BUG pandas-devGH-35558 merge_asof error for tolerance with left and right index

Author: ikedaosushi

doc/source/whatsnew/v1.1.1.rst

@@ -16,10 +16,11 @@ Fixed regressions
 ~~~~~~~~~~~~~~~~~
 
 - Fixed regression where :meth:`DataFrame.to_numpy` would raise a ``RuntimeError`` for mixed dtypes when converting to ``str`` (:issue:`35455`)
-- Fixed regression where :func:`read_csv` would raise a ``ValueError`` when ``pandas.options.mode.use_inf_as_na`` was set to ``True`` (:issue:`35493`).
+- Fixed regression where :func:`read_csv` would raise a ``ValueError`` when ``pandas.options.mode.use_inf_as_na`` was set to ``True`` (:issue:`35493`)
 - Fixed regression in :class:`pandas.core.groupby.RollingGroupby` where column selection was ignored (:issue:`35486`)
 - Fixed regression in :meth:`DataFrame.shift` with ``axis=1`` and heterogeneous dtypes (:issue:`35488`)
 - Fixed regression in ``.groupby(..).rolling(..)`` where a segfault would occur with ``center=True`` and an odd number of values (:issue:`35552`)
+- Fixed regression where :meth:`DataFrame.merge_asof` would raise a ``UnboundLocalError`` when ``left_index`` , ``right_index`` and ``tolerance`` were set (:issue:`35558`)
 
 .. ---------------------------------------------------------------------------
 

pandas/core/reshape/merge.py

@@ -1667,7 +1667,7 @@ def _get_merge_keys(self):
 
             msg = (
                 f"incompatible tolerance {self.tolerance}, must be compat "
-                f"with type {repr(lk.dtype)}"
+                f"with type {repr(lt.dtype)}"
             )
 
             if needs_i8_conversion(lt):

pandas/tests/reshape/merge/test_merge_asof.py

@@ -1339,3 +1339,18 @@ def test_merge_index_column_tz(self):
             index=pd.Index([0, 1, 2, 3, 4]),
         )
         tm.assert_frame_equal(result, expected)
+
+    def test_left_index_right_index_tolerance(self):
+        expected = self.asof.set_index("time")
+        trades = self.trades.set_index("time")
+        quotes = self.quotes.set_index("time")
+
+        result = merge_asof(
+            trades,
+            quotes,
+            left_index=True,
+            right_index=True,
+            by="ticker",
+            tolerance=Timedelta("1day"),
+        )
+        tm.assert_frame_equal(result, expected)