How to Identify p (lag order) for ARIMA Model in Python
Got it by following code:

    import pandas as pd    
    k=0
    highestCorr = 0
    for i in range(1,10):
        cor = pd.Series.autocorr(series, lag=i)
        if(cor &gt; highestCorr):
            highestCorr = cor
            k=i