Pandas rolling gives NaN

The first thing to notice is that by default rolling looks for n-1 prior rows of data to aggregate, where n is the window size. If that condition is not met, it will return NaN for the window. This is what's happening at the first row. In the fourth and fifth row, it's because one of the values in the sum is NaN.

If you would like to avoid returning NaN, you could pass min_periods=1 to the method which reduces the minimum required number of valid observations in the window to 1 instead of 2:

>>> dft.rolling(2, min_periods=1).sum()
                       B
2013-01-01 09:00:00  0.0
2013-01-01 09:00:01  1.0
2013-01-01 09:00:02  3.0
2013-01-01 09:00:03  2.0
2013-01-01 09:00:04  4.0