How to set an index within multiindex for datetime? - pandas

Question

I have this df:
open high low close volume
date symbol
2014-02-20 AAPL 69.9986 70.5252 69.4746 69.7569 76529103
MSFT 33.5650 33.8331 33.4087 33.7259 27541038
2014-02-21 AAPL 69.9727 70.2061 68.8967 68.9821 69757247
MSFT 33.8956 34.2619 33.8241 33.9313 38030656
2014-02-24 AAPL 68.7063 69.5954 68.6104 69.2841 72364950
MSFT 33.6723 33.9269 33.5382 33.6723 32143395
which is returned from here:
from datetime import datetime
from iexfinance.stocks import get_historical_data
from pandas_datareader import data
import matplotlib.pyplot as plt
import pandas as pd
start = '2014-01-01'
end = datetime.today().utcnow()
symbol = ['AAPL', 'MSFT']
prices = pd.DataFrame()
datasets_test = []
for d in symbol:
data_original = data.DataReader(d, 'iex', start, end)
data_original['symbol'] = d
prices = pd.concat([prices,data_original],axis=0)
prices = prices.set_index(['symbol'], append=True)
prices.sort_index(inplace=True)
when trying to get the day of the week:
A['day_of_week'] = features.index.get_level_values('date').weekday
I get error:
AttributeError: 'Index' object has no attribute 'weekday'
I tried to change the date index to date time with
prices['date'] = pd.to_datetime(prices['date'])
but got this error:
KeyError: 'date'
Any idea how to keep 2 indexs, date + symbol but to change one of them (date) tp datetime so I could get the day of the week?

Answer 1

Looks like the date level of the index contains strings, not datetime objects. One solution is to reset all MultiIndex levels into columns, convert the date column to datetime, and set the MultiIndex back. Then you can proceed with pandas datetime accessors like .weekday in the usual way.
prices = prices.reset_index()
prices['date'] = pd.to_datetime(prices['date'])
prices = prices.set_index(['date', 'symbol'])
prices.index.get_level_values('date').weekday
Int64Index([3, 3, 4, 4, 0, 0, 1, 1, 2, 2,
...
1, 1, 2, 2, 3, 3, 4, 4, 1, 1],
dtype='int64', name='date', length=2516)