diff --git a/zipline/transforms/utils.py b/zipline/transforms/utils.py
index d2154253..b28fea8c 100644
--- a/zipline/transforms/utils.py
+++ b/zipline/transforms/utils.py
@@ -501,14 +501,19 @@ class BatchTransform(object):
         data = self.rolling_panel.get_current()
 
         if self.supplemental_data:
-            # item will be a date stamp
             for item in data.items:
-                try:
-                    data[item] = self.supplemental_data[item].combine_first(
-                        data[item])
-                except KeyError:
-                    # Only filling in data available in supplemental data.
-                    pass
+                # axes[1] (minor axis) will be a date stamp
+                for dt in data.axes[1]:
+                    try:
+                        supplemental_for_date = self.supplemental_data[dt]
+                    except KeyError:
+                        # Only filling in data available in supplemental data.
+                        supplemental_for_date = None
+
+                    if supplemental_for_date is not None:
+                        data[item].ix[dt] = \
+                            supplemental_for_date.ix[item].combine_first(
+                                data[item].ix[dt])
 
         if self.clean_nans:
             # Fills in gaps of missing data during transform