diff --git a/freqtrade/data/history/hdf5datahandler.py b/freqtrade/data/history/hdf5datahandler.py
index 6483cfb21..e0db3dece 100644
--- a/freqtrade/data/history/hdf5datahandler.py
+++ b/freqtrade/data/history/hdf5datahandler.py
@@ -77,6 +77,7 @@ class HDF5DataHandler(IDataHandler):
         _data = data.copy()
 
         filename = self._pair_data_filename(self._datadir, pair, timeframe, candle_type)
+        self.create_dir_if_needed(filename)
 
         _data.loc[:, self._columns].to_hdf(
             filename, key, mode='a', complevel=9, complib='blosc',