API: allow read_pickle to read from strings (and not just files)

[jreback]

brought up in #5661 , #5894

[ghost]

omg #5954

[jreback]

should we have pd.read_pickles/pd.read_jsons/pd.read_msgpacks ?

[ghost]

Yeah, I thought of that. I think that'd be fine.

[jreback]

then could have read_csvs to be consistent, instead of constantly read_csv(StringIO(data)......)

should be straightforward to create these automatically in io/api.py even

[ghost]

All sounds good to me.

[jakirkham]

FWIW with pickle protocol 5 one can do the following...

In [1]: import pickle
   ...: 
   ...: import pandas as pd

In [2]: df = pd.DataFrame({"i": [1, 2, 3], "f": [0.0, 0.5, 1.0]})

In [3]: L = []
   ...: h = pickle.dumps(df, protocol=5, buffer_callback=L.append)

In [4]: pickle.loads(h, buffers=L)
Out[4]: 
   i    f
0  1  0.0
1  2  0.5
2  3  1.0

So it should be possible to feed in a series of buffers this way

[mroeschke]

Closed related to #53767 (comment)