[-1][0] // 1000
 
             # keeping candles in cache
             self.klines[pair] = data
diff --git a/freqtrade/tests/exchange/test_exchange.py b/freqtrade/tests/exchange/test_exchange.py
index 3c90f425c..de720b3d9 100644
--- a/freqtrade/tests/exchange/test_exchange.py
+++ b/freqtrade/tests/exchange/test_exchange.py
@@ -635,8 +635,6 @@ async def test__async_get_candle_history(default_conf, mocker, caplog):
         ]
     ]
 
-    async def async_fetch_ohlcv(pair, timeframe, since):
-        return tick
     caplog.set_level(logging.DEBUG)
     exchange = get_patched_exchange(mocker, default_conf)
     # Monkey-patch async function
@@ -669,6 +667,26 @@ async def test__async_get_candle_history(default_conf, mocker, caplog):
                                                  (arrow.utcnow().timestamp - 2000) * 1000)
 
 
+@pytest.mark.asyncio
+async def test__async_get_candle_history_empty(default_conf, mocker, caplog):
+    """ Test empty exchange result """
+    tick = []
+
+    caplog.set_level(logging.DEBUG)
+    exchange = get_patched_exchange(mocker, default_conf)
+    # Monkey-patch async function
+    exchange._api_async.fetch_ohlcv = get_mock_coro([])
+
+    exchange = Exchange(default_conf)
+    pair = 'ETH/BTC'
+    res = await exchange._async_get_candle_history(pair, "5m")
+    assert type(res) is tuple
+    assert len(res) == 2
+    assert res[0] == pair
+    assert res[1] == tick
+    assert exchange._api_async.fetch_ohlcv.call_count == 1
+
+
 @pytest.mark.asyncio
 async def test_async_get_candles_history(default_conf, mocker):
     tick = [