Slight delay in animations

I figured it out: Transition time in the transition settings was more than 0

I have been using my own animation system for my 2D game but have recently changed to mecanim.
The player controls in Update, and at the end of update uses the changes to the player to set parameters in the animator that will change the animation. It works, but there is a slight but noticeable delay before the animation starts. I think this is something to do with the update order.

My old system would start the animation on it's first frame the exact frame the animation started, but this doesn't seem to work in mecanim. How could I fix this?

edit: In the animator window I can see that the state changes instantly but both animations are active briefly while it transitions. I'm guessing its there for blending between animations, but I don't need it. Is there any way I can remove transition time?