diff --git a/freqtrade/rpc/api_server/api_pairlists.py b/freqtrade/rpc/api_server/api_pairlists.py
index 75467c28b..727798566 100644
--- a/freqtrade/rpc/api_server/api_pairlists.py
+++ b/freqtrade/rpc/api_server/api_pairlists.py
@@ -110,13 +110,17 @@ def handleExchangePayload(payload: ExchangeModePayloadMixin, config_loc: Config)
     Handle exchange and trading mode payload.
     Updates the configuration with the payload values.
     """
+    from freqtrade.configuration.directory_operations import create_datadir
+
     if payload.exchange:
         config_loc["exchange"]["name"] = payload.exchange
+        config_loc.update({"datadir": create_datadir(config_loc, None)})
     if payload.trading_mode:
         config_loc["trading_mode"] = payload.trading_mode
         config_loc["candle_type_def"] = CandleType.get_default(
             config_loc.get("trading_mode", "spot") or "spot"
         )
+
     if payload.margin_mode:
         config_loc["margin_mode"] = payload.margin_mode