BUG/TST raise a more detailed error when GH6169 occurs, added a test

Raise a detailed error when a `columns` argument is passed through 'where' to
select a multiIndexed Dataframe from an HDF store. Wrote a test
showcasing the bug

	modified:   pandas/io/pytables.py
	modified:   pandas/io/tests/test_pytables.py

making it work

Author: Guillaume Gay

pandas/io/pytables.py

@@ -3958,8 +3958,16 @@ def read(self, columns=None, **kwargs):
                     columns.insert(0, n)
         df = super(AppendableMultiFrameTable, self).read(
             columns=columns, **kwargs)
-        df = df.set_index(self.levels)
-
+        try:
+            df = df.set_index(self.levels)
+        except KeyError:
+            if kwargs.get('where') is not None and 'columns' in kwargs.get('where').expr:
+                raise KeyError(
+                "Indexes columns were not retrieved because you passed "
+                "a `where` argument  containing columns specification. "
+                "(see http://github.com/pydata/pandas/issues/6169), try passing "
+                "the columns specification through the `columns` keyword instead"
+                )
         # remove names for 'level_%d'
         df.index = df.index.set_names([
             None if self._re_levels.search(l) else l for l in df.index.names

pandas/io/tests/test_pytables.py

@@ -1673,6 +1673,33 @@ def make_index(names=None):
             store.append('df',df)
             tm.assert_frame_equal(store.select('df'),df)
 
+    def test_select_columns_in_where(self):
+        
+        # GH 6169
+        # recreate multi-indexes when columns is passed
+        # in the `where` argument
+        index = MultiIndex(levels=[['foo', 'bar', 'baz', 'qux'],
+                                   ['one', 'two', 'three']],
+                           labels=[[0, 0, 0, 1, 1, 2, 2, 3, 3, 3],
+                                   [0, 1, 2, 0, 1, 1, 2, 0, 1, 2]],
+                           names=['foo_name', 'bar_name'])
+
+        # With a DataFrame
+        df = DataFrame(np.random.randn(10, 3), index=index,
+                       columns=['A', 'B', 'C'])
+        
+        with ensure_clean_store(self.path) as store:
+            store.put('df', df, format='table')
+            tm.assert_frame_equal(store.select('df', where="columns=['A']"),df['A'],
+                                  check_index_type=True,check_column_type=True)
+        # With a Serie
+        s = Series(np.random.randn(10), index=index,
+                   name='A')
+        with ensure_clean_store(self.path) as store:
+            store.put('s', s)
+            tm.assert_frame_equal(store.select('s', where="columns=['A']"),s,
+                                  check_index_type=True,check_column_type=True)
+            
     def test_pass_spec_to_storer(self):
 
         df = tm.makeDataFrame()