Cannot produce DataFrame from dict-yielding iterator.
Hi there,

I have a codebase that (so far) consumes data series in the form of dict-yielding iterators, similar in form to how DataFrame's constructor accepts a list of such. Unfortunately it seems from current implementation of that constructor, there is no straightforward way to consume from an iterator straight into a DataFrame.

For example, I have a row factory for sqlite3 written in C that produces dicts. If pandas would accept an iterator, it should be possible to consume a series directly from speedy storage code into speedy data structure code. :)

Is there an inherent limitation preventing this? Otherwise with a few pointers I would be willing to try contribute the patch myself.

Thanks,

David
