Add Zstandard compression support

Author: jonashaag

MANIFEST.in

@@ -36,6 +36,7 @@ global-exclude *.xpt
 global-exclude *.cpt
 global-exclude *.xz
 global-exclude *.zip
+global-exclude *.zst
 global-exclude *~
 global-exclude .DS_Store
 global-exclude .git*

ci/deps/actions-38-slow.yaml

@@ -34,3 +34,4 @@ dependencies:
   - xlsxwriter
   - xlwt
   - numba
+  - zstandard

ci/deps/actions-39-slow.yaml

@@ -37,6 +37,7 @@ dependencies:
   - xlsxwriter
   - xlwt
   - pyreadstat
+  - zstandard
   - pip
   - pip:
     - pyxlsb

ci/deps/actions-39.yaml

@@ -36,6 +36,7 @@ dependencies:
   - xlsxwriter
   - xlwt
   - pyreadstat
+  - zstandard
   - pip
   - pip:
     - pyxlsb

ci/deps/azure-macos-38.yaml

@@ -30,6 +30,7 @@ dependencies:
   - xlrd
   - xlsxwriter
   - xlwt
+  - zstandard
   - pip
   - pip:
     - cython>=0.29.24

ci/deps/azure-windows-38.yaml

@@ -32,3 +32,4 @@ dependencies:
   - xlrd
   - xlsxwriter
   - xlwt
+  - zstandard

ci/deps/azure-windows-39.yaml

@@ -36,6 +36,7 @@ dependencies:
   - xlsxwriter
   - xlwt
   - pyreadstat
+  - zstandard
   - pip
   - pip:
     - pyxlsb

ci/deps/circle-38-arm64.yaml

@@ -15,6 +15,7 @@ dependencies:
   - numpy
   - python-dateutil
   - pytz
+  - zstandard
   - pip
   - flask
   - pip:

doc/source/getting_started/install.rst

@@ -402,3 +402,13 @@ qtpy                                         Clipboard I/O
 xclip                                        Clipboard I/O on linux
 xsel                                         Clipboard I/O on linux
 ========================= ================== =============================================================
+
+
+Compression
+^^^^^^^^^^^
+
+========================= ================== =============================================================
+Dependency                Minimum Version    Notes
+========================= ================== =============================================================
+Zstandard                                    Zstandard compression
+========================= ================== =============================================================

doc/source/user_guide/io.rst

@@ -316,14 +316,14 @@ chunksize : int, default ``None``
 Quoting, compression, and file format
 +++++++++++++++++++++++++++++++++++++
 
-compression : {``'infer'``, ``'gzip'``, ``'bz2'``, ``'zip'``, ``'xz'``, ``None``, ``dict``}, default ``'infer'``
+compression : {``'infer'``, ``'gzip'``, ``'bz2'``, ``'zip'``, ``'xz'``, ``'zstd'``, ``None``, ``dict``}, default ``'infer'``
   For on-the-fly decompression of on-disk data. If 'infer', then use gzip,
-  bz2, zip, or xz if ``filepath_or_buffer`` is path-like ending in '.gz', '.bz2',
-  '.zip', or '.xz', respectively, and no decompression otherwise. If using 'zip',
+  bz2, zip, xz, or zstandard if ``filepath_or_buffer`` is path-like ending in '.gz', '.bz2',
+  '.zip', '.xz', '.zst', respectively, and no decompression otherwise. If using 'zip',
   the ZIP file must contain only one data file to be read in.
   Set to ``None`` for no decompression. Can also be a dict with key ``'method'``
-  set to one of {``'zip'``, ``'gzip'``, ``'bz2'``} and other key-value pairs are
-  forwarded to ``zipfile.ZipFile``, ``gzip.GzipFile``, or ``bz2.BZ2File``.
+  set to one of {``'zip'``, ``'gzip'``, ``'bz2'``, ``'zstd'``} and other key-value pairs are
+  forwarded to ``zipfile.ZipFile``, ``gzip.GzipFile``, ``bz2.BZ2File``, or ``zstandard.ZstdDecompressor``.
   As an example, the following could be passed for faster compression and to
   create a reproducible gzip archive:
   ``compression={'method': 'gzip', 'compresslevel': 1, 'mtime': 1}``.
@@ -4032,18 +4032,18 @@ Compressed pickle files
 '''''''''''''''''''''''
 
 :func:`read_pickle`, :meth:`DataFrame.to_pickle` and :meth:`Series.to_pickle` can read
-and write compressed pickle files. The compression types of ``gzip``, ``bz2``, ``xz`` are supported for reading and writing.
+and write compressed pickle files. The compression types of ``gzip``, ``bz2``, ``xz``, ``zstd`` are supported for reading and writing.
 The ``zip`` file format only supports reading and must contain only one data file
 to be read.
 
 The compression type can be an explicit parameter or be inferred from the file extension.
-If 'infer', then use ``gzip``, ``bz2``, ``zip``, or ``xz`` if filename ends in ``'.gz'``, ``'.bz2'``, ``'.zip'``, or
-``'.xz'``, respectively.
+If 'infer', then use ``gzip``, ``bz2``, ``zip``, ``xz``, ``zstd`` if filename ends in ``'.gz'``, ``'.bz2'``, ``'.zip'``,
+``'.xz'``, or ``'.zst'``, respectively.
 
 The compression parameter can also be a ``dict`` in order to pass options to the
 compression protocol. It must have a ``'method'`` key set to the name
 of the compression protocol, which must be one of
-{``'zip'``, ``'gzip'``, ``'bz2'``}. All other key-value pairs are passed to
+{``'zip'``, ``'gzip'``, ``'bz2'``, ``'xz'``, ``'zstd'``}. All other key-value pairs are passed to
 the underlying compression library.
 
 .. ipython:: python