diff --git a/zipline/data/loader.py b/zipline/data/loader.py
index 83597521..f957b247 100644
--- a/zipline/data/loader.py
+++ b/zipline/data/loader.py
@@ -15,17 +15,33 @@
 
 
 import os
-
-if __name__ == "__main__":
-    import sys
-    sys.path.append(os.path.abspath('.'))
-    print sys.path
+from os.path import expanduser
 
 import msgpack
 
 from treasuries import get_treasury_data
 from benchmarks import get_benchmark_returns
 
+# TODO: Make this path customizable.
+DATA_PATH = os.path.join(
+    expanduser("~"),
+    '.zipline',
+    'data'
+)
+
+
+def get_datafile(name, mode='r'):
+    """
+    Returns a handle to data file.
+
+    Creates containing directory, if needed.
+    """
+
+    if not os.path.exists(DATA_PATH):
+        os.makedirs(DATA_PATH)
+
+    return open(os.path.join(DATA_PATH, name), mode)
+
 
 def dump_treasury_curves():
     """
@@ -36,7 +52,6 @@ def dump_treasury_curves():
     tr_data = []
 
     for curve in get_treasury_data():
-        print curve
         date_as_tuple = curve['date'].timetuple()[0:6] + \
             (curve['date'].microsecond,)
         # Not ideal but massaging data into expected format
@@ -44,10 +59,8 @@ def dump_treasury_curves():
         tr = (date_as_tuple, curve)
         tr_data.append(tr)
 
-    tr_path = os.path.join(os.path.dirname(__file__),
-                           "treasury_curves.msgpack")
-    tr_fp = open(tr_path, "wb")
-    tr_fp.write(msgpack.dumps(tr_data))
+    with get_datafile('treasury_curves.msgpack', mode='wb') as tr_fp:
+        tr_fp.write(msgpack.dumps(tr_data))
 
 
 def dump_benchmarks():
@@ -56,16 +69,13 @@ def dump_benchmarks():
 
     Puts source treasury and data into zipline.
     """
-    benchmark_path = os.path.join(os.path.dirname(__file__),
-                                  "benchmark.msgpack")
-    benchmark_fp = open(benchmark_path, "wb")
     benchmark_data = []
     for daily_return in get_benchmark_returns():
-        print daily_return
         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)
 
-    benchmark_fp.write(msgpack.dumps(benchmark_data))
+    with get_datafile('benchmark.msgpack', mode='wb') as bmark_fp:
+        bmark_fp.write(msgpack.dumps(benchmark_data))
diff --git a/zipline/utils/factory.py b/zipline/utils/factory.py
index ebaa4898..ac2e94b2 100644
--- a/zipline/utils/factory.py
+++ b/zipline/utils/factory.py
@@ -20,7 +20,6 @@ Factory functions to prepare useful data for tests.
 import pytz
 import msgpack
 import random
-from os.path import join, abspath, dirname
 from operator import attrgetter
 from collections import OrderedDict
 
@@ -35,27 +34,23 @@ from zipline.utils.protocol_utils import ndict
 from zipline.sources import SpecificEquityTrades, DataFrameSource
 from zipline.gens.utils import create_trade
 from zipline.finance.trading import TradingEnvironment
-
-from zipline import data
-
-
-# TODO
-def data_path():
-    data_path = dirname(abspath(data.__file__))
-    return data_path
+from zipline.data.loader import (
+    get_datafile,
+    dump_benchmarks,
+    dump_treasury_curves
+)
 
 
 def load_market_data():
-    benchmark_data_path = join(data_path(), "benchmark.msgpack")
     try:
-        fp_bm = open(benchmark_data_path, "rb")
+        fp_bm = get_datafile('benchmark.msgpack', "rb")
     except IOError:
         print """
 data msgpacks aren't distribute with source.
 Fetching data from Yahoo Finance.
 """.strip()
-        data.loader.dump_benchmarks()
-        fp_bm = open(benchmark_data_path, "rb")
+        dump_benchmarks()
+        fp_bm = get_datafile('benchmark.msgpack', "rb")
 
     bm_list = msgpack.loads(fp_bm.read())
     bm_returns = []
@@ -71,20 +66,20 @@ Fetching data from Yahoo Finance.
         daily_return = risk.DailyReturn(date=event_dt, returns=returns)
         bm_returns.append(daily_return)
 
+    fp_bm.close()
+
     bm_returns = sorted(bm_returns, key=attrgetter('date'))
 
-    treasury_data_path = join(data_path(), "treasury_curves.msgpack")
     try:
-        fp_bm = open(treasury_data_path, "rb")
+        fp_tr = get_datafile('treasury_curves.msgpack', "rb")
     except IOError:
         print """
 data msgpacks aren't distribute with source.
 Fetching data from data.treasury.gov
 """.strip()
-        data.loader.dump_treasury_curves()
-        fp_bm = open(treasury_data_path, "rb")
+        dump_treasury_curves()
+        fp_tr = get_datafile('treasury_curves.msgpack', "rb")
 
-    fp_tr = open(join(data_path(), "treasury_curves.msgpack"), "rb")
     tr_list = msgpack.loads(fp_tr.read())
     tr_curves = {}
     for packed_date, curve in tr_list:
@@ -92,6 +87,8 @@ Fetching data from data.treasury.gov
         #tr_dt = tr_dt.replace(hour=0, minute=0, second=0, tzinfo=pytz.utc)
         tr_curves[tr_dt] = curve
 
+    fp_tr.close()
+
     return bm_returns, tr_curves