from the timeseries realease example: http://pandas.pydata.org/pandas-docs/version/0.19.0/whatsnew.html#merge-asof-for-asof-style-time-series-joining making ticker as category:
trades.ticker = trades.ticker.astype('category')
quotes.ticker = quotes.ticker.astype('category')
merge = pd.merge_asof(trades, quotes,
on='time',
by='ticker')
Expected Output
merge.dtypes Out[31]: time datetime64[ns] ticker category price float64 quantity int64 bid float64 ask float64
geting : time datetime64[ns] ticker object price float64 quantity int64 bid float64 ask float64
Comment From: chris-b1
Yes, this would be nice to support and is essentially a special case of #10409.
Comment From: jreback
xref this to the duplicate issue.