diff --git a/tests/test_sources.py b/tests/test_sources.py
index 8e9bc24b..a5e1e833 100644
--- a/tests/test_sources.py
+++ b/tests/test_sources.py
@@ -79,6 +79,39 @@ class TestDataFrameSource(TestCase):
             self.assertTrue(isinstance(event['volume'], (integer_types)))
             self.assertEqual(next(stocks_iter), event['sid'])
 
+    def test_nan_filter_dataframe(self):
+        dates = pd.date_range('1/1/2000', periods=2, freq='B', tz='UTC')
+        df = pd.DataFrame(np.random.randn(2, 2),
+                          index=dates,
+                          columns=['A', 'B'])
+        df.loc[dates[0], 'A'] = np.nan  # should be filtered
+        df.loc[dates[1], 'B'] = np.nan  # should not be filtered
+        source = DataFrameSource(df)
+        event = next(source)
+        self.assertEqual('B', event.sid)
+        event = next(source)
+        self.assertEqual('A', event.sid)
+        event = next(source)
+        self.assertEqual('B', event.sid)
+        self.assertTrue(np.isnan(event.price))
+
+    def test_nan_filter_panel(self):
+        dates = pd.date_range('1/1/2000', periods=2, freq='B', tz='UTC')
+        df = pd.Panel(np.random.randn(2, 2, 2),
+                      major_axis=dates,
+                      items=['A', 'B'],
+                      minor_axis=['price', 'volume'])
+        df.loc['A', dates[0], 'price'] = np.nan  # should be filtered
+        df.loc['B', dates[1], 'price'] = np.nan  # should not be filtered
+        source = DataPanelSource(df)
+        event = next(source)
+        self.assertEqual('B', event.sid)
+        event = next(source)
+        self.assertEqual('A', event.sid)
+        event = next(source)
+        self.assertEqual('B', event.sid)
+        self.assertTrue(np.isnan(event.price))
+
 
 class TestRandomWalkSource(TestCase):
     def test_minute(self):
diff --git a/zipline/sources/data_frame_source.py b/zipline/sources/data_frame_source.py
index 4dfa225a..7a0771f4 100644
--- a/zipline/sources/data_frame_source.py
+++ b/zipline/sources/data_frame_source.py
@@ -1,5 +1,5 @@
 #
-# Copyright 2014 Quantopian, Inc.
+# Copyright 2015 Quantopian, Inc.
 #
 # Licensed under the Apache License, Version 2.0 (the "License");
 # you may not use this file except in compliance with the License.
@@ -16,6 +16,7 @@
 """
 Tools to generate data sources.
 """
+import numpy as np
 import pandas as pd
 
 from zipline.gens.utils import hash_args
@@ -31,10 +32,8 @@ class DataFrameSource(DataSource):
         * columns : sids
         * index : datetime
 
-    sids   : list of values representing simulated internal sids
-    start  : start date
-    delta  : timedelta between internal events
-    filter : filter to remove the sids
+    :Note:
+        Bars where the price is nan are filtered out.
     """
 
     def __init__(self, data, **kwargs):
@@ -51,6 +50,8 @@ class DataFrameSource(DataSource):
 
         self._raw_data = None
 
+        self.started_sids = set()
+
     @property
     def mapping(self):
         return {
@@ -68,6 +69,12 @@ class DataFrameSource(DataSource):
         for dt, series in self.data.iterrows():
             for sid, price in series.iteritems():
                 if sid in self.sids:
+                    # Skip SIDs that can not be forward filled
+                    if np.isnan(price) and \
+                       sid not in self.started_sids:
+                        continue
+                    self.started_sids.add(sid)
+
                     event = {
                         'dt': dt,
                         'sid': sid,
@@ -94,10 +101,8 @@ class DataPanelSource(DataSource):
         * major_axis : datetime
         * minor_axis : price, volume, ...
 
-    sids   : list of values representing simulated internal sids
-    start  : start date
-    delta  : timedelta between internal events
-    filter : filter to remove the sids
+    :Note:
+        Bars where the price is nan are filtered out.
     """
 
     def __init__(self, data, **kwargs):
@@ -114,6 +119,8 @@ class DataPanelSource(DataSource):
 
         self._raw_data = None
 
+        self.started_sids = set()
+
     @property
     def mapping(self):
         mapping = {
@@ -140,6 +147,12 @@ class DataPanelSource(DataSource):
             df = self.data.major_xs(dt)
             for sid, series in df.iteritems():
                 if sid in self.sids:
+                    # Skip SIDs that can not be forward filled
+                    if np.isnan(series['price']) and \
+                       sid not in self.started_sids:
+                        continue
+                    self.started_sids.add(sid)
+
                     event = {
                         'dt': dt,
                         'sid': sid,