Adding Column headers to pandas dataframe.. but NAN's all the data even though headers are same dimension

Assign directly to the columns:

df.columns = ['TradeDate',
                                      'TradeTime',
                                      'CumPnL',
                                      'DailyCumPnL',
                                      'RealisedPnL',
                                      'UnRealisedPnL',
                                      'CCYCCY',
                                      'CCYCCYPnLDaily',
                                      'Position',
                                      'CandleOpen',
                                      'CandleHigh',
                                      'CandleLow',
                                      'CandleClose',
                                      'CandleDir',
                                      'CandleDirSwings',
                                      'TradeAmount',
                                      'Rate',
                                      'PnL/Trade',
                                      'Venue',
                                      'OrderType',
                                      'OrderID'
                                      'Code']

What you're doing is reindexing and because the columns don't agree get all NaNs as you're passing the df as the data it will align on existing column names and index values.

You can see the same semantic behaviour here:

In [240]:
df = pd.DataFrame(data= np.random.randn(5,3), columns = np.arange(3))
df

Out[240]:
          0         1         2
0  1.037216  0.761995  0.153047
1 -0.602141 -0.114032 -0.323872
2 -1.188986  0.594895 -0.733236
3  0.556196  0.363965 -0.893846
4  0.547791 -0.378287 -1.171706

In [242]:
df1 = pd.DataFrame(df, columns = list('abc'))
df1

Out[242]:
    a   b   c
0 NaN NaN NaN
1 NaN NaN NaN
2 NaN NaN NaN
3 NaN NaN NaN
4 NaN NaN NaN

Alternatively you can pass the np array as the data:

df = pd.DataFrame(dfTrades.values,columns=['TradeDate',

In [244]:
df1 = pd.DataFrame(df.values, columns = list('abc'))
df1

Out[244]:
          a         b         c
0  1.037216  0.761995  0.153047
1 -0.602141 -0.114032 -0.323872
2 -1.188986  0.594895 -0.733236
3  0.556196  0.363965 -0.893846
4  0.547791 -0.378287 -1.171706