I think you need convert column to datetime in both Dataframes, because it seems there are different dtypes - one is datetime and one is object (obviously string):
weekdaytrain.data = pd.to_datetime(weekdaytrain.data)
train.data = pd.to_datetime(train.data)
print (weekdaytrain.dtypes)
data datetime64[ns]
giorno_settimana int64
dtype: object
print (train.dtypes)
data object
pezzi int64
dtype: object
new_train = pd.merge(train,weekdaytrain, on='data',how='left')
print (new_train)
data pezzi giorno_settimana
0 2014-09-01 1743 NaN
1 2014-09-02 1483 NaN
2 2014-09-03 1510 NaN
3 2014-09-04 1276 NaN
4 2014-09-05 1741 NaN
#column in train is not datetime, so need converting
train.data = pd.to_datetime(train.data)
new_train = pd.merge(train,weekdaytrain, on='data',how='left')
print (new_train)
data pezzi giorno_settimana
0 2014-09-01 1743 0
1 2014-09-02 1483 1
2 2014-09-03 1510 2
3 2014-09-04 1276 3
4 2014-09-05 1741 4
