Merge DataFrame with multi index columns

Question

I downloaded data from different sources in dataframes and would like to merge them in one final DataFrame. Let's illustarte it with the following example:

dataframe 1 (already multi indexed columns)

index    stockA        stockB      ...
        O  L  H  C    O  L  H  C
1/1/19  10 15 20 17  35 30 39 37
2/1/19  ...          ...
...

dataframe 2 (non multi indexed columns)

index    stockA  stockB     
1/1/19    1.5     3.2 
2/1/19    ...     ...
...

I would like to merge both dataframe and giving a column name to data in dataframe2 . Index Date might be not the same in both dataframe, So i might need to do an inner merge.

Expected outputs (multi indexed columns)

index    stockA                 stockB             ...
        O  L  H  C new_col    O  L  H  C  new_col
1/1/19  10 15 20 17 1.5       35 30 39 37  3.2
2/1/19       ...                     ...
...

Answer 1

Use:

print (df1)
       stockA             stockB            
            O   L   H   C      O   L   H   C
1/1/19     10  15  20  17     35  30  39  37
2/1/19     12  13  26  27     31  50  29  17

print (df2)
        stockA  stockB
2/1/19     1.5     3.2
3/1/19     1.2     6.2

Convert index in both index to datetimes if necessary:

df1.index = pd.to_datetime(df1.index, format='%d/%m/%y')
df2.index = pd.to_datetime(df2.index, format='%d/%m/%y')

Get same values in both indices by Index.intersection:

idx = df1.index.intersection(df2.index)
print (idx)
DatetimeIndex(['2019-01-02'], dtype='datetime64[ns]', freq=None)

Create MultiIndex in MultiIndex.from_product in df2:

df2.columns = pd.MultiIndex.from_product([df2.columns, ['new']])
print (df2)
           stockA stockB
              new    new
2019-01-02    1.5    3.2
2019-01-03    1.2    6.2

Filter both DataFrames by DataFrame.loc, join together by DataFrame.join and last sorting MultiIndex by DataFrame.sort_index:

df = df1.loc[idx].join(df2.loc[idx]).sort_index(level=0, axis=1)
print (df)
           stockA                  stockB                 
                C   H   L   O  new      C   H   L   O  new
2019-01-02     27  26  13  12  1.5     17  29  50  31  3.2