Pandas: Milliseconds Dropped When Writing Data To MySQL

I'm trying to get a DataFrame with millisecond timestamps into a MySQL database. However, when doing this, the millisecond part seems to be dropped. I've created a working example

Solution 1:

As noted in the comments, you need MySQL v5.6.4+ for fractional seconds support (docs).
But, as the docs explain, you need to specify this explicitly as DATETIME(fsp), where fsp is the fractional seconds precision, to enable this in the datetime column.

The default in to_sql is to just use DateTime (the default sqlalchemy datetime type). You can however override this default with the dtype argument and use the MySQL specific DATETIME type specifying the precision:

In [11]: from sqlalchemy.dialects.mysql import DATETIME

In [12]: df.to_sql('trading_data', engine, dtype={'date_time': DATETIME(fsp=6)}, if_exists='replace', index=False)

In [13]: df_sql = pd.read_sql_query('SELECT * FROM trading_data', engine)

In [14]: df_sql.head()
Out[14]:
                   date_time     price
0        2000-01-01 09:00:00  0.152087
1 2000-01-01 09:00:00.005000  0.927375
2 2000-01-01 09:00:00.010000  0.540021
3 2000-01-01 09:00:00.015000  0.499529
4 2000-01-01 09:00:00.020000  0.797420

Note: you need pandas 0.15.2+ for this dtype argument.