I am trying to concat the following dataframes:

df1

                                price   side timestamp
timestamp           
2016-01-04 00:01:15.631331072   0.7286  2   1451865675631331
2016-01-04 00:01:15.631399936   0.7286  2   1451865675631400
2016-01-04 00:01:15.631860992   0.7286  2   1451865675631861
2016-01-04 00:01:15.631866112   0.7286  2   1451865675631866

and:

df2

                                bid     bid_size offer  offer_size
timestamp               
2016-01-04 00:00:31.331441920   0.7284  4000000 0.7285  1000000
2016-01-04 00:00:53.631324928   0.7284  4000000 0.7290  4000000
2016-01-04 00:01:03.131234048   0.7284  5000000 0.7286  4000000
2016-01-04 00:01:12.131444992   0.7285  1000000 0.7286  4000000
2016-01-04 00:01:15.631364096   0.7285  4000000 0.7290  4000000

With

 data = pd.concat([df1,df2], axis=1)  

But I get the follwing output:

InvalidIndexError                         Traceback (most recent call last)
<ipython-input-38-2e88458f01d7> in <module>()
----> 1 data = pd.concat([df1,df2], axis=1)
      2 data = data.fillna(method='pad')
      3 data = data.fillna(method='bfill')
      4 data['timestamp'] =  data.index.values#converting to datetime
      5 data['timestamp'] = pd.to_datetime(data['timestamp'])#converting to datetime

/usr/local/lib/python2.7/site-packages/pandas/tools/merge.pyc in concat(objs, axis, join, join_axes, ignore_index, keys, levels, names, verify_integrity, copy)
    810                        keys=keys, levels=levels, names=names,
    811                        verify_integrity=verify_integrity,
--> 812                        copy=copy)
    813     return op.get_result()
    814 

/usr/local/lib/python2.7/site-packages/pandas/tools/merge.pyc in __init__(self, objs, axis, join, join_axes, keys, levels, names, ignore_index, verify_integrity, copy)
    947         self.copy = copy
    948 
--> 949         self.new_axes = self._get_new_axes()
    950 
    951     def get_result(self):

/usr/local/lib/python2.7/site-packages/pandas/tools/merge.pyc in _get_new_axes(self)
   1013                 if i == self.axis:
   1014                     continue
-> 1015                 new_axes[i] = self._get_comb_axis(i)
   1016         else:
   1017             if len(self.join_axes) != ndim - 1:

/usr/local/lib/python2.7/site-packages/pandas/tools/merge.pyc in _get_comb_axis(self, i)
   1039                 raise TypeError("Cannot concatenate list of %s" % types)
   1040 
-> 1041         return _get_combined_index(all_indexes, intersect=self.intersect)
   1042 
   1043     def _get_concat_axis(self):

/usr/local/lib/python2.7/site-packages/pandas/core/index.pyc in _get_combined_index(indexes, intersect)
   6120             index = index.intersection(other)
   6121         return index
-> 6122     union = _union_indexes(indexes)
   6123     return _ensure_index(union)
   6124 

/usr/local/lib/python2.7/site-packages/pandas/core/index.pyc in _union_indexes(indexes)
   6149 
   6150         if hasattr(result, 'union_many'):
-> 6151             return result.union_many(indexes[1:])
   6152         else:
   6153             for other in indexes[1:]:

/usr/local/lib/python2.7/site-packages/pandas/tseries/index.pyc in union_many(self, others)
    959             else:
    960                 tz = this.tz
--> 961                 this = Index.union(this, other)
    962                 if isinstance(this, DatetimeIndex):
    963                     this.tz = tz

/usr/local/lib/python2.7/site-packages/pandas/core/index.pyc in union(self, other)
   1553                 result.extend([x for x in other._values if x not in value_set])
   1554         else:
-> 1555             indexer = self.get_indexer(other)
   1556             indexer, = (indexer == -1).nonzero()
   1557 

/usr/local/lib/python2.7/site-packages/pandas/core/index.pyc in get_indexer(self, target, method, limit, tolerance)
   1890 
   1891         if not self.is_unique:
-> 1892             raise InvalidIndexError('Reindexing only valid with uniquely'
   1893                                     ' valued Index objects')
   1894 

InvalidIndexError: Reindexing only valid with uniquely valued Index objects  

I have removed additional columns and removed duplicates and NA where there could be a conflict - but I simply do not know what's wrong.

pd.concat requires that the indices be unique. To remove rows with duplicate indices, use

df = df.loc[~df.index.duplicated(keep='first')]

import pandas as pd
from pandas import Timestamp

df1 = pd.DataFrame(
    {'price': [0.7286, 0.7286, 0.7286, 0.7286],
     'side': [2, 2, 2, 2],
     'timestamp': [1451865675631331, 1451865675631400,
                  1451865675631861, 1451865675631866]},
    index=pd.DatetimeIndex(['2000-1-1', '2000-1-1', '2001-1-1', '2002-1-1']))


df2 = pd.DataFrame(
    {'bid': [0.7284, 0.7284, 0.7284, 0.7285, 0.7285],
     'bid_size': [4000000, 4000000, 5000000, 1000000, 4000000],
     'offer': [0.7285, 0.729, 0.7286, 0.7286, 0.729],
     'offer_size': [1000000, 4000000, 4000000, 4000000, 4000000]},
    index=pd.DatetimeIndex(['2000-1-1', '2001-1-1', '2002-1-1', '2003-1-1', '2004-1-1']))


df1 = df1.loc[~df1.index.duplicated(keep='first')]
#              price  side         timestamp
# 2000-01-01  0.7286     2  1451865675631331
# 2001-01-01  0.7286     2  1451865675631861
# 2002-01-01  0.7286     2  1451865675631866

df2 = df2.loc[~df2.index.duplicated(keep='first')]
#                bid  bid_size   offer  offer_size
# 2000-01-01  0.7284   4000000  0.7285     1000000
# 2001-01-01  0.7284   4000000  0.7290     4000000
# 2002-01-01  0.7284   5000000  0.7286     4000000
# 2003-01-01  0.7285   1000000  0.7286     4000000
# 2004-01-01  0.7285   4000000  0.7290     4000000

result = pd.concat([df1, df2], axis=0)
print(result)
               bid  bid_size   offer  offer_size   price  side     timestamp
2000-01-01     NaN       NaN     NaN         NaN  0.7286     2  1.451866e+15
2001-01-01     NaN       NaN     NaN         NaN  0.7286     2  1.451866e+15
2002-01-01     NaN       NaN     NaN         NaN  0.7286     2  1.451866e+15
2000-01-01  0.7284   4000000  0.7285     1000000     NaN   NaN           NaN
2001-01-01  0.7284   4000000  0.7290     4000000     NaN   NaN           NaN
2002-01-01  0.7284   5000000  0.7286     4000000     NaN   NaN           NaN
2003-01-01  0.7285   1000000  0.7286     4000000     NaN   NaN           NaN
2004-01-01  0.7285   4000000  0.7290     4000000     NaN   NaN           NaN

Note there is also pd.join, which can join DataFrames based on their indices, and handle non-unique indices based on the how parameter. Rows with duplicate index are not removed.

In [94]: df1.join(df2)
Out[94]: 
             price  side         timestamp     bid  bid_size   offer  \
2000-01-01  0.7286     2  1451865675631331  0.7284   4000000  0.7285   
2000-01-01  0.7286     2  1451865675631400  0.7284   4000000  0.7285   
2001-01-01  0.7286     2  1451865675631861  0.7284   4000000  0.7290   
2002-01-01  0.7286     2  1451865675631866  0.7284   5000000  0.7286   

            offer_size  
2000-01-01     1000000  
2000-01-01     1000000  
2001-01-01     4000000  
2002-01-01     4000000  

In [95]: df1.join(df2, how='outer')
Out[95]: 
             price  side     timestamp     bid  bid_size   offer  offer_size
2000-01-01  0.7286     2  1.451866e+15  0.7284   4000000  0.7285     1000000
2000-01-01  0.7286     2  1.451866e+15  0.7284   4000000  0.7285     1000000
2001-01-01  0.7286     2  1.451866e+15  0.7284   4000000  0.7290     4000000
2002-01-01  0.7286     2  1.451866e+15  0.7284   5000000  0.7286     4000000
2003-01-01     NaN   NaN           NaN  0.7285   1000000  0.7286     4000000
2004-01-01     NaN   NaN           NaN  0.7285   4000000  0.7290     4000000