title: Parsing datetime from csv in pandas does not yield DateTimeIndex
body: <p>I'm exploring Pandas - trying to learn and apply it. Currently I have a csv file populated with a financial timeseries data of following structure:</p>
  
  <p><code>date, time, open, high, low, close, volume
  2003.04.08,12:00,1.06830,1.06960,1.06670,1.06690,446
  2003.04.08,13:00,1.06700,1.06810,1.06570,1.06630,433
  2003.04.08,14:00,1.06650,1.06810,1.06510,1.06670,473
  2003.04.08,15:00,1.06670,1.06890,1.06630,1.06850,556
  2003.04.08,16:00,1.06840,1.07050,1.06610,1.06680,615</code></p>
  
  <p>Now I want to convert the csv data into a pandas DataFrame object, so that date and time fields merge and become the DateTimeIndex of the DataFrame like this:</p>
  
  <pre><code>df = pa.read_csv(path,
                   names = ['date', 'time', 'open', 'high', 'low', 'close', 'vol'],
                   parse_dates = {'dateTime': ['date', 'time']},  
                   index_col = 'dateTime')
  </code></pre>
  
  <p>This works yielding a nice DataFrame object:</p>
  
  <pre><code>&lt;class 'pandas.core.frame.DataFrame'&gt;
  Index: 8676 entries, 2003.04.08 12:00 to nan nan
  Data columns (total 5 columns):
  open     8675  non-null values
  high     8675  non-null values
  low      8675  non-null values
  close    8675  non-null values
  vol      8675  non-null values
  dtypes: float64(5)
  </code></pre>
  
  <p>But upon inspection it turns out that the Index is not a DataTimeIndex but unicode strings instead:</p>
  
  <pre><code>type(df.index)
  &gt;&gt;&gt; pandas.core.index.Index
  df.index
  &gt;&gt;&gt; Index([u'2003.04.08 12:00', u'2003.04.08 13:00', u'2003.04.08 14:00', ....
  </code></pre>
  
  <p><p><p>
  So <code>read_csv</code> parsed the date and time fields, merged them but did not create a DateTimeIndex. As far as I understood from the <a href="http://pandas.pydata.org/pandas-docs/dev/timeseries.html">documentation</a> a new datastructure object supplied with a list of datetime objects should automatically create a DateTimeIndex. Am I wrong? Is the DataFrame object an exception?</p>
  
  <p>I also tried to convert the current index like this:</p>
  
  <pre><code>df.index = pa.to_datetime(df.index)
  </code></pre>
  
  <p>but no changes have been made to the index and it is still in unicode format. I begin to suspect the default parsing functions aren't doing their job, but I don't get any error messages from them.</p>
  
  <p>How to get a working DateTimeIndex in a DateFrame in this situation?</p>
  
  <p><strong>Solution:</strong></p>
  
  <pre><code>df = pa.read_csv(path,
                   names = ['date', 'time', 'open', 'high', 'low', 'close', 'vol'],
                   parse_dates={'datetime':['date','time']},
                   keep_date_col = True, 
                   index_col='datetime'
               )
  </code></pre>
  
  <p>now apply the lambda function, doing what the parser should have done:</p>
  
  <pre><code>df['datetime'] = df.apply(lambda row: datetime.datetime.strptime(row['date']+ ':' + row['time'], '%Y.%m.%d:%H:%M'), axis=1)
  </code></pre>