diff --git a/freqtrade/data/history/history_utils.py b/freqtrade/data/history/history_utils.py
index bdca599c6..d13fa6fca 100644
--- a/freqtrade/data/history/history_utils.py
+++ b/freqtrade/data/history/history_utils.py
@@ -618,6 +618,11 @@ def download_data_main(config: Config) -> None:
     # Start downloading
     try:
         if config.get("download_trades"):
+            if not exchange.get_option("trades_has_history", True):
+                raise OperationalException(
+                    f"Trade history not available for {exchange.name}. "
+                    "You cannot use --dl-trades for this exchange."
+                )
             pairs_not_available = refresh_backtest_trades_data(
                 exchange,
                 pairs=expanded_pairs,
diff --git a/tests/data/test_download_data.py b/tests/data/test_download_data.py
index 4922a213f..08d56458f 100644
--- a/tests/data/test_download_data.py
+++ b/tests/data/test_download_data.py
@@ -83,6 +83,12 @@ def test_download_data_main_trades(mocker):
     assert dl_mock.call_count == 1
     assert convert_mock.call_count == 1
 
+    # Exchange that doesn't support historic downloads
+    config["exchange"]["name"] = "bybit"
+    with pytest.raises(OperationalException, match=r"Trade history not available for .*"):
+        config
+        download_data_main(config)
+
 
 def test_download_data_main_data_invalid(mocker):
     patch_exchange(mocker, id="kraken")