pandas-to-hdf5.py

with h5py.File('data.hdf5', 'w') as file:
    dataset = file.create_dataset('dataset', data=df.values)
    dataset.attrs['index'] = np.array(df.index.tolist(), dtype='S')
    dataset.attrs['columns'] = np.array(df.columns.tolist(), dtype='S')


def make_index(raw):
    index = raw.astype('U')
    if index.ndim > 1:
        return pd.MultiIndex.from_tuples(index.tolist())
    else:
        return pd.Index(index)


with h5py.File('data.hdf5') as file:
    dataset = file['dataset']
    index = make_index(dataset.attrs['index'])
    columns = make_index(dataset.attrs['columns'])
    df = pd.DataFrame(data=dataset[...], index=index, columns=columns)