diff --git a/tests/test_batchtransform.py b/tests/test_batchtransform.py
index 490e35f7..17a9b7e3 100644
--- a/tests/test_batchtransform.py
+++ b/tests/test_batchtransform.py
@@ -147,6 +147,16 @@ class TestBatchTransformMinutely(TestCase):
         for bt in algo.history[wl:]:
             self.assertEqual(len(bt), wl)
 
+    def test_window_length(self):
+        algo = BatchTransformAlgorithmMinute(sim_params=self.sim_params,
+                                             window_length=1, refresh_period=0)
+        algo.run(self.source)
+        wl = int(algo.window_length * 6.5 * 60)
+        np.testing.assert_array_equal(algo.history[:(wl - 1)],
+                                      [None] * (wl - 1))
+        for bt in algo.history[wl:]:
+            self.assertEqual(len(bt), wl)
+
 
 class TestBatchTransform(TestCase):
     def setUp(self):
diff --git a/zipline/transforms/utils.py b/zipline/transforms/utils.py
index 40963167..4b40768b 100644
--- a/zipline/transforms/utils.py
+++ b/zipline/transforms/utils.py
@@ -456,10 +456,15 @@ class BatchTransform(object):
                                                   columns=sids))
 
         # update trading day counters
-        if self.last_dt.day != event.dt.day:
-            self.last_dt = event.dt
+        _, mkt_close = trading.environment.get_open_and_close(event.dt)
+        if self.bars == 'daily':
+            # Daily bars have their dt set to midnight.
+            mkt_close = mkt_close.replace(hour=0, minute=0, second=0)
+        if event.dt >= mkt_close:
             self.trading_days_total += 1
 
+        self.last_dt = event.dt
+
         if self.trading_days_total >= self.window_length:
             self.full = True