diff --git a/zipline/sources/data_frame_source.py b/zipline/sources/data_frame_source.py
index c2574071..e574bd3d 100644
--- a/zipline/sources/data_frame_source.py
+++ b/zipline/sources/data_frame_source.py
@@ -73,7 +73,9 @@ class DataFrameSource(DataSource):
                         'dt': dt,
                         'sid': sid,
                         'price': price,
-                        'volume': 1000,
+                        # Just chose something large
+                        # if no volume available.
+                        'volume': 1e9,
                     }
                     yield event