This code achieves what you want --- also its weird and certainly buggy:
I observed that it works when:
a) you specify the index_col
rel. to the number of columns you really use -- so its three columns in this example, not four (you drop dummy
and start counting from then onwards)
b) same for parse_dates
c) not so for usecols
;) for obvious reasons
d) here I adapted the names
to mirror this behaviour
import pandas as pd
from StringIO import StringIO
csv = """dummy,date,loc,x
bar,20090101,a,1
bar,20090102,a,3
bar,20090103,a,5
bar,20090101,b,1
bar,20090102,b,3
bar,20090103,b,5
"""
df = pd.read_csv(StringIO(csv),
index_col=[0,1],
usecols=[1,2,3],
parse_dates=[0],
header=0,
names=["date", "loc", "", "x"])
print df
which prints
x
date loc
2009-01-01 a 1
2009-01-02 a 3
2009-01-03 a 5
2009-01-01 b 1
2009-01-02 b 3
2009-01-03 b 5