Multiindex and/or building minute bars

[ldgantos]

Seems I cannot have multiindexes in my frame when storing data ...

how do you handle minute bars ... especially for when you are doing futures when it crosses days...
I have columns like this
['date','time','bid','ask','open','high','low','close','volume','session']

where date is the 'Trade Date' of the minute bar ... and time is the datetime of occurrence using a multiindex similar to how I did it when using Arctic... but pystore gives me an error when writing this that multiindexes are NOT allowed.

What can I do that gives me the flexibility I require here? as Futures start at 18:00EST previous day and go thru 17:00 the next day which is the 'Trade Date'. Is there a better way?

Your sample code is good but it doesn't show how to handle anything like minute bar data ... which would be very helpful as I couldn't find any code out there that would help me with this.

thanks.

[gnzsnz]

dask does not support multiIndex. if you need muliIndex then pystore(due to dask as it's backend) won't do it.