BUG: timedelta merge asof with tolerance (pandas-dev#27650)

* issue pandas-dev#27642 - timedelta merge asof with tolerance

Author: ianzur

doc/source/whatsnew/v0.25.1.rst

@@ -95,6 +95,7 @@ Reshaping
 ^^^^^^^^^
 
 - A ``KeyError`` is now raised if ``.unstack()`` is called on a :class:`Series` or :class:`DataFrame` with a flat :class:`Index` passing a name which is not the correct one (:issue:`18303`)
+- Bug :meth:`merge_asof` could not merge :class:`Timedelta` objects when passing `tolerance` kwarg (:issue:`27642`)
 - Bug in :meth:`DataFrame.crosstab` when ``margins`` set to ``True`` and ``normalize`` is not ``False``, an error is raised. (:issue:`27500`)
 - :meth:`DataFrame.join` now suppresses the ``FutureWarning`` when the sort parameter is specified (:issue:`21952`)
 - Bug in :meth:`DataFrame.join` raising with readonly arrays (:issue:`27943`)

pandas/core/reshape/merge.py

@@ -22,7 +22,6 @@
     is_bool,
     is_bool_dtype,
     is_categorical_dtype,
-    is_datetime64_dtype,
     is_datetime64tz_dtype,
     is_datetimelike,
     is_dtype_equal,
@@ -1635,7 +1634,7 @@ def _get_merge_keys(self):
                 )
             )
 
-            if is_datetime64_dtype(lt) or is_datetime64tz_dtype(lt):
+            if is_datetimelike(lt):
                 if not isinstance(self.tolerance, Timedelta):
                     raise MergeError(msg)
                 if self.tolerance < Timedelta(0):

pandas/tests/reshape/merge/test_merge_asof.py

@@ -1,3 +1,5 @@
+import datetime
+
 import numpy as np
 import pytest
 import pytz
@@ -588,14 +590,23 @@ def test_non_sorted(self):
         # ok, though has dupes
         merge_asof(trades, self.quotes, on="time", by="ticker")
 
-    def test_tolerance(self):
+    @pytest.mark.parametrize(
+        "tolerance",
+        [
+            Timedelta("1day"),
+            pytest.param(
+                datetime.timedelta(days=1),
+                marks=pytest.mark.xfail(reason="not implemented", strict=True),
+            ),
+        ],
+        ids=["pd.Timedelta", "datetime.timedelta"],
+    )
+    def test_tolerance(self, tolerance):
 
         trades = self.trades
         quotes = self.quotes
 
-        result = merge_asof(
-            trades, quotes, on="time", by="ticker", tolerance=Timedelta("1day")
-        )
+        result = merge_asof(trades, quotes, on="time", by="ticker", tolerance=tolerance)
         expected = self.tolerance
         assert_frame_equal(result, expected)
 
@@ -1246,3 +1257,39 @@ def test_by_mixed_tz_aware(self):
         )
         expected["value_y"] = np.array([np.nan], dtype=object)
         assert_frame_equal(result, expected)
+
+    def test_timedelta_tolerance_nearest(self):
+        # GH 27642
+
+        left = pd.DataFrame(
+            list(zip([0, 5, 10, 15, 20, 25], [0, 1, 2, 3, 4, 5])),
+            columns=["time", "left"],
+        )
+
+        left["time"] = pd.to_timedelta(left["time"], "ms")
+
+        right = pd.DataFrame(
+            list(zip([0, 3, 9, 12, 15, 18], [0, 1, 2, 3, 4, 5])),
+            columns=["time", "right"],
+        )
+
+        right["time"] = pd.to_timedelta(right["time"], "ms")
+
+        expected = pd.DataFrame(
+            list(
+                zip(
+                    [0, 5, 10, 15, 20, 25],
+                    [0, 1, 2, 3, 4, 5],
+                    [0, np.nan, 2, 4, np.nan, np.nan],
+                )
+            ),
+            columns=["time", "left", "right"],
+        )
+
+        expected["time"] = pd.to_timedelta(expected["time"], "ms")
+
+        result = pd.merge_asof(
+            left, right, on="time", tolerance=Timedelta("1ms"), direction="nearest"
+        )
+
+        assert_frame_equal(result, expected)