ENH: meth 'DataFrame.to_pickle' and func 'read_pickle' to accept URL GH#30163
- [ ] closes #30163
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry
@suzutomato i see multiple PRs that you are opening and then closing
don’t open new ones if u make a change, rather push to the same one

this needs tests It feels like getting pickles over networks is antithetical to their recommended use due to the security implications.  Sorry for the mess I've made, as well as the delay on this PR.
Tests were added.

2 Azure pipelines were failed/canceled due to timeout. I'll push agin later if that's the best way to rerun them.
Thank you, can you merge master and ping on green. @jreback 
Thank you for the comment, updated and merged. 
Now all is green. ptal. Hello @suzutomato! Thanks for updating this PR. We checked the lines you've touched for [PEP 8](https://www.python.org/dev/peps/pep-0008) issues, and found:







There are currently no PEP 8 issues detected in this Pull Request. Cheers! :beers: 

##### Comment last updated at 2020-01-09 12:17:29 UTC @jreback Thank you for review. Updated accordingly, please take a look. Let me know if I misunderstood anything. > It feels like getting pickles over networks is antithetical to their recommended use due to the security implications.

That was my initial reaction too. Do we want to encourage this? > > It feels like getting pickles over networks is antithetical to their recommended use due to the security implications.
> 
> That was my initial reaction too. Do we want to encourage this?

this is a pretty common pattern actually;
security is out of scope as this is up to the user
 Fair enough. We do have a warning in the read_pickle docs. May want to re-emphasize that in the `filepath_or_buffer` section. Fixed the merge conflict. Good to merge when CI passes. thanks @suzutomato very nice! Thank you @jreback and @TomAugspurger for guidance and your patience!
It was fun!