Select a multiple-key cross section from a DataFrame

Question

I have a DataFrame \"df\" with (time,ticker) Multiindex and bid/ask/etc data columns:

                          tod    last     bid      ask      volume
    tim         


        

Answer 1

Convert to a panel, then indexing is direct

In [20]: df = pd.DataFrame(dict(time = pd.Timestamp('20130102'), 
                                A = np.random.rand(3), 
                 ticker=['SPY','SLV','GLD'])).set_index(['time','ticker'])

In [21]: df
Out[21]: 
                          A
time       ticker          
2013-01-02 SPY     0.347209
           SLV     0.034832
           GLD     0.280951

In [22]: p = df.to_panel()

In [23]: p
Out[23]: 

Dimensions: 1 (items) x 1 (major_axis) x 3 (minor_axis)
Items axis: A to A
Major_axis axis: 2013-01-02 00:00:00 to 2013-01-02 00:00:00
Minor_axis axis: GLD to SPY

In [24]: p.ix[:,:,['SPY','GLD']]
Out[24]: 

Dimensions: 1 (items) x 1 (major_axis) x 2 (minor_axis)
Items axis: A to A
Major_axis axis: 2013-01-02 00:00:00 to 2013-01-02 00:00:00
Minor_axis axis: SPY to GLD