BUG: multi-index to_native_types is not passing thru parameters

doc/source/whatsnew/v0.17.1.txt

@@ -120,3 +120,6 @@ Bug Fixes
 - Bug in ``to_excel`` with openpyxl 2.2+ and merging (:issue:`11408`)
 
 - Bug in ``DataFrame.to_dict()`` produces a ``np.datetime64`` object instead of ``Timestamp`` when only datetime is present in data (:issue:`11327`)
+
+
+- Bug in ``DataFrame.to_csv`` in passing through arguments for formatting ``MultiIndexes``, including ``date_format`` (:issue:`7791`)

pandas/core/index.py

@@ -4327,7 +4327,12 @@ def _reference_duplicate_name(self, name):
         return sum(name == n for n in self.names) > 1
 
     def _format_native_types(self, **kwargs):
-        return self.values
+        # we go through the levels and format them
+        levels = [level._format_native_types(**kwargs)
+                  for level in self.levels]
+        mi = MultiIndex(levels=levels, labels=self.labels, names=self.names,
+                        sortorder=self.sortorder, verify_integrity=False)
+        return mi.values
 
     @property
     def _constructor(self):

pandas/tests/test_format.py

@@ -2952,6 +2952,17 @@ def test_to_csv_date_format(self):
         self.assertEqual(df_day.to_csv(), expected_default_day)
         self.assertEqual(df_day.to_csv(date_format='%Y-%m-%d'), expected_default_day)
 
+        # testing if date_format parameter is taken into account for
+        # multi-indexed dataframes (GH 7791)
+        df_sec['B'] = 0
+        df_sec['C'] = 1
+        expected_ymd_sec = 'A,B,C\n2013-01-01,0,1\n'
+        df_sec_grouped = df_sec.groupby([pd.Grouper(key='A', freq='1h'), 'B'])
+        self.assertEqual(
+            df_sec_grouped.mean().to_csv(date_format='%Y-%m-%d'),
+            expected_ymd_sec
+        )
+
     # deprecation GH11274
     def test_to_csv_engine_kw_deprecation(self):
         with tm.assert_produces_warning(FutureWarning):

pandas/tests/test_frame.py

@@ -7341,6 +7341,13 @@ def test_to_csv_quoting(self):
         df.to_csv(buf, encoding='utf-8', index=False)
         self.assertEqual(buf.getvalue(), text)
 
+        # testing if quoting parameter is passed through with multi-indexes
+        # related to issue #7791
+        df = pd.DataFrame({'a': [1, 2], 'b': [3, 4], 'c': [5, 6]})
+        df = df.set_index(['a', 'b'])
+        expected = '"a","b","c"\n"1","3","5"\n"2","4","6"\n'
+        self.assertEqual(df.to_csv(quoting=csv.QUOTE_ALL), expected)
+
     def test_to_csv_unicodewriter_quoting(self):
         df = DataFrame({'A': [1, 2, 3], 'B': ['foo', 'bar', 'baz']})