unpacking a sql select into a pandas dataframe

You can pass a cursor object to the DataFrame constructor. For postgres:

import psycopg2
conn = psycopg2.connect("dbname="db" user="user" host="host" password='pass'")
cur = conn.cursor()
cur.execute("select instrument, price, date from my_prices")
df = DataFrame(cur.fetchall(), columns=['instrument', 'price', 'date'])

then set index like

df.set_index('date', drop=False)

or directly:

df.index =  df['date']