diff --git a/zipline/sources/test_source.py b/zipline/sources/test_source.py
index 84b2ef7d..f8083ad8 100644
--- a/zipline/sources/test_source.py
+++ b/zipline/sources/test_source.py
@@ -59,6 +59,11 @@ def date_gen(start=datetime(2006, 6, 6, 12, tzinfo=pytz.utc),
     """
     one_day = timedelta(days=1)
     cur = start
+    if delta == one_day:
+        # if we are producing daily timestamps, we
+        # use midnight
+        cur = cur.replace(hour=0, minute=0, second=0,
+                          microsecond=0)
 
     # yield count trade events, all on trading days, and
     # during trading hours.