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The python CLI always sets the __file__ variable, whether run as:
$ python foobar.py
or
$ python -m foobar
or
$ python
>>> import foobar # __file__ set in foobar module
The idle program sets the __file__ variable properly when you do the import from the idle shell, but __file__ is not set with the "Run Module" (F5) command from the editor.
I've included a patch file to set __file__, but it doesn't del it after the module has run. But maybe this is OK, because the os.chdir is not undone either???

I believe IDLE runs modules via execfile(), so I would expect the behavior to be similar, and execfile() does not set __file__. Doing "Run Module" is also IMO equivalent to doing execfile(), so this behavior retains consistency.
However, I would expect __file__ to be set when running IDLE -r <script>, but I get "name '__file__' is not defined" (with Python 2.6.2). This is inconsistent and should be fixed.

No, IDLE compiles the module (with the 'compile' built-in using the 'exec'
option) and then does an 'exec' on the code (in PyShell.py). It has several
lines of code that it runs before this exec to prepare the environment that
the code is run in. It appears to be an oversight that the __file__
variable is not being set as a part of this preparation code to match the
behavior of the python CLI. The patch that I included only changes one line
of this preparation code to also set the __file__ variable and that fixes
the problem. If you examine the IDLE code in the immediate vicinity of my
patch you will see this.
I have several use cases where I'm relying on the __file__ variable in my
module so that it can find other non .py files that it needs in the same
directory that it's in. This works under all combinations of uses from the
CLI, but fails in IDLE using Run Module.
The language reference
manual<http://docs.python.org/reference/datamodel.html?highlight=__file__>states
under "Module":
Predefined (writable) attributes: __name__ is the module’s name; __doc__ is
> the module’s documentation string, or None if unavailable; __file__ is the
> pathname of the file from which the module was loaded, if it was loaded from
> a file. The __file__ attribute is not present for C modules that are
> statically linked into the interpreter; for extension modules loaded
> dynamically from a shared library, it is the pathname of the shared library
> file.
>
The python CLI honors this definition in all cases, but IDLE/Run Module does
not.
On Fri, Jun 11, 2010 at 11:11 AM, Tal Einat <report@bugs.python.org> wrote:
>
> Tal Einat <taleinat@users.sourceforge.net> added the comment:
>
> I believe IDLE runs modules via execfile(), so I would expect the behavior
> to be similar, and execfile() does not set __file__. Doing "Run Module" is
> also IMO equivalent to doing execfile(), so this behavior retains
> consistency.
>
> However, I would expect __file__ to be set when running IDLE -r <script>,
> but I get "name '__file__' is not defined" (with Python 2.6.2). This is
> inconsistent and should be fixed.
>
> ----------
> nosy: +taleinat
>
> _______________________________________
> Python tracker <report@bugs.python.org>
> <http://bugs.python.org/issue8515>
> _______________________________________
>

Why doesn't execfile() set __file__? I would be surprised if this is due to an oversight by the Python devs. In both execfile and IDLE's "Run Module" I can't think of a reason not to set __file__, but perhaps this was intentional? Googling a bit hasn't brought up much.
I am currently of the opinion that both IDLE and execfile() should set __file__ (with execfile() perhaps requiring more thinking about edge-cases, since it can be passes locals and globals dictionaries).

I've encountered this bug several times myself. I applied this patch and it corrects the issue.

New changeset 2c276d0553ff by Andrew Svetlov in branch 'default':
Issue #8515: Set __file__ when run file in IDLE.
http://hg.python.org/cpython/rev/2c276d0553ff 

Thanks to all.
Bruce Frederiksen, you are mentioned in Misc/ACK
Tal Einat, if you want to make a patch which will use `execfile` instead of current approach — you are welcome. Please file new issue.

New changeset a958b7f16a7d by Terry Jan Reedy in branch '2.7':
Issue #8515: Set __file__ when run file in IDLE. Backport 2c276d0553ff by
http://hg.python.org/cpython/rev/a958b7f16a7d