DEPR: rename to _consolidate and create deprecation warning
 - [x] closes #15483 
 - [x] tests added / passed
 - [x] passes ``git diff upstream/master | flake8 --diff``
 - [x] whatsnew entry

Test output:
```
running: pytest --skip-slow --skip-network pandas
============================= test session starts ==============================
platform linux2 -- Python 2.7.13, pytest-3.0.6, py-1.4.32, pluggy-0.4.0
rootdir: /home/sfoo/pandas, inifile: setup.cfg
collected 11882 items / 4 skipped

 10147 passed, 1662 skipped, 77 xfailed, 2084 pytest-warnings in 407.18 seconds  
```
@GuessWhoSamFoo We would like to have it the other way around. Have the deprecation warning in `consolidate` and not in `_consolidate` (so this last one can be used internally without warning). So you can leave the existing `consolidate` intact like it is now, apart from renaming it to `_consolidate`, and then add a new `consolidate` that has the deprecation warning and just calls `_consolidate` (not adding a new `_consolidate` like you did now). 
Further, you will also have to replace internal usage in the pandas codebase of `consolidate` to `_consolidate` to avoid raising the deprecation warning (that is the reason for the test failures). ```running: pytest --skip-slow --skip-network pandas
==================================== test session starts =====================================
platform linux2 -- Python 2.7.13, pytest-3.0.6, py-1.4.32, pluggy-0.4.0
rootdir: /home/sfoo/pandas, inifile: setup.cfg
collected 11882 items / 4 skipped 

======= 10147 passed, 1662 skipped, 77 xfailed, 2084 pytest-warnings in 419.22 seconds =======
```
The original `consolidate` has been left intact except for a line taken out of the docstring. Then I've changed instances of `consolidate` to `_consolidate` (even in tests) but still have the same number of failed tests/warnings. Am I missing something here? Squashed the last two commits with the changes from the feedback. Thank you for the guidance! # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/15501?src=pr&el=h1) Report
> Merging [#15501](https://codecov.io/gh/pandas-dev/pandas/pull/15501?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/e0647ba059e57cd391cba1296d7cc039e7b2fc7e?src=pr&el=desc) will **increase** coverage by `0.71%`.
> The diff coverage is `100%`.


```diff
@@            Coverage Diff             @@
##           master   #15501      +/-   ##
==========================================
+ Coverage   90.36%   91.08%   +0.71%     
==========================================
  Files         136      136              
  Lines       49552    49102     -450     
==========================================
- Hits        44780    44725      -55     
+ Misses       4772     4377     -395
```


| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/15501?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/groupby.py](https://codecov.io/gh/pandas-dev/pandas/compare/e0647ba059e57cd391cba1296d7cc039e7b2fc7e...4e927e6959c9587abc3c1bf7ade237edafee990a?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ3JvdXBieS5weQ==) | `95% <100%> (+0.01%)` | :white_check_mark: |
| [pandas/tseries/resample.py](https://codecov.io/gh/pandas-dev/pandas/compare/e0647ba059e57cd391cba1296d7cc039e7b2fc7e...4e927e6959c9587abc3c1bf7ade237edafee990a?src=pr&el=tree#diff-cGFuZGFzL3RzZXJpZXMvcmVzYW1wbGUucHk=) | `94.47% <100%> (ø)` | :white_check_mark: |
| [pandas/core/generic.py](https://codecov.io/gh/pandas-dev/pandas/compare/e0647ba059e57cd391cba1296d7cc039e7b2fc7e...4e927e6959c9587abc3c1bf7ade237edafee990a?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ2VuZXJpYy5weQ==) | `96.31% <100%> (ø)` | :white_check_mark: |
| [pandas/tools/concat.py](https://codecov.io/gh/pandas-dev/pandas/compare/e0647ba059e57cd391cba1296d7cc039e7b2fc7e...4e927e6959c9587abc3c1bf7ade237edafee990a?src=pr&el=tree#diff-cGFuZGFzL3Rvb2xzL2NvbmNhdC5weQ==) | `97.62% <100%> (ø)` | :white_check_mark: |
| [pandas/io/pytables.py](https://codecov.io/gh/pandas-dev/pandas/compare/e0647ba059e57cd391cba1296d7cc039e7b2fc7e...4e927e6959c9587abc3c1bf7ade237edafee990a?src=pr&el=tree#diff-cGFuZGFzL2lvL3B5dGFibGVzLnB5) | `93.9% <100%> (ø)` | :white_check_mark: |
| [pandas/util/decorators.py](https://codecov.io/gh/pandas-dev/pandas/compare/e0647ba059e57cd391cba1296d7cc039e7b2fc7e...4e927e6959c9587abc3c1bf7ade237edafee990a?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvZGVjb3JhdG9ycy5weQ==) | `67.32% <0%> (-1.28%)` | :x: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/compare/e0647ba059e57cd391cba1296d7cc039e7b2fc7e...4e927e6959c9587abc3c1bf7ade237edafee990a?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.73% <0%> (-0.1%)` | :x: |
| [pandas/util/print_versions.py](https://codecov.io/gh/pandas-dev/pandas/compare/e0647ba059e57cd391cba1296d7cc039e7b2fc7e...4e927e6959c9587abc3c1bf7ade237edafee990a?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvcHJpbnRfdmVyc2lvbnMucHk=) | `15.71% <0%> (ø)` | :white_check_mark: |
| [pandas/types/cast.py](https://codecov.io/gh/pandas-dev/pandas/compare/e0647ba059e57cd391cba1296d7cc039e7b2fc7e...4e927e6959c9587abc3c1bf7ade237edafee990a?src=pr&el=tree#diff-cGFuZGFzL3R5cGVzL2Nhc3QucHk=) | `85.65% <0%> (+0.2%)` | :white_check_mark: |
| ... and [1 more](https://codecov.io/gh/pandas-dev/pandas/pull/15501?src=pr&el=tree-more) | |

------

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> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/15501?src=pr&el=footer). Last update [e0647ba...c838da8](https://codecov.io/gh/pandas-dev/pandas/compare/e0647ba059e57cd391cba1296d7cc039e7b2fc7e...c838da84f05c49b8c15c70b60c49fa10813bed9f?el=footer&src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments). @GuessWhoSamFoo Thank you!