Resampling Within a Pandas MultiIndex

An alternative using stack/unstack

df.unstack(level=[0,1]).resample('2D', how='sum').stack(level=[2,1]).swaplevel(2,0)

                               value_a  value_b
State   City       Date
Georgia Atlanta    2012-01-01        1       21
Alabama Mobile     2012-01-01       17       37
        Montgomery 2012-01-01       25       45
Georgia Savanna    2012-01-01        9       29
        Atlanta    2012-01-03        5       25
Alabama Mobile     2012-01-03       21       41
        Montgomery 2012-01-03       29       49
Georgia Savanna    2012-01-03       13       33

Notes:

1. No idea about performance comparison
2. Possible pandas bug - stack(level=[2,1]) worked, but stack(level=[1,2]) failed

pd.Grouper allows you to specify a "groupby instruction for a target object". In particular, you can use it to group by dates even if df.index is not a DatetimeIndex:

df.groupby(pd.Grouper(freq='2D', level=-1))

The level=-1 tells pd.Grouper to look for the dates in the last level of the MultiIndex. Moreover, you can use this in conjunction with other level values from the index:

level_values = df.index.get_level_values
result = (df.groupby([level_values(i) for i in [0,1]]
                      +[pd.Grouper(freq='2D', level=-1)]).sum())

It looks a bit awkward, but using_Grouper turns out to be much faster than my original suggestion, using_reset_index:

import numpy as np
import pandas as pd
import datetime as DT

def using_Grouper(df):
    level_values = df.index.get_level_values
    return (df.groupby([level_values(i) for i in [0,1]]
                       +[pd.Grouper(freq='2D', level=-1)]).sum())

def using_reset_index(df):
    df = df.reset_index(level=[0, 1])
    return df.groupby(['State','City']).resample('2D').sum()

def using_stack(df):
    # http://stackoverflow.com/a/15813787/190597
    return (df.unstack(level=[0,1])
              .resample('2D').sum()
              .stack(level=[2,1])
              .swaplevel(2,0))

def make_orig():
    values_a = range(16)
    values_b = range(10, 26)
    states = ['Georgia']*8 + ['Alabama']*8
    cities = ['Atlanta']*4 + ['Savanna']*4 + ['Mobile']*4 + ['Montgomery']*4
    dates = pd.DatetimeIndex([DT.date(2012,1,1)+DT.timedelta(days = i) for i in range(4)]*4)
    df = pd.DataFrame(
        {'value_a': values_a, 'value_b': values_b},
        index = [states, cities, dates])
    df.index.names = ['State', 'City', 'Date']
    return df

def make_df(N):
    dates = pd.date_range('2000-1-1', periods=N)
    states = np.arange(50)
    cities = np.arange(10)
    index = pd.MultiIndex.from_product([states, cities, dates], 
                                       names=['State', 'City', 'Date'])
    df = pd.DataFrame(np.random.randint(10, size=(len(index),2)), index=index,
                      columns=['value_a', 'value_b'])
    return df

df = make_orig()
print(using_Grouper(df))

yields

                               value_a  value_b
State   City       Date                        
Alabama Mobile     2012-01-01       17       37
                   2012-01-03       21       41
        Montgomery 2012-01-01       25       45
                   2012-01-03       29       49
Georgia Atlanta    2012-01-01        1       21
                   2012-01-03        5       25
        Savanna    2012-01-01        9       29
                   2012-01-03       13       33

---

Here is a benchmark comparing using_Grouper, using_reset_index, using_stack on a 5000-row DataFrame:

In [30]: df = make_df(10)

In [34]: len(df)
Out[34]: 5000

In [32]: %timeit using_Grouper(df)
100 loops, best of 3: 6.03 ms per loop

In [33]: %timeit using_stack(df)
10 loops, best of 3: 22.3 ms per loop

In [31]: %timeit using_reset_index(df)
1 loop, best of 3: 659 ms per loop

You need the groupby() method and provide it with a pd.Grouper for each level of your MultiIndex you wish to maintain in the resulting DataFrame. You can then apply an operation of choice.

To resample date or timestamp levels, you need to set the freq argument with the frequency of choice — a similar approach using pd.TimeGrouper() is deprecated in favour of pd.Grouper() with the freq argument set.

This should give you the DataFrame you need:

df.groupby([pd.Grouper(level='State'), 
            pd.Grouper(level='City'), 
            pd.Grouper(level='Date', freq='2D')]
          ).sum()

The Time Series Guide in the pandas documentation describes resample() as:

... a time-based groupby, followed by a reduction method on each of its groups.

Hence, using groupby() should technically be the same operation as using .resample() on a DataFrame with a single index.

The same paragraph points to the cookbook section on resampling for more advanced examples, where the 'Grouping using a MultiIndex' entry is highly relevant for this question. Hope that helps.