Added ref for protocol parameter + edited whatsnew.

Author: jbschiratti

doc/source/whatsnew/v0.21.0.txt

@@ -27,7 +27,8 @@ New features
 Other Enhancements
 ^^^^^^^^^^^^^^^^^^
 
-- Added protocol parameter to :func:`to_pickle`. The 'protocol' parameter defaults to HIGHEST_PROTOCOL. (:issue:`16252`)
+- :func:`to_pickle` has gained a protocol parameter (:issue:`16252`). By default,
+this parameter is set to HIGHEST_PROTOCOL (see https://docs.python.org/3/library/pickle.html, 12.1.2).
 
 .. _whatsnew_0210.api_breaking:
 

pandas/core/generic.py

@@ -1359,13 +1359,14 @@ def to_pickle(self, path, compression='infer',
             .. versionadded:: 0.20.0
         protocol : int
             Int which indicates which protocol should be used by the pickler,
-            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.A negative value for the
-            protocol parameter is equivalent to setting its value to
+            default HIGHEST_PROTOCOL (see [1], paragraph 12.1.2). 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.A negative value
+            for the protocol parameter is equivalent to setting its value to
             HIGHEST_PROTOCOL.
 
+            .. [1] https://docs.python.org/3/library/pickle.html
             .. versionadded:: 0.21.0
 
         """

pandas/io/pickle.py

@@ -22,13 +22,14 @@ def to_pickle(obj, path, compression='infer', protocol=pkl.HIGHEST_PROTOCOL):
         .. versionadded:: 0.20.0
     protocol : int
         Int which indicates which protocol should be used by the pickler,
-        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.
+        default HIGHEST_PROTOCOL (see [1], paragraph 12.1.2). 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. A negative value for the
         protocol parameter is equivalent to setting its value to
         HIGHEST_PROTOCOL.
 
+        .. [1] https://docs.python.org/3/library/pickle.html
         .. versionadded:: 0.21.0