BUG: Allow tolerance when left_index/right_index enabled for merge_asof() (pandas-dev#15135)

Author: Christopher C. Aycock

doc/source/whatsnew/v0.20.0.txt

@@ -358,7 +358,7 @@ Bug Fixes
 
 
 
-
+- Bug in ``pd.merge_asof()`` where ``left_index``/``right_index`` together caused a failure when ``tolerance`` was specified (:issue:`15135`)
 
 
 

pandas/tools/merge.py

@@ -1129,7 +1129,11 @@ def _get_merge_keys(self):
         # validate tolerance; must be a Timedelta if we have a DTI
         if self.tolerance is not None:
 
-            lt = left_join_keys[-1]
+            if self.left_index:
+                lt = self.left.index
+            else:
+                lt = left_join_keys[-1]
+
             msg = "incompatible tolerance, must be compat " \
                   "with type {0}".format(type(lt))
 

pandas/tools/tests/test_merge_asof.py

@@ -518,6 +518,19 @@ def test_tolerance_tz(self):
              'value2': list("BCDEE")})
         assert_frame_equal(result, expected)
 
+    def test_index_tolerance(self):
+        # GH 15135
+        expected = self.tolerance.set_index('time')
+        trades = self.trades.set_index('time')
+        quotes = self.quotes.set_index('time')
+
+        result = pd.merge_asof(trades, quotes,
+                               left_index=True,
+                               right_index=True,
+                               by='ticker',
+                               tolerance=pd.Timedelta('1day'))
+        assert_frame_equal(result, expected)
+
     def test_allow_exact_matches(self):
 
         result = merge_asof(self.trades, self.quotes,