Inserting data from python list into a pandas dataframe

[mahmoud899]

I have the following files in AAMC_K.txt, AAU.txt, ACU.txt, ACY.txt, and AE.txt in a folder called AMEX. I am trying to merge these text files into one dataframe. I have tried to do so with pd.merge() but I get an error that the merge function needs a right and left parameter and my data is in a python list. How can I merge the data in the data_list into one pandas dataframe.

import pandas as pd
import os

textfile_names = os.listdir("AMEX")
textfile_names.sort()
data_list = []

for i in range(len(textfile_names)):
   data = pd.read_csv("AMEX/"+textfile_names[i], index_col=None, header=0)
   data_list.append(data)

frame = pd.merge(data_list, on='<DTYYYYMMDD>', how='outer')

Data:

Output:
"AE.txt"
<TICKER>,<PER>,<DTYYYYMMDD>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>,<OPENINT>
AE,D,19970102,000000,12.6250,12.6250,11.7500,11.7500,144,0
AE,D,19970103,000000,11.8750,12.1250,11.8750,12.1250,25,0

AAU.txt
<TICKER>,<PER>,<DTYYYYMMDD>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>,<OPENINT>
AAU,D,20020513,000000,0.4220,0.4220,0.4220,0.4220,0,0
AAU,D,20020514,000000,0.4177,0.4177,0.4177,0.4177,0,0

ACU.txt
<TICKER>,<PER>,<DTYYYYMMDD>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>,<OPENINT>
ACU,D,19970102,000000,5.2500,5.3750,5.1250,5.1250,52,0
ACU,D,19970103,000000,5.1250,5.2500,5.0625,5.2500,12,0

ACY.txt
<TICKER>,<PER>,<DTYYYYMMDD>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>,<OPENINT>
ACY,D,19980116,000000,9.7500,9.7500,8.8125,8.8125,289,0
ACY,D,19980120,000000,8.7500,8.7500,8.1250,8.1250,151,0

I want the output to be filtered with the DTYYYYMMDD and put into one dataframe frame.

Output:
<TICKER>,<PER>,<DTYYYMMDD>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>,<OPENINT>,<TICKER>,<PER>,<DTYYYMMDD>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>,<OPENINT>
ACU,D,19970102,000000,5.2500,5.3750,5.1250,5.1250,52,0,AE,D,19970102,000000,12.6250,12.6250,11.7500,11.7500,144,0
ACU,D,19970103,000000,5.1250,5.2500,5.0625,5.2500,12,0,AE,D,19970103,000000,11.8750,12.1250,11.8750,12.1250,25,0

** Moderator Note ** Use python, not icode for more than 1 line of code