diff --git a/tests/test_finance.py b/tests/test_finance.py
index f6c7dae7..ef68ba1f 100644
--- a/tests/test_finance.py
+++ b/tests/test_finance.py
@@ -362,9 +362,7 @@ class FinanceTestCase(TestCase):
             for event in events:
                 if event.type == DATASOURCE_TYPE.TRADE:
 
-                    txns, _ = blotter.process_trade(event)
-
-                    for txn in txns:
+                    for txn, order in blotter.process_trade(event):
                         transactions.append(txn)
                         tracker.process_event(txn)
 
diff --git a/zipline/finance/blotter.py b/zipline/finance/blotter.py
index bdefba40..92f891a8 100644
--- a/zipline/finance/blotter.py
+++ b/zipline/finance/blotter.py
@@ -143,12 +143,12 @@ class Blotter(object):
 
     def process_trade(self, trade_event):
         if trade_event.type != zp.DATASOURCE_TYPE.TRADE:
-            return [], []
+            raise StopIteration
 
         if zp_math.tolerant_equals(trade_event.volume, 0):
             # there are zero volume trade_events bc some stocks trade
             # less frequently than once per minute.
-            return [], []
+            raise StopIteration
 
         if trade_event.sid in self.open_orders:
             orders = self.open_orders[trade_event.sid]
@@ -158,9 +158,7 @@ class Blotter(object):
                 lambda o: o.dt <= trade_event.dt,
                 orders)
         else:
-            return [], []
-
-        txns = []
+            raise StopIteration
 
         for order, txn in self.transact(trade_event, current_orders):
             order.filled += txn.amount
@@ -168,11 +166,7 @@ class Blotter(object):
             # that is filling it.
             order.dt = txn.dt
 
-            txns.append(txn)
-
-        modified_orders = [order for order
-                           in self.open_orders[trade_event.sid]
-                           if order.dt == trade_event.dt]
+            yield txn, order
 
         # update the open orders for the trade_event's sid
         self.open_orders[trade_event.sid] = \
@@ -180,8 +174,6 @@ class Blotter(object):
              in self.open_orders[trade_event.sid]
              if order.open]
 
-        return txns, modified_orders
-
 
 class Order(object):
     def __init__(self, dt, sid, amount, stop=None, limit=None, filled=0,
diff --git a/zipline/gens/tradesimulation.py b/zipline/gens/tradesimulation.py
index ee1bf10b..167e73c3 100644
--- a/zipline/gens/tradesimulation.py
+++ b/zipline/gens/tradesimulation.py
@@ -12,7 +12,6 @@
 # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 # See the License for the specific language governing permissions and
 # limitations under the License.
-from itertools import chain
 from logbook import Logger, Processor
 
 import zipline.finance.trading as trading
@@ -120,9 +119,12 @@ class AlgorithmSimulator(object):
                         if event.type == DATASOURCE_TYPE.BENCHMARK:
                             self.algo.set_datetime(event.dt)
                             bm_updated = True
-                        txns, orders = self.algo.blotter.process_trade(event)
-                        for data in chain(txns, orders, [event]):
-                            self.algo.perf_tracker.process_event(data)
+
+                        process_trade = self.algo.blotter.process_trade
+                        for txn, order in process_trade(event):
+                            self.algo.perf_tracker.process_event(txn)
+                            self.algo.perf_tracker.process_event(order)
+                        self.algo.perf_tracker.process_event(event)
 
                     # Update our portfolio.
                     self.algo.set_portfolio(