How to use pandas to find consecutive same data in time series

This should do it

df['value_grp'] = (df.Values.diff(1) != 0).astype('int').cumsum()

value_grp will increment by one whenever Value changes. Below, you can extract the group results

pd.DataFrame({'BeginDate' : df.groupby('value_grp').Date.first(), 
              'EndDate' : df.groupby('value_grp').Date.last(),
              'Consecutive' : df.groupby('value_grp').size(), 
              'No' : df.groupby('value_grp').No.first()}).reset_index(drop=True)