CLN: to_pickle internals
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`

# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25044?src=pr&el=h1) Report
> Merging [#25044](https://codecov.io/gh/pandas-dev/pandas/pull/25044?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/4cbee179bd9ced459ef7865297110ec7e86f213f?src=pr&el=desc) will **not change** coverage.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/25044/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/25044?src=pr&el=tree)

```diff
@@           Coverage Diff           @@
##           master   #25044   +/-   ##
=======================================
  Coverage   92.38%   92.38%           
=======================================
  Files         166      166           
  Lines       52401    52401           
=======================================
  Hits        48409    48409           
  Misses       3992     3992
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.8% <100%> (ø)` | :arrow_up: |
| #single | `42.88% <100%> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/25044?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/compat/pickle\_compat.py](https://codecov.io/gh/pandas-dev/pandas/pull/25044/diff?src=pr&el=tree#diff-cGFuZGFzL2NvbXBhdC9waWNrbGVfY29tcGF0LnB5) | `75.6% <100%> (ø)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25044?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25044?src=pr&el=footer). Last update [4cbee17...3624cdd](https://codecov.io/gh/pandas-dev/pandas/pull/25044?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25044?src=pr&el=h1) Report
> Merging [#25044](https://codecov.io/gh/pandas-dev/pandas/pull/25044?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/4cbee179bd9ced459ef7865297110ec7e86f213f?src=pr&el=desc) will **not change** coverage.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/25044/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/25044?src=pr&el=tree)

```diff
@@           Coverage Diff           @@
##           master   #25044   +/-   ##
=======================================
  Coverage   92.38%   92.38%           
=======================================
  Files         166      166           
  Lines       52401    52401           
=======================================
  Hits        48409    48409           
  Misses       3992     3992
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.8% <100%> (ø)` | :arrow_up: |
| #single | `42.88% <100%> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/25044?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/compat/pickle\_compat.py](https://codecov.io/gh/pandas-dev/pandas/pull/25044/diff?src=pr&el=tree#diff-cGFuZGFzL2NvbXBhdC9waWNrbGVfY29tcGF0LnB5) | `75.6% <100%> (ø)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25044?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25044?src=pr&el=footer). Last update [4cbee17...6f401e4](https://codecov.io/gh/pandas-dev/pandas/pull/25044?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 I didn't find any direct issues related to refactoring/cleaning to_pickle. The closest issue is regarding how far back we should be supporting pickles from prior editions. https://github.com/pandas-dev/pandas/issues/19581

Here the asv for the pickle benchmarks.

```
$ asv continuous -f 1.1 upstream/master HEAD -b io.pickle.Pickle
· Creating environments
· Discovering benchmarks
· Running 4 total benchmarks (2 commits * 1 environments * 2 benchmarks)
[  0.00%] · For pandas commit da5f5eb6 <master> (round 1/2):
[  0.00%] ·· Building for conda-py3.6-Cython-matplotlib-numexpr-numpy-openpyxl-pytables-pytest-scipy-sqlalchemy-xlrd-xlsxwriter-xlwt...........................................................................
[  0.00%] ·· Benchmarking conda-py3.6-Cython-matplotlib-numexpr-numpy-openpyxl-pytables-pytest-scipy-sqlalchemy-xlrd-xlsxwriter-xlwt
[ 12.50%] ··· Running (io.pickle.Pickle.time_read_pickle--)..
[ 25.00%] · For pandas commit 35c1fc0c <to_pickle_cleanup> (round 1/2):
[ 25.00%] ·· Building for conda-py3.6-Cython-matplotlib-numexpr-numpy-openpyxl-pytables-pytest-scipy-sqlalchemy-xlrd-xlsxwriter-xlwt....
[ 25.00%] ·· Benchmarking conda-py3.6-Cython-matplotlib-numexpr-numpy-openpyxl-pytables-pytest-scipy-sqlalchemy-xlrd-xlsxwriter-xlwt
[ 37.50%] ··· Running (io.pickle.Pickle.time_read_pickle--)..
[ 50.00%] · For pandas commit 35c1fc0c <to_pickle_cleanup> (round 2/2):
[ 50.00%] ·· Benchmarking conda-py3.6-Cython-matplotlib-numexpr-numpy-openpyxl-pytables-pytest-scipy-sqlalchemy-xlrd-xlsxwriter-xlwt
[ 62.50%] ··· io.pickle.Pickle.time_read_pickle                                                                                16.2±2ms
[ 75.00%] ··· io.pickle.Pickle.time_write_pickle                                                                             19.5±0.8ms
[ 75.00%] · For pandas commit da5f5eb6 <master> (round 2/2):
[ 75.00%] ·· Building for conda-py3.6-Cython-matplotlib-numexpr-numpy-openpyxl-pytables-pytest-scipy-sqlalchemy-xlrd-xlsxwriter-xlwt....
[ 75.00%] ·· Benchmarking conda-py3.6-Cython-matplotlib-numexpr-numpy-openpyxl-pytables-pytest-scipy-sqlalchemy-xlrd-xlsxwriter-xlwt
[ 87.50%] ··· io.pickle.Pickle.time_read_pickle                                                                                19.6±2ms
[100.00%] ··· io.pickle.Pickle.time_write_pickle                                                                             20.5±0.3ms

BENCHMARKS NOT SIGNIFICANTLY CHANGED.
``` thanks @mroeschke 