Pandas filling missing dates and values within group

Initial Dataframe:

            dt  user    val
0   2016-01-01     a      1
1   2016-01-02     a     33
2   2016-01-05     b      2
3   2016-01-06     b      1

First, convert the dates to datetime:

x['dt'] = pd.to_datetime(x['dt'])

Then, generate the dates and unique users:

dates = x.set_index('dt').resample('D').asfreq().index

>> DatetimeIndex(['2016-01-01', '2016-01-02', '2016-01-03', '2016-01-04',
               '2016-01-05', '2016-01-06'],
              dtype="datetime64[ns]", name="dt", freq='D')

users = x['user'].unique()

>> array(['a', 'b'], dtype=object)

This will allow you to create a MultiIndex:

idx = pd.MultiIndex.from_product((dates, users), names=['dt', 'user'])

>> MultiIndex(levels=[[2016-01-01 00:00:00, 2016-01-02 00:00:00, 2016-01-03 00:00:00, 2016-01-04 00:00:00, 2016-01-05 00:00:00, 2016-01-06 00:00:00], ['a', 'b']],
           labels=[[0, 0, 1, 1, 2, 2, 3, 3, 4, 4, 5, 5], [0, 1, 0, 1, 0, 1, 0, 1, 0, 1, 0, 1]],
           names=['dt', 'user'])

You can use that to reindex your DataFrame:

x.set_index(['dt', 'user']).reindex(idx, fill_value=0).reset_index()
Out: 
           dt user  val
0  2016-01-01    a    1
1  2016-01-01    b    0
2  2016-01-02    a   33
3  2016-01-02    b    0
4  2016-01-03    a    0
5  2016-01-03    b    0
6  2016-01-04    a    0
7  2016-01-04    b    0
8  2016-01-05    a    0
9  2016-01-05    b    2
10 2016-01-06    a    0
11 2016-01-06    b    1

which then can be sorted by users:

x.set_index(['dt', 'user']).reindex(idx, fill_value=0).reset_index().sort_values(by='user')
Out: 
           dt user  val
0  2016-01-01    a    1
2  2016-01-02    a   33
4  2016-01-03    a    0
6  2016-01-04    a    0
8  2016-01-05    a    0
10 2016-01-06    a    0
1  2016-01-01    b    0
3  2016-01-02    b    0
5  2016-01-03    b    0
7  2016-01-04    b    0
9  2016-01-05    b    2
11 2016-01-06    b    1