I think the bug is in our end, not in your code. If you turn down the lookback period to 62 days, it works, but if you lookback 63 days, it fails.
We have some code in batch transform that loads a batch warmup period. For instance, your test starts on 2012-09-03, and it therefore tries to load the previous 63 days of data. For whatever reason it's working if you load 62 days, but not 63! At first I thought it was going to be just one SID with bad data, but it appears to be happening for many, if not all SIDs. Again, not clear what's wrong.
I'm writing a bug and we'll look into it.
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