BUG: multi-index HDFStore data_columns=True

closes #14435

Author: Chris <cbartak@gmail.com>

Closes #14791 from chris-b1/hdf-mi-datacolumns and squashes the following commits:

5d32610 [Chris] BUG: multi-index HDFStore data_columns=True

doc/source/whatsnew/v0.19.2.txt

@@ -58,7 +58,7 @@ Bug Fixes
 
 
 
-
+- Bug ``HDFStore`` writing a ``MultiIndex`` when using ``data_columns=True`` (:issue:`14435`)
 
 
 - Bug in clipboard functions on linux with python2 with unicode and separators (:issue:`13747`)

pandas/io/pytables.py

@@ -4254,7 +4254,7 @@ class AppendableMultiFrameTable(AppendableFrameTable):
         if data_columns is None:
             data_columns = []
         elif data_columns is True:
-            data_columns = obj.columns[:]
+            data_columns = obj.columns.tolist()
         obj, self.levels = self.validate_multiindex(obj)
         for n in self.levels:
             if n not in data_columns:

pandas/io/tests/test_pytables.py

@@ -1818,6 +1818,19 @@ class TestHDFStore(Base, tm.TestCase):
             store.put('s', s, format='table')
             tm.assert_series_equal(store.select('s', where="columns=['A']"), s)
 
+    def test_mi_data_columns(self):
+        # GH 14435
+        idx = pd.MultiIndex.from_arrays([date_range('2000-01-01', periods=5),
+                                         range(5)], names=['date', 'id'])
+        df = pd.DataFrame({'a': [1.1, 1.2, 1.3, 1.4, 1.5]}, index=idx)
+
+        with ensure_clean_store(self.path) as store:
+            store.append('df', df, data_columns=True)
+
+            actual = store.select('df', where='id == 1')
+            expected = df.iloc[[1], :]
+            tm.assert_frame_equal(actual, expected)
+
     def test_pass_spec_to_storer(self):
 
         df = tm.makeDataFrame()