Backport PR #39376 on branch 1.2.x (REGR: write compressed pickle files with protocol=5)

doc/source/whatsnew/v1.2.2.rst

@@ -14,7 +14,7 @@ including other versions of pandas.
 
 Fixed regressions
 ~~~~~~~~~~~~~~~~~
--
+- Fixed regression in :meth:`~DataFrame.to_pickle` failing to create bz2/xz compressed pickle files with ``protocol=5`` (:issue:`39002`)
 -
 
 .. ---------------------------------------------------------------------------

pandas/io/pickle.py

@@ -94,7 +94,19 @@ def to_pickle(
         is_text=False,
         storage_options=storage_options,
     ) as handles:
-        pickle.dump(obj, handles.handle, protocol=protocol)  # type: ignore[arg-type]
+        if handles.compression["method"] in ("bz2", "xz") and protocol >= 5:
+            # some weird TypeError GH#39002 with pickle 5: fallback to letting
+            # pickle create the entire object and then write it to the buffer.
+            # "zip" would also be here if pandas.io.common._BytesZipFile
+            # wouldn't buffer write calls
+            handles.handle.write(
+                pickle.dumps(obj, protocol=protocol)  # type: ignore[arg-type]
+            )
+        else:
+            # letting pickle write directly to the buffer is more memory-efficient
+            pickle.dump(
+                obj, handles.handle, protocol=protocol  # type: ignore[arg-type]
+            )
 
 
 @doc(storage_options=generic._shared_docs["storage_options"])

pandas/tests/io/test_pickle.py

@@ -13,6 +13,7 @@
 import bz2
 import datetime
 import functools
+from functools import partial
 import glob
 import gzip
 import io
@@ -588,3 +589,14 @@ def test_pickle_preserves_block_ndim():
 
     # GH#37631 OP issue was about indexing, underlying problem was pickle
     tm.assert_series_equal(res[[True]], ser)
+
+
+@pytest.mark.parametrize("protocol", [pickle.DEFAULT_PROTOCOL, pickle.HIGHEST_PROTOCOL])
+def test_pickle_big_dataframe_compression(protocol, compression):
+    # GH#39002
+    df = pd.DataFrame(range(100000))
+    result = tm.round_trip_pathlib(
+        partial(df.to_pickle, protocol=protocol, compression=compression),
+        partial(pd.read_pickle, compression=compression),
+    )
+    tm.assert_frame_equal(df, result)