Problem using panel.to_frame() conversion
Hi,

Basically I wanted to kind of replicate the example given in the doc about to_frame() with data that I have. 

In the doc:
panel = Panel(np.random.randn(3, 5, 4), items=['one', 'two', 'three'],      major_axis=date_range('1/1/2000', periods=5), minor_axis=['a', 'b', 'c', 'd'])

gives:

<class 'pandas.core.panel.Panel'>
Dimensions: 3 (items) x 5 (major_axis) x 4 (minor_axis)
Items axis: one to three
Major_axis axis: 2000-01-01 00:00:00 to 2000-01-05 00:00:00
Minor_axis axis: a to d

then if you use panel.to_frame().index() you will of course get:
MultiIndex
[(2000-01-01 00:00:00, a), (2000-01-01 00:00:00, b), (2000-01-01 00:00:00, c), (2000-01-01 00:00:00, d), (2000-01-02 00:00:00, a), (2000-01-02 00:00:00, b), (2000-01-02 00:00:00, c), (2000-01-02 00:00:00, d), (2000-01-03 00:00:00, a), (2000-01-03 00:00:00, b), (2000-01-03 00:00:00, c), (2000-01-03 00:00:00, d), (2000-01-04 00:00:00, a), (2000-01-04 00:00:00, b), (2000-01-04 00:00:00, c), (2000-01-04 00:00:00, d), (2000-01-05 00:00:00, a), (2000-01-05 00:00:00, b), (2000-01-05 00:00:00, c), (2000-01-05 00:00:00, d)]

I do the same with my panel data (basically I have 254 daily prices/brand (there are brand changes) at 9995 gas stations:
pd_panel_data_master
<class 'pandas.core.panel.Panel'>
Dimensions: 9995 (items) x 254 (major_axis) x 2 (minor_axis)
Items axis: 10000001 to 9700001
Major_axis axis: 20110904 to 20120514
Minor_axis axis: brand to price

then I use: pd_panel_data_master.to_frame().index
MultiIndex
[(20110904, brand), (20110905, brand), (20110906, brand), (20110907, brand), (20110908, brand), (20110909, brand), (20110910, brand), (20110911, brand), (20110912, brand), (20110913, brand), (20110914, brand), (20110915, brand), (20110916, brand), (20110917, brand), (20110918, brand), (20110919, brand), (20110920, brand), (20110921, brand), (20110922, brand), (20110923, brand), (20110924, brand), (20110925, brand), (20110926, brand), (20110927, brand), (20110928, brand), (20110929, brand), (20110930, brand), (20111001, brand), (20111002, brand), (20111003, brand), (20111004, brand), (20111005, brand), (20111006, brand), (20111007, brand), (20111008, brand), (20111009, brand), (20111010, brand), (20111011, brand), (20111012, brand), (20111013, brand), (20111014, brand), (20111015, brand), (20111016, brand), (20111017, brand), (20111018, brand), (20111019, brand), (20111020, brand), (20111021, brand), (20111022, brand), (20111023, brand), (20120326, brand), (20120327, brand), (20120328, brand), (20120329, brand), (20120330, brand), (20120331, brand), (20120401, brand), (20120402, brand), (20120403, brand), (20120404, brand), (20120405, brand), (20120406, brand), (20120407, brand), (20120408, brand), (20120409, brand), (20120410, brand), (20120411, brand), (20120412, brand), (20120413, brand), (20120414, brand), (20120415, brand), (20120416, brand), (20120417, brand), (20120418, brand), (20120419, brand), (20120420, brand), (20120421, brand), (20120422, brand), (20120423, brand), (20120424, brand), (20120425, brand), (20120426, brand), (20120427, brand), (20120428, brand), (20120429, brand), (20120430, brand), (20120501, brand), (20120502, brand), (20120503, brand), (20120504, brand), (20120505, brand), (20120506, brand), (20120507, brand), (20120508, brand), (20120509, brand), (20120510, brand), (20120511, brand), (20120512, brand), (20120513, brand), (20120514, brand)]

I don't get the (date, price) indexes... for the record, multi index object obtained is:
<class 'pandas.core.frame.DataFrame'>
MultiIndex: 254 entries, (20110904, brand) to (20120514, brand)
Columns: 9995 entries, 10000001 to 9700001
dtypes: object(9995)

Am I missing something here, or is there a real issue?

Cheers,

Etienne

PS: I upgraded to 0.11.0 version right after posting (:x) but the issue remains essentially the same (though the form of the output slightly changes)
