Support for indices satisfying the Index API that aren't pandas.Index subclasses

[shoyer]

Pandas specifies an Index API in the docs: http://pandas.pydata.org/pandas-docs/stable/indexing.html#indexing-internal-details

However, it's not currently possible (as far as I can tell) to create an object that can be used as a pandas Index unless it's an actual pandas.Index subclass.

From the perspective of someone who would like to be able to create custom Index-like objects, I would prefer not to need to subclass pandas.Index so the implementation details of my index can be decoupled from pandas. I might still use a pandas.Index internally for speed, but in my experience composition is generally easier to reason about than inheritance.

[jreback]

related #3268

what kind of indicies do you have in mind?

I agree composition is usually better; but in this case what is the problem?

[jreback]

this is a dupe of #5460