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Fix ExpressionDFilter treating missing data as passing filter #2119

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Fix ExpressionDFilter treating missing data as passing filter #2119

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2 changes: 1 addition & 1 deletion qlib/data/filter.py
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Original file line number Diff line number Diff line change
Expand Up @@ -142,7 +142,7 @@ def _filterSeries(self, timestamp_series, filter_series):
the series of bool value indicating whether the date satisfies the filter condition and exists in target timestamp.
"""
fstart, fend = list(filter_series.keys())[0], list(filter_series.keys())[-1]
filter_series = filter_series.astype("bool") # Make sure the filter_series is boolean
filter_series = filter_series.fillna(False).astype("bool") # NaN means missing data, treat as not passing
timestamp_series[fstart:fend] = timestamp_series[fstart:fend] & filter_series
return timestamp_series

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