diff --git a/tests/pipeline/test_pipeline_algo.py b/tests/pipeline/test_pipeline_algo.py
index b45f7742..4721236e 100644
--- a/tests/pipeline/test_pipeline_algo.py
+++ b/tests/pipeline/test_pipeline_algo.py
@@ -566,7 +566,7 @@ class PipelineAlgorithmTestCase(WithBcolzEquityDailyBarReaderFromCSVs,
         )
 
         algo.run(
-            FakeDataPortal(),
+            FakeDataPortal(self.env),
             # Yes, I really do want to use the start and end dates I passed to
             # TradingAlgorithm.
             overwrite_sim_params=False,
@@ -606,7 +606,7 @@ class PipelineAlgorithmTestCase(WithBcolzEquityDailyBarReaderFromCSVs,
         )
 
         algo.run(
-            FakeDataPortal(),
+            FakeDataPortal(self.env),
             overwrite_sim_params=False,
         )
 
@@ -654,7 +654,7 @@ class PipelineAlgorithmTestCase(WithBcolzEquityDailyBarReaderFromCSVs,
         )
 
         algo.run(
-            FakeDataPortal(),
+            FakeDataPortal(self.env),
             overwrite_sim_params=False,
         )
 
diff --git a/tests/test_algorithm.py b/tests/test_algorithm.py
index 4c89a9b8..d9198ddc 100644
--- a/tests/test_algorithm.py
+++ b/tests/test_algorithm.py
@@ -88,11 +88,11 @@ from zipline.finance.asset_restrictions import (
 )
 from zipline.testing import (
     FakeDataPortal,
+    copy_market_data,
     create_daily_df_for_asset,
     create_data_portal,
     create_data_portal_from_trade_history,
     create_minute_df_for_asset,
-    empty_trading_env,
     make_test_handler,
     make_trade_data_for_asset_info,
     parameter_space,
@@ -100,6 +100,7 @@ from zipline.testing import (
     tmp_trading_env,
     to_utc,
     trades_by_sid_to_dfs,
+    tmp_dir,
 )
 from zipline.testing import RecordBatchBlotter
 from zipline.testing.fixtures import (
@@ -108,7 +109,6 @@ from zipline.testing.fixtures import (
     WithSimParams,
     WithTradingEnvironment,
     WithTmpDir,
-    WithTradingCalendars,
     ZiplineTestCase,
 )
 from zipline.test_algorithms import (
@@ -314,6 +314,7 @@ def handle_data(algo, data):
             initialize=lambda context: None,
             handle_data=lambda context, data: None,
             sim_params=self.sim_params,
+            env=self.env,
         )
 
         # Verify that api methods get resolved dynamically by patching them out
@@ -785,7 +786,8 @@ def log_nyse_close(context, data):
                 for i, date in enumerate(dates)
             ]
         )
-        with tmp_trading_env(equities=metadata) as env:
+        with tmp_trading_env(equities=metadata,
+                             load=self.make_load_function()) as env:
             algo = TradingAlgorithm(env=env)
 
             # Set the period end to a date after the period end
@@ -852,7 +854,8 @@ class TestTransformAlgorithm(WithLogger,
     def init_class_fixtures(cls):
         super(TestTransformAlgorithm, cls).init_class_fixtures()
         cls.futures_env = cls.enter_class_context(
-            tmp_trading_env(futures=cls.make_futures_info()),
+            tmp_trading_env(futures=cls.make_futures_info(),
+                            load=cls.make_load_function()),
         )
 
     def test_invalid_order_parameters(self):
@@ -892,7 +895,8 @@ def before_trading_start(context, data):
     def test_run_twice(self):
         algo1 = TestRegisterTransformAlgorithm(
             sim_params=self.sim_params,
-            sids=[0, 1]
+            sids=[0, 1],
+            env=self.env,
         )
 
         res1 = algo1.run(self.data_portal)
@@ -901,7 +905,8 @@ def before_trading_start(context, data):
         # use the newly instantiated environment.
         algo2 = TestRegisterTransformAlgorithm(
             sim_params=self.sim_params,
-            sids=[0, 1]
+            sids=[0, 1],
+            env=self.env,
         )
 
         res2 = algo2.run(self.data_portal)
@@ -1062,7 +1067,8 @@ def before_trading_start(context, data):
         }] * 2)
         equities['symbol'] = ['A', 'B']
         with TempDirectory() as tempdir, \
-                tmp_trading_env(equities=equities) as env:
+                tmp_trading_env(equities=equities,
+                                load=self.make_load_function()) as env:
             sim_params = SimulationParameters(
                 start_session=start_session,
                 end_session=period_end,
@@ -1569,15 +1575,16 @@ class TestAlgoScript(WithLogger,
 
     def test_noop(self):
         algo = TradingAlgorithm(initialize=initialize_noop,
-                                handle_data=handle_data_noop)
+                                handle_data=handle_data_noop,
+                                env=self.env)
         algo.run(self.data_portal)
 
     def test_noop_string(self):
-        algo = TradingAlgorithm(script=noop_algo)
+        algo = TradingAlgorithm(script=noop_algo, env=self.env)
         algo.run(self.data_portal)
 
     def test_no_handle_data(self):
-        algo = TradingAlgorithm(script=no_handle_data)
+        algo = TradingAlgorithm(script=no_handle_data, env=self.env)
         algo.run(self.data_portal)
 
     def test_api_calls(self):
@@ -1593,7 +1600,8 @@ class TestAlgoScript(WithLogger,
     def test_api_get_environment(self):
         platform = 'zipline'
         algo = TradingAlgorithm(script=api_get_environment_algo,
-                                platform=platform)
+                                platform=platform,
+                                env=self.env)
         algo.run(self.data_portal)
         self.assertEqual(algo.environment, platform)
 
@@ -1779,6 +1787,7 @@ def handle_data(context, data):
         test_algo = TradingAlgorithm(
             script=record_variables,
             sim_params=self.sim_params,
+            env=self.env,
         )
         set_algo_instance(test_algo)
 
@@ -3169,7 +3178,8 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
             orient='index',
         )
         with TempDirectory() as tempdir, \
-                tmp_trading_env(equities=metadata) as env:
+                tmp_trading_env(equities=metadata,
+                                load=self.make_load_function()) as env:
             sim_params = factory.create_simulation_parameters(
                 start=start,
                 num_days=4,
@@ -3296,7 +3306,8 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
             'sid': 999,
         }])
         with TempDirectory() as tempdir, \
-                tmp_trading_env(equities=metadata) as env:
+                tmp_trading_env(equities=metadata,
+                                load=self.make_load_function()) as env:
             algo = SetAssetDateBoundsAlgorithm(
                 sim_params=self.sim_params,
                 env=env,
@@ -3318,7 +3329,8 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
             'sid': 999,
         }])
         with TempDirectory() as tempdir, \
-                tmp_trading_env(equities=metadata) as env:
+                tmp_trading_env(equities=metadata,
+                                load=self.make_load_function()) as env:
             data_portal = create_data_portal(
                 env.asset_finder,
                 tempdir,
@@ -3341,7 +3353,8 @@ class TestTradingControls(WithSimParams, WithDataPortal, ZiplineTestCase):
             'sid': 999,
         }])
         with TempDirectory() as tempdir, \
-                tmp_trading_env(equities=metadata) as env:
+                tmp_trading_env(equities=metadata,
+                                load=self.make_load_function()) as env:
             data_portal = create_data_portal(
                 env.asset_finder,
                 tempdir,
@@ -3768,7 +3781,7 @@ class TestFuturesAlgo(WithDataPortal, WithSimParams, ZiplineTestCase):
             self.assertEqual(txn['price'], expected_price)
 
 
-class TestTradingAlgorithm(ZiplineTestCase):
+class TestTradingAlgorithm(WithTradingEnvironment, ZiplineTestCase):
     def test_analyze_called(self):
         self.perf_ref = None
 
@@ -3785,11 +3798,11 @@ class TestTradingAlgorithm(ZiplineTestCase):
             initialize=initialize,
             handle_data=handle_data,
             analyze=analyze,
+            env=self.env,
         )
 
-        with empty_trading_env() as env:
-            data_portal = FakeDataPortal(env)
-            results = algo.run(data_portal)
+        data_portal = FakeDataPortal(self.env)
+        results = algo.run(data_portal)
 
         self.assertIs(results, self.perf_ref)
 
@@ -3989,7 +4002,7 @@ class TestOrderCancelation(WithDataPortal,
             self.assertFalse(log_catcher.has_warnings)
 
 
-class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
+class TestEquityAutoClose(WithTradingEnvironment, WithTmpDir, ZiplineTestCase):
     """
     Tests if delisted equities are properly removed from a portfolio holding
     positions in said equities.
@@ -4020,7 +4033,10 @@ class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
 
         sids = asset_info.index
 
-        env = self.enter_instance_context(tmp_trading_env(equities=asset_info))
+        env = self.enter_instance_context(
+            tmp_trading_env(equities=asset_info,
+                            load=self.make_load_function())
+        )
 
         if frequency == 'daily':
             dates = self.test_days
@@ -4642,7 +4658,7 @@ class TestOrderAfterDelist(WithTradingEnvironment, ZiplineTestCase):
                 self.assertEqual(expected_message, w.message)
 
 
-class AlgoInputValidationTestCase(ZiplineTestCase):
+class AlgoInputValidationTestCase(WithTradingEnvironment, ZiplineTestCase):
 
     def test_reject_passing_both_api_methods_and_script(self):
         script = dedent(
@@ -4668,11 +4684,12 @@ class AlgoInputValidationTestCase(ZiplineTestCase):
             with self.assertRaises(ValueError):
                 TradingAlgorithm(
                     script=script,
+                    env=self.env,
                     **{method: lambda *args, **kwargs: None}
                 )
 
 
-class TestPanelData(ZiplineTestCase):
+class TestPanelData(WithTradingEnvironment, ZiplineTestCase):
 
     @parameterized.expand([
         ('daily',
@@ -4694,6 +4711,9 @@ class TestPanelData(ZiplineTestCase):
 
             def dt_transform(dt):
                 return dt
+        else:
+            raise AssertionError('Unexpected data_frequency: %s' %
+                                 data_frequency)
 
         sids = range(1, 3)
         dfs = {}
@@ -4734,19 +4754,26 @@ class TestPanelData(ZiplineTestCase):
                                  'prev_close']].values.astype('float64')
             )
 
-        trading_algo = TradingAlgorithm(initialize=initialize,
-                                        handle_data=handle_data)
-        trading_algo.run(data=panel)
-        check_panels()
-        price_record.loc[:] = np.nan
+        with tmp_trading_env(load=self.make_load_function()) as env:
+            trading_algo = TradingAlgorithm(initialize=initialize,
+                                            handle_data=handle_data,
+                                            env=env)
+            trading_algo.run(data=panel)
+            check_panels()
+            price_record.loc[:] = np.nan
 
-        run_algorithm(
-            start=start_dt,
-            end=end_dt,
-            capital_base=1,
-            initialize=initialize,
-            handle_data=handle_data,
-            data_frequency=data_frequency,
-            data=panel
-        )
-        check_panels()
+        with tmp_dir() as tmpdir:
+            root = tmpdir.getpath('example_data/root')
+            copy_market_data(self.MARKET_DATA_DIR, root)
+
+            run_algorithm(
+                start=start_dt,
+                end=end_dt,
+                capital_base=1,
+                initialize=initialize,
+                handle_data=handle_data,
+                data_frequency=data_frequency,
+                data=panel,
+                environ={'ZIPLINE_ROOT': root},
+            )
+            check_panels()
diff --git a/tests/test_examples.py b/tests/test_examples.py
index 2399064e..7e8a33ac 100644
--- a/tests/test_examples.py
+++ b/tests/test_examples.py
@@ -21,8 +21,9 @@ import pandas as pd
 
 from zipline import examples
 from zipline.data.bundles import register, unregister
-from zipline.testing import test_resource_path
-from zipline.testing.fixtures import WithTmpDir, ZiplineTestCase
+from zipline.testing import test_resource_path, copy_market_data
+from zipline.testing.fixtures import WithTmpDir, ZiplineTestCase, \
+    WithTradingEnvironment
 from zipline.testing.predicates import assert_equal
 from zipline.utils.cache import dataframe_cache
 
@@ -53,6 +54,9 @@ class ExamplesTests(WithTmpDir, ZiplineTestCase):
             serialization='pickle',
         )
 
+        copy_market_data(WithTradingEnvironment.MARKET_DATA_DIR,
+                         cls.tmpdir.getpath('example_data/root'))
+
     @parameterized.expand(examples.EXAMPLE_MODULES)
     def test_example(self, example_name):
         actual_perf = examples.run_example(
diff --git a/tests/test_finance.py b/tests/test_finance.py
index 40667326..42c5b872 100644
--- a/tests/test_finance.py
+++ b/tests/test_finance.py
@@ -190,7 +190,8 @@ class FinanceTestCase(WithLogger,
         asset1 = self.asset_finder.retrieve_asset(1)
         metadata = make_simple_equity_info([asset1.sid], self.start, self.end)
         with TempDirectory() as tempdir, \
-                tmp_trading_env(equities=metadata) as env:
+                tmp_trading_env(equities=metadata,
+                                load=self.make_load_function()) as env:
 
             if trade_interval < timedelta(days=1):
                 sim_params = factory.create_simulation_parameters(
diff --git a/tests/test_perf_tracking.py b/tests/test_perf_tracking.py
index 53f52367..ebc068ee 100644
--- a/tests/test_perf_tracking.py
+++ b/tests/test_perf_tracking.py
@@ -57,7 +57,6 @@ from zipline.testing.fixtures import (
     WithSimParams,
     WithTmpDir,
     WithTradingEnvironment,
-    WithTradingCalendars,
     ZiplineTestCase,
 )
 from zipline.utils.calendars import get_calendar
@@ -1029,7 +1028,8 @@ class TestDividendPerformanceHolidayStyle(TestDividendPerformance):
     END_DATE = pd.Timestamp('2003-12-08', tz='utc')
 
 
-class TestPositionPerformance(WithInstanceTmpDir, WithTradingCalendars,
+class TestPositionPerformance(WithInstanceTmpDir,
+                              WithTradingEnvironment,
                               ZiplineTestCase):
 
     def create_environment_stuff(self,
@@ -1054,6 +1054,7 @@ class TestPositionPerformance(WithInstanceTmpDir, WithTradingCalendars,
         self.env = self.enter_instance_context(tmp_trading_env(
             equities=equities,
             futures=futures,
+            load=self.make_load_function(),
         ))
         self.sim_params = create_simulation_parameters(
             start=start,
diff --git a/tests/test_security_list.py b/tests/test_security_list.py
index b381adc3..ac7b99fe 100644
--- a/tests/test_security_list.py
+++ b/tests/test_security_list.py
@@ -15,7 +15,7 @@ from zipline.testing import (
 )
 from zipline.testing.fixtures import (
     WithLogger,
-    WithTradingCalendars,
+    WithTradingEnvironment,
     ZiplineTestCase,
 )
 from zipline.utils import factory
@@ -82,7 +82,9 @@ class IterateRLAlgo(TradingAlgorithm):
                 self.found = True
 
 
-class SecurityListTestCase(WithLogger, WithTradingCalendars, ZiplineTestCase):
+class SecurityListTestCase(WithLogger,
+                           WithTradingEnvironment,
+                           ZiplineTestCase):
 
     @classmethod
     def init_class_fixtures(cls):
@@ -103,6 +105,7 @@ class SecurityListTestCase(WithLogger, WithTradingCalendars, ZiplineTestCase):
                 'symbol': symbol,
                 'exchange': "TEST",
             } for symbol in symbols]),
+            load=cls.make_load_function(),
         ))
 
         cls.sim_params = factory.create_simulation_parameters(
@@ -122,6 +125,7 @@ class SecurityListTestCase(WithLogger, WithTradingCalendars, ZiplineTestCase):
                 'symbol': symbol,
                 'exchange': "TEST",
             } for symbol in symbols]),
+            load=cls.make_load_function(),
         ))
 
         cls.tempdir = cls.enter_class_context(tmp_dir())
@@ -304,7 +308,8 @@ class SecurityListTestCase(WithLogger, WithTradingCalendars, ZiplineTestCase):
         }])
         with TempDirectory() as new_tempdir, \
                 security_list_copy(), \
-                tmp_trading_env(equities=equities) as env:
+                tmp_trading_env(equities=equities,
+                                load=self.make_load_function()) as env:
             # add a delete statement removing bzq
             # write a new delete statement file to disk
             add_security_data([], ['BZQ'])
diff --git a/tests/test_tradesimulation.py b/tests/test_tradesimulation.py
index 6277b8e2..a7dc8e69 100644
--- a/tests/test_tradesimulation.py
+++ b/tests/test_tradesimulation.py
@@ -19,7 +19,6 @@ from mock import patch
 
 from nose_parameterized import parameterized
 from six.moves import range
-from unittest import TestCase
 from zipline import TradingAlgorithm
 from zipline.gens.sim_engine import BEFORE_TRADING_START_BAR
 
@@ -28,8 +27,12 @@ from zipline.finance.asset_restrictions import NoRestrictions
 from zipline.gens.tradesimulation import AlgorithmSimulator
 from zipline.sources.benchmark_source import BenchmarkSource
 from zipline.test_algorithms import NoopAlgorithm
-from zipline.testing.fixtures import WithSimParams, ZiplineTestCase, \
-    WithDataPortal
+from zipline.testing.fixtures import (
+    WithDataPortal,
+    WithSimParams,
+    WithTradingEnvironment,
+    ZiplineTestCase,
+)
 from zipline.utils import factory
 from zipline.testing.core import FakeDataPortal
 from zipline.utils.calendars.trading_calendar import days_at_time
@@ -50,7 +53,7 @@ class BeforeTradingAlgorithm(TradingAlgorithm):
 FREQUENCIES = {'daily': 0, 'minute': 1}  # daily is less frequent than minute
 
 
-class TestTradeSimulation(TestCase):
+class TestTradeSimulation(WithTradingEnvironment, ZiplineTestCase):
 
     def fake_minutely_benchmark(self, dt):
         return 0.01
@@ -61,8 +64,8 @@ class TestTradeSimulation(TestCase):
                                                       emission_rate='minute')
         with patch.object(BenchmarkSource, "get_value",
                           self.fake_minutely_benchmark):
-            algo = NoopAlgorithm(sim_params=params)
-            algo.run(FakeDataPortal())
+            algo = NoopAlgorithm(sim_params=params, env=self.env)
+            algo.run(FakeDataPortal(self.env))
             self.assertEqual(len(algo.perf_tracker.sim_params.sessions), 1)
 
     @parameterized.expand([('%s_%s_%s' % (num_sessions, freq, emission_rate),
@@ -82,8 +85,8 @@ class TestTradeSimulation(TestCase):
 
         with patch.object(BenchmarkSource, "get_value",
                           self.fake_minutely_benchmark):
-            algo = BeforeTradingAlgorithm(sim_params=params)
-            algo.run(FakeDataPortal())
+            algo = BeforeTradingAlgorithm(sim_params=params, env=self.env)
+            algo.run(FakeDataPortal(self.env))
 
             self.assertEqual(
                 len(algo.perf_tracker.sim_params.sessions),
diff --git a/zipline/data/loader.py b/zipline/data/loader.py
index 97b8c825..821d797f 100644
--- a/zipline/data/loader.py
+++ b/zipline/data/loader.py
@@ -53,13 +53,13 @@ def last_modified_time(path):
     return pd.Timestamp(os.path.getmtime(path), unit='s', tz='UTC')
 
 
-def get_data_filepath(name):
+def get_data_filepath(name, environ=None):
     """
     Returns a handle to data file.
 
     Creates containing directory, if needed.
     """
-    dr = data_root()
+    dr = data_root(environ)
 
     if not os.path.exists(dr):
         os.makedirs(dr)
@@ -91,7 +91,8 @@ def has_data_for_dates(series_or_df, first_date, last_date):
     return (first <= first_date) and (last >= last_date)
 
 
-def load_market_data(trading_day=None, trading_days=None, bm_symbol='^GSPC'):
+def load_market_data(trading_day=None, trading_days=None, bm_symbol='^GSPC',
+                     environ=None):
     """
     Load benchmark returns and treasury yield curves for the given calendar and
     benchmark symbol.
@@ -162,19 +163,22 @@ def load_market_data(trading_day=None, trading_days=None, bm_symbol='^GSPC'):
         # We need the trading_day to figure out the close prior to the first
         # date so that we can compute returns for the first date.
         trading_day,
+        environ,
     )
     tc = ensure_treasury_data(
         bm_symbol,
         first_date,
         last_date,
         now,
+        environ,
     )
     benchmark_returns = br[br.index.slice_indexer(first_date, last_date)]
     treasury_curves = tc[tc.index.slice_indexer(first_date, last_date)]
     return benchmark_returns, treasury_curves
 
 
-def ensure_benchmark_data(symbol, first_date, last_date, now, trading_day):
+def ensure_benchmark_data(symbol, first_date, last_date, now, trading_day,
+                          environ=None):
     """
     Ensure we have benchmark data for `symbol` from `first_date` to `last_date`
 
@@ -204,7 +208,8 @@ def ensure_benchmark_data(symbol, first_date, last_date, now, trading_day):
     path.
     """
     filename = get_benchmark_filename(symbol)
-    data = _load_cached_data(filename, first_date, last_date, now, 'benchmark')
+    data = _load_cached_data(filename, first_date, last_date, now, 'benchmark',
+                             environ)
     if data is not None:
         return data
 
@@ -218,7 +223,7 @@ def ensure_benchmark_data(symbol, first_date, last_date, now, trading_day):
             first_date - trading_day,
             last_date,
         )
-        data.to_csv(get_data_filepath(filename))
+        data.to_csv(get_data_filepath(filename, environ))
     except (OSError, IOError, HTTPError):
         logger.exception('failed to cache the new benchmark returns')
         raise
@@ -227,7 +232,7 @@ def ensure_benchmark_data(symbol, first_date, last_date, now, trading_day):
     return data
 
 
-def ensure_treasury_data(symbol, first_date, last_date, now):
+def ensure_treasury_data(symbol, first_date, last_date, now, environ=None):
     """
     Ensure we have treasury data from treasury module associated with
     `symbol`.
@@ -259,7 +264,8 @@ def ensure_treasury_data(symbol, first_date, last_date, now):
     )
     first_date = max(first_date, loader_module.earliest_possible_date())
 
-    data = _load_cached_data(filename, first_date, last_date, now, 'treasury')
+    data = _load_cached_data(filename, first_date, last_date, now, 'treasury',
+                             environ)
     if data is not None:
         return data
 
@@ -269,7 +275,7 @@ def ensure_treasury_data(symbol, first_date, last_date, now):
 
     try:
         data = loader_module.get_treasury_data(first_date, last_date)
-        data.to_csv(get_data_filepath(filename))
+        data.to_csv(get_data_filepath(filename, environ))
     except (OSError, IOError, HTTPError):
         logger.exception('failed to cache treasury data')
     if not has_data_for_dates(data, first_date, last_date):
@@ -277,14 +283,15 @@ def ensure_treasury_data(symbol, first_date, last_date, now):
     return data
 
 
-def _load_cached_data(filename, first_date, last_date, now, resource_name):
+def _load_cached_data(filename, first_date, last_date, now, resource_name,
+                      environ=None):
     if resource_name == 'benchmark':
         from_csv = pd.Series.from_csv
     else:
         from_csv = pd.DataFrame.from_csv
 
     # Path for the cache.
-    path = get_data_filepath(filename)
+    path = get_data_filepath(filename, environ)
 
     # If the path does not exist, it means the first download has not happened
     # yet, so don't try to read from 'path'.
diff --git a/zipline/finance/trading.py b/zipline/finance/trading.py
index 78195d25..fb2aa069 100644
--- a/zipline/finance/trading.py
+++ b/zipline/finance/trading.py
@@ -12,6 +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.
+from functools import partial
 
 import logbook
 import pandas as pd
@@ -86,11 +87,12 @@ class TradingEnvironment(object):
         trading_calendar=None,
         asset_db_path=':memory:',
         future_chain_predicates=CHAIN_PREDICATES,
+        environ=None,
     ):
 
         self.bm_symbol = bm_symbol
         if not load:
-            load = load_market_data
+            load = partial(load_market_data, environ=environ)
 
         if not trading_calendar:
             trading_calendar = get_calendar("NYSE")
diff --git a/zipline/testing/__init__.py b/zipline/testing/__init__.py
index 1a5449b0..3911aacf 100644
--- a/zipline/testing/__init__.py
+++ b/zipline/testing/__init__.py
@@ -16,6 +16,7 @@ from .core import (  # noqa
     check_allclose,
     check_arrays,
     chrange,
+    copy_market_data,
     create_daily_df_for_asset,
     create_data_portal,
     create_data_portal_from_trade_history,
diff --git a/zipline/testing/core.py b/zipline/testing/core.py
index 6afe1e4e..cbcb56e5 100644
--- a/zipline/testing/core.py
+++ b/zipline/testing/core.py
@@ -29,6 +29,7 @@ from toolz import concat, curry
 from zipline.assets import AssetFinder, AssetDBWriter
 from zipline.assets.synthetic import make_simple_equity_info
 from zipline.data.data_portal import DataPortal
+from zipline.data.loader import get_benchmark_filename, INDEX_MAPPING
 from zipline.data.minute_bars import (
     BcolzMinuteBarReader,
     BcolzMinuteBarWriter,
@@ -52,6 +53,7 @@ from zipline.utils.calendars import get_calendar
 from zipline.utils.input_validation import expect_dimensions
 from zipline.utils.numpy_utils import as_column, isnat
 from zipline.utils.pandas_utils import timedelta_to_integral_seconds
+from zipline.utils.paths import ensure_directory
 from zipline.utils.sentinel import sentinel
 
 import numpy as np
@@ -695,11 +697,8 @@ def create_data_portal_from_trade_history(asset_finder, trading_calendar,
 
 
 class FakeDataPortal(DataPortal):
-    def __init__(self, env=None, trading_calendar=None,
+    def __init__(self, env, trading_calendar=None,
                  first_trading_day=None):
-        if env is None:
-            env = TradingEnvironment()
-
         if trading_calendar is None:
             trading_calendar = get_calendar("NYSE")
 
@@ -862,6 +861,8 @@ class tmp_trading_env(tmp_asset_finder):
 
     Parameters
     ----------
+    load : callable, optional
+        Function that returns benchmark returns and treasury curves.
     finder_cls : type, optional
         The type of asset finder to create from the assets db.
     **frames
@@ -872,8 +873,13 @@ class tmp_trading_env(tmp_asset_finder):
     empty_trading_env
     tmp_asset_finder
     """
+    def __init__(self, load=None, *args, **kwargs):
+        super(tmp_trading_env, self).__init__(*args, **kwargs)
+        self._load = load
+
     def __enter__(self):
         return TradingEnvironment(
+            load=self._load,
             asset_db_path=super(tmp_trading_env, self).__enter__().engine,
         )
 
@@ -1486,6 +1492,19 @@ def patch_read_csv(url_map, module=pd, strict=False):
         yield
 
 
+def copy_market_data(src_market_data_dir, dest_root_dir):
+    symbol = '^GSPC'
+    filenames = (get_benchmark_filename(symbol), INDEX_MAPPING[symbol][1])
+
+    ensure_directory(os.path.join(dest_root_dir, 'data'))
+
+    for filename in filenames:
+        shutil.copyfile(
+            os.path.join(src_market_data_dir, filename),
+            os.path.join(dest_root_dir, 'data', filename)
+        )
+
+
 @curry
 def ensure_doctest(f, name=None):
     """Ensure that an object gets doctested. This is useful for instances
diff --git a/zipline/utils/run_algo.py b/zipline/utils/run_algo.py
index 2d3b2e5b..639707fa 100644
--- a/zipline/utils/run_algo.py
+++ b/zipline/utils/run_algo.py
@@ -129,7 +129,7 @@ def _run(handle_data,
                 "invalid url %r, must begin with 'sqlite:///'" %
                 str(bundle_data.asset_finder.engine.url),
             )
-        env = TradingEnvironment(asset_db_path=connstr)
+        env = TradingEnvironment(asset_db_path=connstr, environ=environ)
         first_trading_day =\
             bundle_data.equity_minute_bar_reader.first_trading_day
         data = DataPortal(
@@ -152,7 +152,7 @@ def _run(handle_data,
                 "No PipelineLoader registered for column %s." % column
             )
     else:
-        env = None
+        env = TradingEnvironment(environ=environ)
         choose_loader = None
 
     perf = TradingAlgorithm(