diff --git a/zipline/finance/performance.py b/zipline/finance/performance.py
index 88566461..5beb95b2 100644
--- a/zipline/finance/performance.py
+++ b/zipline/finance/performance.py
@@ -135,6 +135,7 @@ import math
 
 import numpy as np
 import pandas as pd
+from collections import OrderedDict, defaultdict
 
 import zipline.protocol as zp
 import zipline.finance.risk as risk
@@ -523,9 +524,10 @@ class PerformancePeriod(object):
         self.starting_cash = starting_cash
         self.ending_cash = starting_cash
         self.keep_transactions = keep_transactions
-        self.processed_transactions = []
+        self.processed_transactions = defaultdict(list)
         self.keep_orders = keep_orders
-        self.placed_orders = []
+        self.orders_by_modified = defaultdict(list)
+        self.orders_by_id = OrderedDict()
         self.cumulative_capital_used = 0.0
         self.max_capital_used = 0.0
         self.max_leverage = 0.0
@@ -550,8 +552,9 @@ class PerformancePeriod(object):
         self.starting_cash = self.ending_cash
         self.period_cash_flow = 0.0
         self.pnl = 0.0
-        self.processed_transactions = []
-        self.placed_orders = []
+        self.processed_transactions = defaultdict(list)
+        self.orders_by_modified = defaultdict(list)
+        self.orders_by_id = OrderedDict()
         self.cumulative_capital_used = 0.0
         self.max_capital_used = 0.0
         self.max_leverage = 0.0
@@ -613,7 +616,13 @@ class PerformancePeriod(object):
 
     def record_order(self, order):
         if self.keep_orders:
-            self.placed_orders.append(order)
+            self.orders_by_modified[order.dt].append(order)
+            # to preserve the order of the orders by modified date
+            # we delete and add back. (ordered dictionary is sorted by
+            # first insertion date).
+            if order.id in self.orders_by_id:
+                del self.orders_by_id[order.id]
+            self.orders_by_id[order.id] = order
 
     def execute_transaction(self, txn):
         # Update Position
@@ -647,7 +656,7 @@ class PerformancePeriod(object):
 
         # add transaction to the list of processed transactions
         if self.keep_transactions:
-            self.processed_transactions.append(txn)
+            self.processed_transactions[txn.dt].append(txn)
 
     def round_to_nearest(self, x, base=5):
         return int(base * round(float(x) / base))
@@ -704,21 +713,20 @@ class PerformancePeriod(object):
             if dt:
                 # Only include transactions for given dt
                 transactions = [x.to_dict()
-                                for x in self.processed_transactions
-                                if x.dt == dt]
+                                for x in self.processed_transactions[dt]]
             else:
-                transactions = [x.to_dict()
-                                for x in self.processed_transactions]
+                transactions = \
+                    [y.to_dict()
+                     for x in self.processed_transactions.itervalues()
+                     for y in x]
             rval['transactions'] = transactions
 
         if self.keep_orders:
             if dt:
                 # only include orders modified as of the given dt.
-                orders = [x.to_dict()
-                          for x in self.placed_orders
-                          if x.last_modified_dt == dt]
+                orders = [x.to_dict() for x in self.orders_by_modified[dt]]
             else:
-                orders = [x.to_dict() for x in self.placed_orders]
+                orders = [x.to_dict() for x in self.orders_by_id.itervalues()]
             rval['orders'] = orders
 
         return rval
diff --git a/zipline/finance/slippage.py b/zipline/finance/slippage.py
index 4887ef27..d0ce0bdf 100644
--- a/zipline/finance/slippage.py
+++ b/zipline/finance/slippage.py
@@ -222,7 +222,7 @@ class FixedSlippage(object):
                 order.id
             )
 
-            # mark the last_modified date of the order to match
-            order.last_modified = event.dt
+            # mark the date of the order to match the transaction
+            order.dt = event.dt
             txns.append(txn)
         return txns
diff --git a/zipline/gens/tradesimulation.py b/zipline/gens/tradesimulation.py
index 276210df..ee52981d 100644
--- a/zipline/gens/tradesimulation.py
+++ b/zipline/gens/tradesimulation.py
@@ -103,12 +103,12 @@ class Blotter(object):
         txns = self.transact(trade_event, current_orders)
         for txn in txns:
             self.orders[txn.order_id].filled += txn.amount
-            # mark the last_modified date of the order to match
-            self.orders[txn.order_id].last_modified_dt = txn.dt
+            # mark the date of the order to match the txn
+            self.orders[txn.order_id].dt = txn.dt
 
         modified_orders = [order for order
                            in self.open_orders[trade_event.sid]
-                           if order.last_modified_dt == trade_event.dt]
+                           if order.dt == trade_event.dt]
         for order in modified_orders:
             if not order.open:
                 del self.orders[order.id]
@@ -135,7 +135,7 @@ class Order(object):
         # get a string representation of the uuid.
         self.id = self.make_id()
         self.dt = dt
-        self.last_modified_dt = dt
+        self.created = dt
         self.sid = sid
         self.amount = amount
         self.filled = filled
@@ -165,7 +165,7 @@ class Order(object):
             check_order_triggers(self, event)
         if (stop_reached, limit_reached) \
                 != (self.stop_reached, self.limit_reached):
-            self.last_modified_dt = event.dt
+            self.dt = event.dt
         self.stop_reached = stop_reached
         self.limit_reached = limit_reached