Combine multiple pandas dataframes taking one column at a time from each DataFrame

Question

I want to combine the following DataFrames:

DF1:
         value1   value2
index
    0       a0       b0
    1       a1       b1
    2       a2       b2
    3       a3       b3

DF2:
         value1   value2
index
    0       c0       d0
    1       c1       d1
    2       c2       d2
    3       c3       d3

DF3:
         value1   value2
index
    0       e0       f0
    1       e1       f1
    2       e2       f2
    3       e3       f3

I would like to combine them into a single DataFrame where we take one column from each DataFrame at a time. The columns should be named by the same column names in the first level and with a list of given names for the second level where this list has the same size as the number of DataFrames (in the example it is 3). The expected DataFrame would look like this for a list of names [M1, M2, DIF]:

         value1                     value2
            M1       M2       DIF      M1       M2       DIF
index                                              
    0       a0       c0       e0       b0       d0       f0
    1       a1       c1       e1       b1       d1       f1
    2       a2       c2       e2       b2       d2       f2
    3       a3       c3       e3       b3       d3       f3

What is the easiest/fastest way to do this?

Answer 1

Let us do concat

df=pd.concat([df1,df1,df1],keys=list('ABC'),axis=1).swaplevel(0,1,axis=1).sort_index(level=0,axis=1)


      value1         value2        
           A   B   C      A   B   C
index                              
0         a0  a0  a0     b0  b0  b0
1         a1  a1  a1     b1  b1  b1
2         a2  a2  a2     b2  b2  b2
3         a3  a3  a3     b3  b3  b3

Update

l=['M1', 'M2', 'DIF']
pd.concat([df1,df1,df1],keys=['M1', 'M2', 'DIF'],axis=1).swaplevel(0,1,axis=1).reindex(columns=pd.MultiIndex.from_product([list(df1),l]))
      value1         value2        
          M1  M2 DIF     M1  M2 DIF
index                              
0         a0  a0  a0     b0  b0  b0
1         a1  a1  a1     b1  b1  b1
2         a2  a2  a2     b2  b2  b2
3         a3  a3  a3     b3  b3  b3