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 @@
  isnan,
  zeros,
 )
-from numpy.testing import assert_array_equal
 from pandas import (
  DataFrame,
  date_range,
@@ -30,6 +29,7 @@
  NUMEXPR_MATH_FUNCS,
 )
 from zipline.modelling.factor import TestingFactor
+from zipline.utils.test_utils import check_arrays
 
 
 class F(TestingFactor):
@@ -67,7 +67,7 @@ def check_output(self, expr, expected):
  [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 @@ def compute_from_arrays(self, arrays, mask):
  """
  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 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)