diff --git a/tests/test_finance.py b/tests/test_finance.py
index 094aeb80..28718a6a 100644
--- a/tests/test_finance.py
+++ b/tests/test_finance.py
@@ -197,6 +197,20 @@ class FinanceTestCase(TestCase):
         }
         self.transaction_sim(**params2)
 
+        # Runs the collapsed trades over daily trade intervals.
+        # Ensuring that our delay works for daily intervals as well.
+        params3 = {
+            'trade_count': 6,
+            'trade_amount': 100,
+            'trade_interval': timedelta(days=1),
+            'order_count': 24,
+            'order_amount': 1,
+            'order_interval': timedelta(minutes=1),
+            'expected_txn_count': 1,
+            'expected_txn_volume': 24 * 1
+        }
+        self.transaction_sim(**params3)
+
     @timed(DEFAULT_TIMEOUT)
     def test_alternating_long_short(self):
         # create a scenario where we alternate buys and sells
diff --git a/zipline/finance/slippage.py b/zipline/finance/slippage.py
index abf7f713..49d539ab 100644
--- a/zipline/finance/slippage.py
+++ b/zipline/finance/slippage.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 datetime import timedelta
 
 import pytz
 import math
@@ -55,10 +56,12 @@ class VolumeShareSlippage(object):
 
     def __init__(self,
                  volume_limit=.25,
-                 price_impact=0.1):
+                 price_impact=0.1,
+                 delay=timedelta(minutes=1)):
 
         self.volume_limit = volume_limit
         self.price_impact = price_impact
+        self.delay = delay
 
     def simulate(self, event, open_orders):
 
@@ -72,7 +75,7 @@ class VolumeShareSlippage(object):
             orders = sorted(orders, key=lambda o: o.dt)
             # Only use orders for the current day or before
             current_orders = filter(
-                lambda o: o.dt.toordinal() <= event.dt.toordinal(),
+                lambda o: o.dt + self.delay <= event.dt,
                 orders)
         else:
             return None