Added 'versionadded' tag, improved docstring + fixed import.

Author: jbschiratti

pandas/core/generic.py

@@ -49,8 +49,7 @@
 from pandas import compat
 from pandas.compat.numpy import function as nv
 from pandas.compat import (map, zip, lzip, lrange, string_types,
-                           isidentifier, set_function_name)
-from pandas.compat import cPickle as pkl
+                           isidentifier, set_function_name, cPickle as pkl)
 import pandas.core.nanops as nanops
 from pandas.util.decorators import Appender, Substitution, deprecate_kwarg
 from pandas.util.validators import validate_bool_kwarg
@@ -1356,11 +1355,17 @@ def to_pickle(self, path, compression='infer',
             File path
         compression : {'infer', 'gzip', 'bz2', 'xz', None}, default 'infer'
             a string representing the compression to use in the output file
+
+            .. versionadded:: 0.20.0
         protocol : int
             Int which indicates which protocol should be used by the pickler,
-            default HIGHEST_PROTOCOL (Pickle module).
+            default HIGHEST_PROTOCOL (Pickle module). The possible values for
+            this parameter depend on the version of Python. For Python 2.x,
+            possible values are 0, 1, 2. For Python>=3.0, 3 is a valid value.
+            For Python >= 3.4, 4 is a valid value.
+
+            .. versionadded:: 0.21.0
 
-            .. versionadded:: 0.20.0
         """
         from pandas.io.pickle import to_pickle
         return to_pickle(self, path, compression=compression,

pandas/io/pickle.py

@@ -18,11 +18,18 @@ def to_pickle(obj, path, compression='infer', protocol=pkl.HIGHEST_PROTOCOL):
         File path
     compression : {'infer', 'gzip', 'bz2', 'xz', None}, default 'infer'
         a string representing the compression to use in the output file
+
+        .. versionadded:: 0.20.0
     protocol : int
         Int which indicates which protocol should be used by the pickler,
-        default HIGHEST_PROTOCOL (Pickle module).
+        default HIGHEST_PROTOCOL (Pickle module). The possible values for
+        this parameter depend on the version of Python. For Python 2.x,
+        possible values are 0, 1, 2. For Python>=3.0, 3 is a valid value.
+        For Python >= 3.4, 4 is a valid value.
+
+        .. versionadded:: 0.21.0
+
 
-        .. versionadded:: 0.20.0
     """
     inferred_compression = _infer_compression(path, compression)
     f, fh = _get_handle(path, 'wb',