diff --git a/zipline/data/bundles/quandl.py b/zipline/data/bundles/quandl.py
index 4250d115..d60bef2f 100644
--- a/zipline/data/bundles/quandl.py
+++ b/zipline/data/bundles/quandl.py
@@ -333,6 +333,7 @@ def download_with_progress(url, chunk_size, **progress_kwargs):
             data.write(chunk)
             pbar.update(len(chunk))
 
+    data.seek(0)
     return data
 
 
diff --git a/zipline/utils/paths.py b/zipline/utils/paths.py
index 103c116b..0e87d94d 100644
--- a/zipline/utils/paths.py
+++ b/zipline/utils/paths.py
@@ -45,6 +45,20 @@ def ensure_directory_containing(path):
     ensure_directory(os.path.dirname(path))
 
 
+def ensure_file(path):
+    """
+    Ensure that a file exists. This will create any parent directories needed
+    and create an empty file if it does not exists.
+
+    Parameters
+    ----------
+    path : str
+        The file path to ensure exists.
+    """
+    ensure_directory_containing(path)
+    open(path, 'a+').close()  # touch the file
+
+
 def last_modified_time(path):
     """
     Get the last modified time of path as a Timestamp.
diff --git a/zipline/utils/run_algo.py b/zipline/utils/run_algo.py
index 288307ba..fbe64597 100644
--- a/zipline/utils/run_algo.py
+++ b/zipline/utils/run_algo.py
@@ -187,7 +187,7 @@ def load_extensions(default, extensions, strict, environ, reload=False):
     """
     if default:
         default_extension_path = pth.default_extension(environ=environ)
-        open(default_extension_path, 'a+').close()  # touch the file
+        pth.ensure_file(default_extension_path)
         # put the default extension first so other extensions can depend on
         # the order they are loaded
         extensions = concatv([default_extension_path], extensions)