BUG: Make NumExprFilter return ndarray.

- Previously it was returning a DataFrame because of how we applied an &
  with a DataFrame mask.  The error was masked by the fact that
  `np.assert_array_equal` coerces inputs to arrays before comparing.

- Added `zp.utils.test_utils.check_arrays`, which checks type equality
  before calling `np.assert_array_equal`.

tests/modelling/test_numerical_expression.py

@@ -18,7 +18,6 @@ from numpy import (
     isnan,
     zeros,
 )
-from numpy.testing import assert_array_equal
 from pandas import (
     DataFrame,
     date_range,
@@ -30,6 +29,7 @@ from zipline.modelling.expression import (
     NUMEXPR_MATH_FUNCS,
 )
 from zipline.modelling.factor import TestingFactor
+from zipline.utils.test_utils import check_arrays
 
 
 class F(TestingFactor):
@@ -67,7 +67,7 @@ class NumericalExpressionTestCase(TestCase):
             [self.fake_raw_data[input_] for input_ in expr.inputs],
             self.mask,
         )
-        assert_array_equal(result, full((5, 5), expected))
+        check_arrays(result, expected)
 
     def check_constant_output(self, expr, expected):
         self.assertFalse(isnan(expected))

zipline/modelling/filter.py

@@ -128,11 +128,10 @@ class NumExprFilter(NumericalExpression, Filter):
         """
         Compute our result with numexpr, then apply `mask`.
         """
-        numexpr_result = super(NumExprFilter, self).compute_from_arrays(
+        return super(NumExprFilter, self).compute_from_arrays(
             arrays,
             mask,
-        )
-        return numexpr_result & mask
+        ) & mask.values
 
 
 class PercentileFilter(SingleInputMixin, Filter):

zipline/utils/test_utils.py

@@ -4,6 +4,7 @@ from itertools import (
 )
 from logbook import FileHandler
 from mock import patch
+from numpy.testing import assert_array_equal
 import operator
 from zipline.finance.blotter import ORDER_STATUS
 from zipline.utils import security_list
@@ -311,3 +312,17 @@ def make_simple_asset_info(assets, start_date, end_date, symbols=None):
             'exchange': 'TEST',
         }
     )
+
+
+def check_arrays(left, right, err_msg='', verbose=True):
+    """
+    Wrapper around np.assert_array_equal that also verifies that inputs are
+    ndarrays.
+
+    See Also
+    --------
+    np.assert_array_equal
+    """
+    if type(left) != type(right):
+        raise AssertionError("%s != %s" % (type(left), type(right)))
+    return assert_array_equal(left, right, err_msg=err_msg, verbose=True)