BLD: Add six as dependency.

etc/requirements.txt

@@ -16,3 +16,5 @@ TA-Lib==0.4.8
 
 # For fetching remote data
 requests==2.2.0
+
+six==1.6.1

setup.py

@@ -67,7 +67,8 @@ setup(
         'pytz',
         'requests',
         'numpy',
-        'pandas'
+        'pandas',
+        'six'
     ],
     url="https://github.com/quantopian/zipline"
 )