I am able to read and slice pandas dataframe using python datetime objects, however I am forced to use only existing dates in index. For example, this works:
I had difficulty with other approaches but I found that the following approach worked for me:
# Set the Index to be the Date
df['Date'] = pd.to_datetime(df['Date_1'], format='%d/%m/%Y')
df.set_index('Date', inplace=True)
# Sort the Data
df = df.sort_values('Date_1')
# Slice the Data
From = '2017-05-07'
To = '2017-06-07'
df_Z = df.loc[From:To,:]