store = pd.HDFStore('compiled_measurements.h5')
for filepath in file_iterator:
    raw = pd.read_csv(filepath)
store.append('measurements', raw, index=False)
store.create_table_index('measurements', columns=['a', 'b', 'c'], optlevel=
    9, kind='full')
store.close()
Итеративная запись в магазины HDF5 в Pandas