BUG: Fix error during benchmark update over empty period.

On ranges with missing data from Yahoo, e.g.:
On 2013-04-2 the date range of April 2013-03-29 failed because
of the first day in the range being Good Friday, and the API not
yet updating for the Monday after.

Handle the 404 that is found by raising and warning that no
benchmark data was found, but continuing on.

zipline/data/benchmarks.py

@@ -12,7 +12,7 @@
 # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 # See the License for the specific language governing permissions and
 # limitations under the License.
-
+import collections
 
 from datetime import datetime
 
@@ -30,6 +30,10 @@ from loader_utils import (
 )
 from zipline.protocol import DailyReturn
 
+
+class BenchmarkDataNotFoundError(Exception):
+    pass
+
 _BENCHMARK_MAPPING = {
     # Need to add 'symbol'
     'volume': (int, 'Volume'),
@@ -52,27 +56,35 @@ def get_raw_benchmark_data(start_date, end_date, symbol):
 
     # create benchmark files
     # ^GSPC 19500103
-    params = {
-        's': symbol,
-        # end_date month, zero indexed
-        'd': end_date.month - 1,
-        # end_date day str(int(todate[6:8])) #day
-        'e': end_date.day,
-        # end_date year str(int(todate[0:4]))
-        'f': end_date.year,
-        # daily frequency
-        'g': 'd',
+    params = collections.OrderedDict((
+        ('s', symbol),
         # start_date month, zero indexed
-        'a': start_date.month - 1,
+        ('a', start_date.month - 1),
         # start_date day
-        'b': start_date.day,
+        ('b', start_date.day),
         # start_date year
-        'c': start_date.year
-    }
+        ('c', start_date.year),
+        # end_date month, zero indexed
+        ('d', end_date.month - 1),
+        # end_date day str(int(todate[6:8])) #day
+        ('e', end_date.day),
+        # end_date year str(int(todate[0:4]))
+        ('f', end_date.year),
+        # daily frequency
+        ('g', 'd'),
+    ))
 
     res = requests.get('http://ichart.yahoo.com/table.csv',
                        params=params)
 
+    if not res.ok:
+        raise BenchmarkDataNotFoundError("""
+No benchmark data found for date range.
+start_date={start_date}, end_date={end_date}, url={url}""".strip().
+                                         format(start_date=start_date,
+                                                end_date=end_date,
+                                                url=res.url))
+
     return csv.DictReader(StringIO(res.content))
 
 

zipline/data/loader.py

@@ -20,7 +20,10 @@ import msgpack
 from collections import OrderedDict
 from datetime import timedelta
 
+import logbook
+
 from treasuries import get_treasury_data
+import benchmarks
 from benchmarks import get_benchmark_returns
 
 from zipline.protocol import DailyReturn
@@ -28,6 +31,7 @@ from zipline.utils.date_utils import tuple_to_date
 from zipline.utils.tradingcalendar import trading_days
 from operator import attrgetter
 
+logger = logbook.Logger('Loader')
 
 # TODO: Make this path customizable.
 DATA_PATH = os.path.join(
@@ -128,16 +132,20 @@ def update_benchmarks(symbol, last_date):
         for packed_date, returns in bm_list:
             benchmark_data.append((packed_date, returns))
 
-    start = last_date + timedelta(days=1)
-    for daily_return in get_benchmark_returns(symbol, start_date=start):
-        date_as_tuple = daily_return.date.timetuple()[0:6] + \
-            (daily_return.date.microsecond,)
-        # Not ideal but massaging data into expected format
-        benchmark = (date_as_tuple, daily_return.returns)
-        benchmark_data.append(benchmark)
+    try:
+        start = last_date + timedelta(days=1)
+        for daily_return in get_benchmark_returns(symbol, start_date=start):
+            date_as_tuple = daily_return.date.timetuple()[0:6] + \
+                (daily_return.date.microsecond,)
+            # Not ideal but massaging data into expected format
+            benchmark = (date_as_tuple, daily_return.returns)
+            benchmark_data.append(benchmark)
 
-    with get_datafile(get_benchmark_filename(symbol), mode='wb') as bmark_fp:
-        bmark_fp.write(msgpack.dumps(benchmark_data))
+        with get_datafile(
+                get_benchmark_filename(symbol), mode='wb') as bmark_fp:
+            bmark_fp.write(msgpack.dumps(benchmark_data))
+    except benchmarks.BenchmarkDataNotFoundError as exc:
+        logger.warn(exc)
 
 
 def get_benchmark_filename(symbol):