issue #27642 - timedelta merge asof with tolerance

doc/source/whatsnew/v0.25.1.rst

@@ -42,7 +42,7 @@ Datetimelike
 
 Timedelta
 ^^^^^^^^^
-
+    
 -
 -
 -
@@ -129,7 +129,7 @@ Reshaping
 ^^^^^^^^^
 
 - A ``KeyError`` is now raised if ``.unstack()`` is called on a :class:`Series` or :class:`DataFrame` with a flat :class:`Index` passing a name which is not the correct one (:issue:`18303`)
--
+- Bug in ``.merge_asof(tolerance=tolerance)`` could not merge :class:`Timedelta` objects (:issue:`27642`)
 -
 
 Sparse

pandas/core/reshape/merge.py

@@ -35,6 +35,7 @@
     is_number,
     is_numeric_dtype,
     is_object_dtype,
+    is_timedelta64_dtype,
     needs_i8_conversion,
 )
 from pandas.core.dtypes.missing import isnull, na_value_for_dtype
@@ -1635,7 +1636,11 @@ def _get_merge_keys(self):
                 )
             )
 
-            if is_datetime64_dtype(lt) or is_datetime64tz_dtype(lt):
+            if (
+                is_datetime64_dtype(lt)
+                or is_datetime64tz_dtype(lt)
+                or is_timedelta64_dtype(lt)
+            ):
                 if not isinstance(self.tolerance, Timedelta):
                     raise MergeError(msg)
                 if self.tolerance < Timedelta(0):

pandas/tests/reshape/merge/test_merge_asof.py

@@ -1,4 +1,5 @@
 import numpy as np
+import datetime
 import pytest
 import pytz
 
@@ -599,6 +600,19 @@ def test_tolerance(self):
         expected = self.tolerance
         assert_frame_equal(result, expected)
 
+    def test_datetime_timedelta_tolerance(self):
+        # this will fail
+
+        trades = self.trades
+        quotes = self.quotes
+
+        result = merge_asof(
+            trades, quotes, on="time", by="ticker", tolerance=datetime.timedelta(days=1)
+        )
+        expected = self.tolerance
+
+        assert_frame_equal(result, expected)
+
     def test_tolerance_forward(self):
         # GH14887
 
@@ -1246,3 +1260,34 @@ def test_by_mixed_tz_aware(self):
         )
         expected["value_y"] = np.array([np.nan], dtype=object)
         assert_frame_equal(result, expected)
+
+    def test_timedelta_tolerance_nearest(self):
+        # GH 27642
+
+        left = pd.DataFrame(
+            {
+                "time": pd.to_timedelta([0, 5, 10, 15, 20, 25], "ms"),
+                "left": [0, 1, 2, 3, 4, 5],
+            }
+        )
+
+        right = pd.DataFrame(
+            {
+                "time": pd.to_timedelta([0, 3, 9, 12, 15, 18], "ms"),
+                "right": [0, 1, 2, 3, 4, 5],
+            }
+        )
+
+        expected = pd.DataFrame(
+            {
+                "time": pd.to_timedelta([0, 5, 10, 15, 20, 25], "ms"),
+                "left": [0, 1, 2, 3, 4, 5],
+                "right": [0, np.nan, 2, 4, np.nan, np.nan],
+            }
+        )
+
+        result = pd.merge_asof(
+            left, right, on="time", tolerance=pd.Timedelta("1ms"), direction="nearest"
+        )
+
+        assert_frame_equal(result, expected)