from io import StringIO
csv = """dummy,date,loc,x
bar,20090101,a,1
bar,20090102,a,3
bar,20090103,a,5
bar,20090101,b,1
bar,20090102,b,3
bar,20090103,b,5"""
df = pd.read_csv(StringIO(csv), header=0, index_col=['date', 'loc'],
    usecols=['date', 'loc', 'x'], parse_dates=['date'])
pandas read_csv and filter columns with usecols