Merge pull request #991 from quantopian/fix-right-binding-filter-ops

BUG: Add right-binding operators to NumExprFilter.

docs/source/whatsnew/0.8.4.txt

@@ -130,6 +130,9 @@ Bug Fixes
 * Fixed issues around KeyErrors coming from history and BarData on 32-bit
   python, where Assets did not compare properly with int64s (:issue:`959`).
 
+* Fixed a bug where boolean operators were not properly implemented on
+  :class:~zipline.pipeline.Filter` (:issue:`991`).
+
 
 Performance
 ~~~~~~~~~~~

tests/pipeline/test_numerical_expression.py

@@ -1,6 +1,6 @@
+from itertools import permutations
 from operator import (
     add,
-    and_,
     ge,
     gt,
     le,
@@ -8,13 +8,13 @@ from operator import (
     methodcaller,
     mul,
     ne,
-    or_,
 )
 from unittest import TestCase
 
 import numpy
 from numpy import (
     arange,
+    array,
     eye,
     float64,
     full,
@@ -27,7 +27,7 @@ from pandas import (
     Int64Index,
 )
 
-from zipline.pipeline import Factor
+from zipline.pipeline import Factor, Filter
 from zipline.pipeline.expression import (
     NumericalExpression,
     NUMEXPR_MATH_FUNCS,
@@ -55,6 +55,11 @@ class H(Factor):
     window_length = 0
 
 
+class NonExprFilter(Filter):
+    inputs = ()
+    window_length = 0
+
+
 class DateFactor(Factor):
     dtype = datetime64ns_dtype
     inputs = ()
@@ -460,26 +465,57 @@ class NumericalExpressionTestCase(TestCase):
 
     def test_boolean_binops(self):
         f, g, h = self.f, self.g, self.h
+
+        # Add a non-numexpr filter to ensure that we correctly handle
+        # delegation to NumericalExpression.
+        custom_filter = NonExprFilter()
+        custom_filter_mask = array(
+            [[0, 1, 0, 1, 0],
+             [0, 0, 1, 0, 0],
+             [1, 0, 0, 0, 0],
+             [0, 0, 1, 1, 0],
+             [0, 0, 0, 1, 0]],
+            dtype=bool,
+        )
+
         self.fake_raw_data = {
             f: arange(25).reshape(5, 5),
             g: arange(25).reshape(5, 5) - eye(5),
             h: full((5, 5), 5),
+            custom_filter: custom_filter_mask,
         }
 
         # Should be True on the diagonal.
-        eye_filter = f > g
+        eye_filter = (f > g)
+
         # Should be True in the first row only.
         first_row_filter = f < h
 
         eye_mask = eye(5, dtype=bool)
+
         first_row_mask = zeros((5, 5), dtype=bool)
         first_row_mask[0] = 1
 
         self.check_output(eye_filter, eye_mask)
         self.check_output(first_row_filter, first_row_mask)
 
-        for op in (and_, or_):  # NumExpr doesn't support xor.
-            self.check_output(
-                op(eye_filter, first_row_filter),
-                op(eye_mask, first_row_mask),
-            )
+        def gen_boolops(x, y, z):
+            """
+            Generate all possible interleavings of & and | between all possible
+            orderings of x, y, and z.
+            """
+            for a, b, c in permutations([x, y, z]):
+                yield (a & b) & c
+                yield (a & b) | c
+                yield (a | b) & c
+                yield (a | b) | c
+                yield a & (b & c)
+                yield a & (b | c)
+                yield a | (b & c)
+                yield a | (b | c)
+
+        exprs = gen_boolops(eye_filter, custom_filter, first_row_filter)
+        arrays = gen_boolops(eye_mask, custom_filter_mask, first_row_mask)
+
+        for expr, expected in zip(exprs, arrays):
+            self.check_output(expr, expected)

zipline/pipeline/filters/filter.py

@@ -124,6 +124,13 @@ class Filter(CompositeTerm):
             for op in FILTER_BINOPS
         }
     )
+    clsdict.update(
+        {
+            method_name_for_op(op, commute=True): binary_operator(op)
+            for op in FILTER_BINOPS
+        }
+    )
+
     __invert__ = unary_operator('~')
 
     def _validate(self):