BUG: reset_index of level on a MultiIndex with NaT converts to np.nan

[emsems]

Not sure if it's know already, but couldn't find any open issues.
It's similar to this closed one:
#10388

using pandas 0.17 and numpy 1.10.1

code to reproduce the issues:

import pandas as pd
from pandas import DataFrame
import numpy as np

idx = np.arange(0, 10)  # could have an NaN?
tstamp = pd.date_range('201507010000', freq='h', periods=10).values
df = DataFrame({'id': idx, 'tstamp': tstamp, 'a': list('abcdefghij')})
df.loc[3, 'tstamp'] = pd.NaT

print 'without timezone:'
try:
    a = df.set_index(['id', 'tstamp']).reset_index('tstamp')
    print 'a works'
except Exception as e:
    print 'a fails: %s: %s' %(e.__class__.__name__, e)
try:
    b = df.set_index(['id', 'tstamp']).reset_index('tstamp').reset_index('id')
    print 'b works'
except Exception as e:
    print 'b fails: %s: %s' %(e.__class__.__name__, e)
try:
    c =  df.set_index(['id', 'tstamp']).reset_index()
    print 'c works'
except Exception as e:
    print 'c fails: %s: %s' %(e.__class__.__name__, e)
try:
    d =  df.set_index(['id', 'tstamp']).reset_index('id')
    print 'd works'
except Exception as e:
    print 'd fails: %s: %s' %(e.__class__.__name__, e)
print 'with timezone:'
df['tstamp'] = pd.DatetimeIndex(df['tstamp']).tz_localize('Europe/Berlin')
try:
    a = df.set_index(['id', 'tstamp']).reset_index('tstamp')
    print 'a works'
except Exception as e:
    print 'a fails: %s: %s' %(e.__class__.__name__, e)
try:
    b = df.set_index(['id', 'tstamp']).reset_index('tstamp').reset_index('id')
    print 'b works'
except Exception as e:
    print 'b fails: %s: %s' %(e.__class__.__name__, e)
try:
    c =  df.set_index(['id', 'tstamp']).reset_index()
    print 'c works'
except Exception as e:
    print 'c fails: %s: %s' %(e.__class__.__name__, e)
try:
    d =  df.set_index(['id', 'tstamp']).reset_index('id')
    print 'd works'
except Exception as e:
    print 'd fails: %s: %s' %(e.__class__.__name__, e)

Output:
without timezone:
a works
b works
c works
d fails: ValueError: Could not convert object to NumPy datetime
with timezone:
a fails: TypeError: data type not understood
b fails: TypeError: data type not understood
c fails: TypeError: data type not understood
d fails: ValueError: Could not convert object to NumPy datetime

Can you suggest any workaround?

[jreback]

a lot of these are actually fixed by #11343 as we will be catching these errors in putmask.
cc @sinhrks

all of that said, you generallly do not want NaN's of any kind in the multiindex it makes your index non-performant and simply hard to work with w.r.t. indexing.

what are you actually trying to do?

[emsems]

Hi, thanks for picking this up!

Yeah, I understand it’s not ideal to have NaN in the index. However I wrote a class (actually a number of classes) to do my data evaluation, which need a DataFrame of a defined structure in it’s .data property. Datapoints always have an index and mostly a timestamp as well. The index is unique, the timestamp not always, but mostly. Therefore, I figured it would be generally good to have them both in a MultiIndex (because if there is timestamp information, I usually use this to select data).
In some evaluations I prefer for simplicity to have only one oft he two in the index, therefore the drop_index, which is used internally in a method of one of my classes.
I hope this makes some sense without all the context...

[mroeschke]

These example all work on master. Could use tests:

In [189]: import pandas as pd
     ...: from pandas import DataFrame
     ...: import numpy as np
     ...:
     ...: idx = np.arange(0, 10)  # could have an NaN?
     ...: tstamp = pd.date_range('201507010000', freq='h', periods=10).values
     ...: df = DataFrame({'id': idx, 'tstamp': tstamp, 'a': list('abcdefghij')})
     ...: df.loc[3, 'tstamp'] = pd.NaT

In [190]: a = df.set_index(['id', 'tstamp']).reset_index('tstamp')

In [191]: b = df.set_index(['id', 'tstamp']).reset_index('tstamp').reset_index('id')

In [192]: c =  df.set_index(['id', 'tstamp']).reset_index()

In [194]: d =  df.set_index(['id', 'tstamp']).reset_index('id')

In [195]: df['tstamp'] = pd.DatetimeIndex(df['tstamp']).tz_localize('Europe/Berlin')

In [196]: a = df.set_index(['id', 'tstamp']).reset_index('tstamp')

In [197]: b = df.set_index(['id', 'tstamp']).reset_index('tstamp').reset_index('id')

In [198]: c =  df.set_index(['id', 'tstamp']).reset_index()

In [199]: d =  df.set_index(['id', 'tstamp']).reset_index('id')

In [200]: pd.__version__
Out[200]: '0.26.0.dev0+593.g9d45934af'