BUG: #17778 - DataFrame.to_pickle() fails for .zip format on MacOS and pandas 0.20.3

[ghost]

• closes DataFrame.to_pickle() fails for .zip format on MacOS and pandas 0.20.3 pandas-dev/pandas#17778
• tests added / passed
• passes git diff upstream/master -u -- "*.py" | flake8 --diff
• whatsnew entry

[codecov-io]

Codecov Report

❗ No coverage uploaded for pull request base (master@1647a72). Click here to learn what that means.
The diff coverage is 100%.

@@            Coverage Diff            @@
##             master       #2   +/-   ##
=========================================
  Coverage          ?   91.36%           
=========================================
  Files             ?      164           
  Lines             ?    49891           
  Branches          ?        0           
=========================================
  Hits              ?    45582           
  Misses            ?     4309           
  Partials          ?        0

Flag	Coverage Δ
#multiple	89.17% <100%> (?)
#single	39.41% <15.78%> (?)

Impacted Files	Coverage Δ
pandas/io/common.py	69.74% <100%> (ø)
pandas/io/pickle.py	84.21% <100%> (ø)

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[ghost]

There are PermissionError on Windows AppVeyor build - I need to look closer into it.

[gkonefal-reef]

Update docstring as now it also uses 'zip' compression

[mzukowski-reef]

I really don't like it - I don't expect that _get_handle returns something other than file-like. Creating temp file is unacceptable - some buffered solution can be introduced.Unfortunately support for buffered zip writing is in Python 3.6, but we can backport it and place in: https://github.com/pandas-dev/pandas/blob/master/pandas/compat/

Python 3.6 supports mode='w' in Zipfile.open (https://github.com/python/cpython/blob/master/Lib/zipfile.py#L1312) so this whole commit for Python 3.6 could look like:

if mode == 'wb':
    f = zipfile.open('data.bin', mode='w')
else:
    # find filename and open for read

It should be really easy to backport for Python 3,x - backporting for Python 2.7 can be trickier