Pandas rolling median for duplicate time series data

Question

I see that Pandas does not allow duplicate time series indexes yet (https://github.com/pydata/pandas/issues/643), but will be added soon. I am wondering if there is a good

Answer 1

There's nothing really to stop you right now:

In [17]: idf = df.set_index(['tag', 'epochTimeMS'], verify_integrity=False).sort_index()

In [18]: idf
Out[18]: 
                     event  timeTakenMS
tag  epochTimeMS                       
tag1 1331782842381  event2          436
     1331782842801  event1           16
     1331782842801  event1           17
tag2 1331782841535  event1         1278

In [20]: idf.ix['tag1']
Out[20]: 
                event  timeTakenMS
epochTimeMS                       
1331782842381  event2          436
1331782842801  event1           16
1331782842801  event1           17

Accessing specific values by timestamp will cause an exception (this is going to be improved, as you mention), but you can certainly work with the data. Now, if you want a fixed-length (in time space) window, that's not supported very well yet but I created an issue here:

https://github.com/pydata/pandas/issues/936

If you could speak up on the mailing list about your API requirements in your application it would be helpful for me and the guys since we're actively working on the time series capabilities right now.