diff --git a/src/test/CMakeLists.txt b/src/test/CMakeLists.txt
--- a/src/test/CMakeLists.txt
+++ b/src/test/CMakeLists.txt
@@ -3,6 +3,8 @@
 project(bitcoin-test)
 
 # Process json files.
+file(MAKE_DIRECTORY "${CMAKE_CURRENT_BINARY_DIR}/data")
+
 find_program(PYTHON python)
 function(gen_json_header NAME)
 	set(HEADERS "")
diff --git a/src/test/data/generate_header.py b/src/test/data/generate_header.py
--- a/src/test/data/generate_header.py
+++ b/src/test/data/generate_header.py
@@ -1,7 +1,6 @@
 #!/usr/bin/env python
 # Copyright (c) 2018 The Bitcoin developers
 
-import os
 import sys
 
 
@@ -19,6 +18,6 @@
 if __name__ == "__main__":
     if len(sys.argv) != 3:
         print("We need additional pylons!")
-        os.exit(1)
+        sys.exit(1)
 
     main(sys.argv[1], sys.argv[2])