python : pandas 中多重索引multiindex与多个标的dataframe

多个标的dataframe,如何转成多重索引的dataframe.
有点象，有中证500股票的数据，如何把这500只股票，整成一个多重索引的dataframe?

import pandas as pd
df1 = pd.read_csv(r"C:\Users\songroom\Desktop\600019.csv")
df2 = pd.read_csv(r"C:\Users\songroom\Desktop\600036.csv")
print(df1.head())
print(df2.head())

格式输出如下：

Unnamed: 0    open   close     low    high  volume    money  factor  \
0  2010-1-4 9:31  958.39  959.56  958.39  959.95    3615  3465823  39.086   
1  2010-1-4 9:32  959.56  957.61  957.61  959.56    2236  2142921  39.086   
2  2010-1-4 9:33  957.61  954.87  954.87  957.61    1356  1296027  39.086   
3  2010-1-4 9:34  955.26  954.48  954.09  955.65    2085  1990535  39.086   
4  2010-1-4 9:35  954.87  954.09  953.70  954.87    2730  2606687  39.086   

   high_limit  low_limit     avg  pre_close  paused  open_interest  
0      1047.9     857.16  958.78     952.53       0              0  
1      1047.9     857.16  958.39     959.56       0              0  
2      1047.9     857.16  955.65     957.61       0              0  
3      1047.9     857.16  954.48     954.87       0              0  
4      1047.9     857.16  954.87     954.48       0              0  
      Unnamed: 0  open  close   low  high  volume    money  factor  \
0  2010-1-4 9:31  1000   1001  1002  1003    3615  3465823  39.086   
1  2010-1-4 9:32  1000   1001  1002  1003    2236  2142921  39.086   
2  2010-1-4 9:33  1000   1001  1002  1003    1356  1296027  39.086   
3  2010-1-4 9:34  1000   1001  1002  1003    2085  1990535  39.086   
4  2010-1-4 9:35  1000   1001  1002  1003    2730  2606687  39.086   

   high_limit  low_limit     avg  pre_close  paused  open_interest  
0      1047.9     857.16  958.78     952.53       0              0  
1      1047.9     857.16  958.39     959.56       0              0  
2      1047.9     857.16  955.65     957.61       0              0  
3      1047.9     857.16  954.48     954.87       0              0  
4      1047.9     857.16  954.87     954.48       0              0  

稍对数据进行整理一下，为多重索引数据的建立做准备：

codes1 = ["600019.XSHG" for i in range(len(df1))] 
codes2 = ["600036.XSHG" for i in range(len(df1))] 
df1 = df1.rename(columns={"Unnamed: 0":"datetime"})
df2 = df2.rename(columns={"Unnamed: 0":"datetime"})
# df1["code"] = codes1
# df2["code"] = codes2
#print(df1.head())
#print(df2.head())
import numpy as np
arr1 = np.array(df1.iloc[:,1:])
#print(arr1.shape)
arr2 = np.array(df2.iloc[:,1:])

def column_hstack(arrs):
    row,col = arrs[0].shape
    for arr in arrs:
        assert arr.shape == (row,col)
    _arrs = []
    for i in range(col):
        for j in range(len(arrs)):          
            temp = arrs[j][:,i]
            if len(_arrs)!= 0:
                _arrs = np.column_stack((_arrs,temp)) 
            else:
                _arrs = np.array(temp)
            #print(f"{i} {j} _arrs.shape: {_arrs.shape}")
            
    return _arrs

arrs = [arr1,arr2]
data = column_hstack(arrs)
print(data.shape)

这样，我们需要的data就准备好了。另外，行索引上，我们只放datetime,列索引上，我们放codes名称，以及各个字段。

注意：数据的大小和位置要匹配好！否则会后面报错。
需要注意的是，我们想做的格式不是下面的格式（格式1）【格式，数据是随便填充的】

格式1：这个是codes在上面，fields在下面
而是格式2：股价字段fields在上面，codes在下面

下面，我们就按经典的pd.MultiIndex.from_product构建方法来操作：

dates   = df1.datetime
codes   = ["600019.XSHG","600036.XSHG" ]
index   = pd.MultiIndex.from_product([dates],names=['datetime']) # row 
fields  = ["open","close","low","high","volume","money","factor","high_limit","low_limit","avg","pre_close","paused","open_interest"]
columns = pd.MultiIndex.from_product([fields,codes],names=['fields','codes']) # col的索引顺序需要特别注意
df_data = pd.DataFrame(data,index=index,columns=columns)

上面注意：col的索引需要注意，"fields"在前面，表示在上面，"codes"在下面，这个数据要匹配好。

输出：

df_data.close
codes          600019.XSHG  600036.XSHG
datetime                               
2010-1-4 9:31       959.56       1001.0
2010-1-4 9:32       957.61       1001.0
2010-1-4 9:33       954.87       1001.0
2010-1-4 9:34       954.48       1001.0
2010-1-4 9:35       954.09       1001.0
2010-1-4 9:36       955.65       1001.0
2010-1-4 9:37       958.00       1001.0
2010-1-4 9:38       955.65       1001.0
2010-1-4 9:39       953.70       1001.0
2010-1-4 9:40       953.70       1001.0

经验证，数据是对的。

[df1.close,df2.close]
[0    959.56
 1    957.61
 2    954.87
 3    954.48
 4    954.09
 5    955.65
 6    958.00
 7    955.65
 8    953.70
 9    953.70
 Name: close, dtype: float64, 0    1001
 1    1001
 2    1001
 3    1001
 4    1001
 5    1001
 6    1001
 7    1001
 8    1001
 9    1001
 Name: close, dtype: int64]