Quantum trajectories describe the stochastic evolution of an open quantum system conditioned on continuous monitoring of its output, such as by an ideal photodetector. In practice an experimenter has access to an output filtered through various electronic devices, rather than the microscopic states of the detector. This introduces several imperfections into the measurement process, of which only inefficiency has previously been incorporated into quantum trajectory theory. However, all electronic devices have finite bandwidths, and the consequent delay in conveying the output signal to the observer implies that the evolution of the conditional state of the quantum system must be non-Markovian. We present a general method of describing this evolution and apply it to avalanche photodiodes and to photoreceivers. We include the effects of efficiency, dead time, bandwidth, electronic noise and dark counts. The essential idea is to treat the quantum system and classical detector jointly, and to average over the latter to obtain the conditional quantum state. The significance of our theory is that quantum trajectories for realistic detection are necessary for sophisticated approaches to quantum feedback, and our approach could be applied in many areas of physics.