Fix ExpressionDFilter treating missing data as passing filter#2119
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Ayush10 wants to merge 1 commit intomicrosoft:mainfrom
Open
Fix ExpressionDFilter treating missing data as passing filter#2119Ayush10 wants to merge 1 commit intomicrosoft:mainfrom
Ayush10 wants to merge 1 commit intomicrosoft:mainfrom
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fillna(False) before astype("bool") in _filterSeries so that NaN
values from missing feature data (e.g. during trading halts) are
treated as not passing the filter instead of incorrectly passing.
pandas astype("bool") converts NaN to True, which caused instruments
with missing data to be included as if they satisfied the filter
expression.
Fixes microsoft#2084
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Summary
True(passing the filter)fillna(False)beforeastype("bool")inSeriesDFilter._filterSeriesRoot Cause
In
qlib/data/filter.pyline 145,filter_series.astype("bool")converts NaN toTruedue to pandas' casting behavior. This means instruments with missing feature data (e.g., during trading halts) incorrectly pass expression filters like$close > 2000.Fix
Test plan
ExpressionDFilter(rule_expression='$close>2000')should exclude instruments on dates where$closeis missing_toTimestampNaN handling (lines 171-172) is now consistent with this fixFixes #2084