As Jeff points out, since this is a MulitIndex column you should use a tuple to access it:
resampled_data['price']['close']
resampled_data[('price', 'close')]
resampled_data.loc[:, ('price', 'close')] # equivalent
This also disaembiguates it from take the column and the row:
resampled_data.loc['close', 'price']
(which is what pandas was trying to do when it gave the KeyError.)
You'll usually see the SettingWithCopy warning if you use consecutive [] in your code, and the are best combined into one [] e.g. using loc:
resampled_data.loc['price']['close'] = ... # this *may* set to a copy
If you do set to a copy (sometime the above may actually not be a copy, but pandas makes no guarantee here), the copy will correctly updated but then immediately garbage collected.
Aside: as mentioned in comments resample offers how='ohlc'
, so you may be best of doing this, padding, filling and then joining with the resampled volumes.