How to fill the missing record of Pandas dataframe in pythonic way?

You need to construct your full index, and then use the reindex method of the dataframe. Like so…

import pandas
import StringIO
datastring = StringIO.StringIO("""\
C1,C2,C3,C4
A,A1,20,30
A,A2,20,30
A,A5,20,30
B,B2,20,30
B,B4,20,30""")

dataframe = pandas.read_csv(datastring, index_col=['C1', 'C2'])
full_index = [('A', 'A1'), ('A', 'A2'), ('A', 'A3'), 
              ('A', 'A4'), ('A', 'A5'), ('B', 'B1'), 
              ('B', 'B2'), ('B', 'B3'), ('B', 'B4')]
new_df = dataframe.reindex(full_index)
new_df
      C3  C4
A A1  20  30
  A2  20  30
  A3 NaN NaN
  A4 NaN NaN
  A5  20  30
B B1 NaN NaN
  B2  20  30
  B3  20  30
  B4  20  30

And then you can use the fillna method to set the NaNs to whatever you want.

update (June 2014)

Just had to revisit this myself…
In the current version of pandas, there is a function to build MultiIndex from the Cartesian product of iterables. So the above solution could become:

datastring = StringIO.StringIO("""\
C1,C2,C3,C4
A,1,20,30
A,2,20,30
A,5,20,30
B,2,20,30
B,4,20,30""")

dataframe = pandas.read_csv(datastring, index_col=['C1', 'C2'])
full_index = pandas.MultiIndex.from_product([('A', 'B'), range(6)], names=['C1', 'C2'])
new_df = dataframe.reindex(full_index)
new_df
      C3  C4
C1 C2
 A  1  20  30
    2  20  30
    3 NaN NaN
    4 NaN NaN
    5  20  30
 B  1 NaN NaN
    2  20  30
    3  20  30
    4  20  30
    5 NaN NaN

Pretty elegant, in my opinion.