python pandas dataframe slicing by date conditions

You can use a simple mask to accomplish this:

date_mask = (data.index > start) & (data.index < end)
dates = data.index[date_mask]
data.ix[dates]

By the way, this works for hierarchical indexing as well. In that case data.index would be replaced with data.index.levels[0] or similar.

Short answer: Sort your data (data.sort()) and then I think everything will work the way you are expecting.

Yes, you can slice using datetimes not present in the DataFrame. For example:

In [12]: df
Out[12]: 
                   0
2013-04-20  1.120024
2013-04-21 -0.721101
2013-04-22  0.379392
2013-04-23  0.924535
2013-04-24  0.531902
2013-04-25 -0.957936

In [13]: df['20130419':'20130422']
Out[13]: 
                   0
2013-04-20  1.120024
2013-04-21 -0.721101
2013-04-22  0.379392

As you can see, you don't even have to build datetime objects; strings work.

Because the datetimes in your index are not sequential, the behavior is weird. If we shuffle the index of my example here...

In [17]: df
Out[17]: 
                   0
2013-04-22  1.120024
2013-04-20 -0.721101
2013-04-24  0.379392
2013-04-23  0.924535
2013-04-21  0.531902
2013-04-25 -0.957936

...and take the same slice, we get a different result. It returns the first element inside the range and stops at the first element outside the range.

In [18]: df['20130419':'20130422']
Out[18]: 
                   0
2013-04-22  1.120024
2013-04-20 -0.721101
2013-04-24  0.379392

This is probably not useful behavior. If you want to select ranges of dates, would it make sense to sort it by date first?

df.sort_index()

Use searchsorted to find the nearest times first, and then use it to slice.

In [15]: df = pd.DataFrame([1, 2, 3], index=[dt.datetime(2013, 1, 1), dt.datetime(2013, 1, 3), dt.datetime(2013, 1, 5)])

In [16]: df
Out[16]: 
            0
2013-01-01  1
2013-01-03  2
2013-01-05  3

In [22]: start = df.index.searchsorted(dt.datetime(2013, 1, 2))

In [23]: end = df.index.searchsorted(dt.datetime(2013, 1, 4))

In [24]: df.iloc[start:end]
Out[24]: 
            0
2013-01-03  2