A deep fat fryer with continuous oil filtering and purging of sediments therefrom during uninterrupted fryer operation is provided. The filter includes a cylindrical hollow housing with a first end and a second end and a hollow cylindrical screen with a longitudinal axis and first and second ends. The screen is disposed coaxially within the hollow housing to define an annulus therebetween. A piston mounted within the screen and reciprocatingly movable along the longitudinal axis between the first and second ends of the screen. A pump, seal, and associate motor are provided to provide continuous oil flow through the filter and the remainder of the fryer. A heat exchanger is provided downstream of the pump to transfer heat from the fryer to the oil flowing through the heat exchanger.