BUG: merge_asof should be treated as a left join

doc/source/whatsnew/v1.2.0.rst

@@ -319,6 +319,7 @@ Reshaping
 - Bug in :meth:`DataFrame.pivot_table` with ``aggfunc='count'`` or ``aggfunc='sum'`` returning ``NaN`` for missing categories when pivoted on a ``Categorical``. Now returning ``0`` (:issue:`31422`)
 - Bug in :func:`union_indexes` where input index names are not preserved in some cases. Affects :func:`concat` and :class:`DataFrame` constructor (:issue:`13475`)
 - Bug in func :meth:`crosstab` when using multiple columns with ``margins=True`` and ``normalize=True`` (:issue:`35144`)
+- Bug in :func:`merge_asof` propagated the right Index with ``left_index=True`` and ``right_on`` specification instead of left Index (:issue:`33463`)
 -
 
 Sparse

pandas/core/reshape/merge.py

@@ -936,6 +936,8 @@ def _create_join_index(
         -------
         join_index
         """
+        if how == "left" and self.how == "asof":
+            return other_index.take(other_indexer)
         if self.how in (how, "outer") and not isinstance(other_index, MultiIndex):
             # if final index requires values in other_index but not target
             # index, indexer may hold missing (-1) values, causing Index.take

pandas/tests/reshape/merge/test_merge_asof.py

@@ -5,7 +5,7 @@
 import pytz
 
 import pandas as pd
-from pandas import Timedelta, merge_asof, read_csv, to_datetime
+from pandas import Index, Timedelta, merge_asof, read_csv, to_datetime
 import pandas._testing as tm
 from pandas.core.reshape.merge import MergeError
 
@@ -1323,7 +1323,7 @@ def test_merge_index_column_tz(self):
                 "from_date": index[1:],
                 "abc": [2.46] * 3 + [2.19],
             },
-            index=pd.Index([1, 2, 3, 4]),
+            index=index[1:],
         )
         tm.assert_frame_equal(result, expected)
 
@@ -1361,3 +1361,25 @@ def test_left_index_right_index_tolerance(self):
             tolerance=pd.Timedelta(seconds=0.5),
         )
         tm.assert_frame_equal(result, expected)
+
+
+@pytest.mark.parametrize(
+    "kwargs",
+    [
+        {"right_index": True, "left_index": True},
+        {"left_on": "left_time", "right_index": True},
+        {"left_index": True, "right_on": "right"},
+    ],
+)
+def test_merge_asof_index_behavior(kwargs):
+    # GH 33463
+    index = Index([1, 5, 10], name="test")
+    left = pd.DataFrame({"left": ["a", "b", "c"], "left_time": [1, 4, 10]}, index=index)
+    right = pd.DataFrame({"right": [1, 2, 3, 6, 7]}, index=[1, 2, 3, 6, 7])
+    result = merge_asof(left, right, **kwargs)
+
+    expected = pd.DataFrame(
+        {"left": ["a", "b", "c"], "left_time": [1, 4, 10], "right": [1, 3, 7]},
+        index=index,
+    )
+    tm.assert_frame_equal(result, expected)