pandas multiindex - how to select second level when using columns?

I have a dataframe with this index:

index = pd.MultiIndex.from_product([['stock1','stock2'...],['price','volume'...]])

It's a useful structure for being able to do df['stock1'], but how do I select all the price data? I can't make any sense of the documentation.

I've tried the following with no luck: df[:,'price'] df[:]['price'] df.loc(axis=1)[:,'close'] df['price]

If this index style is generally agreed to be a bad idea for whatever reason, then what would be a better choice? Should I go for a multi-indexed index for the stocks as labels on the time series instead of at the column level?

Many thanks

EDIT - I am using the multiindex for the columns, not the index (the wording got the better of me). The examples in the documentation focus on multi-level indexes rather than column structures.

Also using John's data sample:

Using xs() is another way to slice a MultiIndex:

df
               0
stock1 price   1
       volume  2
stock2 price   3
       volume  4
stock3 price   5
       volume  6

df.xs('price', level=1, drop_level=False)
              0
stock1 price  1
stock2 price  3
stock3 price  5

Alternatively if you have a MultiIndex in place of columns:

df
  stock1        stock2        stock3       
   price volume  price volume  price volume
0      1      2      3      4      5      6

df.xs('price', axis=1, level=1, drop_level=False)
  stock1 stock2 stock3
   price  price  price
0      1      3      5

Using @JohnZwinck's data sample:

In [132]: df
Out[132]:
               0
stock1 price   1
       volume  2
stock2 price   3
       volume  4
stock3 price   5
       volume  6

Option 1:

In [133]: df.loc[(slice(None), slice('price')), :]
Out[133]:
              0
stock1 price  1
stock2 price  3
stock3 price  5

Option 2:

In [134]: df.loc[pd.IndexSlice[:, 'price'], :]
Out[134]:
              0
stock1 price  1
stock2 price  3
stock3 price  5

---

UPDATE:

> But what if for the 2nd Index, I want to select everything but price > and there are multiple values so that enumeration is not an option. Is > there something like slice(~'price')

first let's name the index levels:

df = df.rename_axis(["lvl0", "lvl1"])

now we can use the df.query() method:

In [18]: df.query("lvl1 != 'price'")
Out[18]:
               0
lvl0   lvl1
stock1 volume  2
stock2 volume  4
stock3 volume  6

I have found the most intuitive solution for accessing a second-level column in a DataFrame with MultiIndex columns is using .loc together with slice().

In case of your DataFrame with

df
  stock1        stock2        stock3       
   price volume  price volume  price volume
0      1      2      3      4      5      6
1      2      3      4      5      6      7

using df.loc[:, (slice(None), "price")]

would deliver all columns with the sub-column of "price"

  stock1  stock2  stock3       
   price   price   price 
0      1       3       5
1      2       4       6

Within df.loc[:, (slice(None), "price")] the first argument of loc : delivers the result for all rows, the second argument (slice(None), "price") is a tuple responsible for selecting all first level columns (slice(None)) and all second-level columns with the name of "price".

df.unstack() will "tear off" the last level of your MultiIndex and make your DataFrame a lot more conventional, with one column per type of data. For example:

index = pd.MultiIndex.from_product([['stock1','stock2','stock3'],['price','volume']])
df = pd.DataFrame([1,2,3,4,5,6], index)
print(df.unstack())

Gives you:

           0       
       price volume
stock1     1      2
stock2     3      4
stock3     5      6

I also noticed you missed this option:

df.loc[:,"price"]

As far as a best practice for your time data, keep it in a column corresponding to rows, preferably as a datetime object in Python (pandas has built in feature support for it). You can use the mask syntax to only get times relevant to your interest.

That is how you access a single column of your data frame. However for multiple columns we can pass a list, or a colon to get all:

df.loc[:,["price","volume"]] 
#or
df.loc[:,:]

A useful way to query (and quickly) is to use masks to specify which rows/columns meet what condition you want:

Mask=df.loc[:,"price"]>50.0
df.loc[Mask, "stock"] #should return the stock prices greater than 50bucks. 

Hope this helps, and as always feel free to follow up on this answer if I completely misunderstood your question, I'd love to help further.