Include MultiIndex slice in non-reducing slices

Changes behaviour of user-passed IndexSlice to return DataFrame instead of
reducing to Series.  MultiIndex slices are tuples so this explicitly checks type
and guards with parentheses.

Fixes pandas-dev#19861

Author: fleimgruber

pandas/core/indexing.py

@@ -2733,6 +2733,9 @@ def _non_reducing_slice(slice_):
 
     def pred(part):
         # true when slice does *not* reduce
+        # False when part is a tuple, i.e. MultiIndex slice
+        if isinstance(part, tuple):
+            return False
         return isinstance(part, slice) or is_list_like(part)
 
     if not is_list_like(slice_):

pandas/tests/indexing/test_indexing.py

@@ -812,6 +812,21 @@ def test_non_reducing_slice(self):
             tslice_ = _non_reducing_slice(slice_)
             assert isinstance(df.loc[tslice_], DataFrame)
 
+    def test_non_reducing_slice_on_multiindex(self):
+        dic = {
+            ('a', 'd'): [1, 4],
+            ('a', 'c'): [2, 3],
+            ('b', 'c'): [3, 2],
+            ('b', 'd'): [4, 1]
+        }
+
+        df = pd.DataFrame(dic, index=[0, 1])
+        idx = pd.IndexSlice
+
+        slice_ = idx[:, idx['b', 'd']]
+        tslice_ = _non_reducing_slice(slice_)
+        assert isinstance(df.loc[tslice_], DataFrame)
+
     def test_list_slice(self):
         # like dataframe getitem
         slices = [['A'], Series(['A']), np.array(['A'])]