ENH: Support multi row inserts in to_sql when using the sqlite fallback

doc/source/whatsnew/v1.1.0.rst

@@ -19,6 +19,7 @@ Other enhancements
 ^^^^^^^^^^^^^^^^^^
 
 - :class:`Styler` may now render CSS more efficiently where multiple cells have the same styling (:issue:`30876`)
+- When writing directly to a sqlite connection :func:`to_sql` now supports the ``multi`` method (:issue:`29921`)
 -
 -
 

pandas/io/sql.py

@@ -1440,7 +1440,7 @@ def _execute_create(self):
             for stmt in self.table:
                 conn.execute(stmt)
 
-    def insert_statement(self):
+    def insert_statement(self, *, num_rows):
         names = list(map(str, self.frame.columns))
         wld = "?"  # wildcard char
         escape = _get_valid_sqlite_name
@@ -1451,15 +1451,22 @@ def insert_statement(self):
 
         bracketed_names = [escape(column) for column in names]
         col_names = ",".join(bracketed_names)
-        wildcards = ",".join([wld] * len(names))
+
+        row_wildcards = ",".join([wld] * len(names))
+        wildcards = ",".join(f"({row_wildcards})" for _ in range(num_rows))
         insert_statement = (
-            f"INSERT INTO {escape(self.name)} ({col_names}) VALUES ({wildcards})"
+            f"INSERT INTO {escape(self.name)} ({col_names}) VALUES {wildcards}"
         )
         return insert_statement
 
     def _execute_insert(self, conn, keys, data_iter):
         data_list = list(data_iter)
-        conn.executemany(self.insert_statement(), data_list)
+        conn.executemany(self.insert_statement(num_rows=1), data_list)
+
+    def _execute_insert_multi(self, conn, keys, data_iter):
+        data_list = list(data_iter)
+        flattened_data = [x for row in data_list for x in row]
+        conn.execute(self.insert_statement(num_rows=len(data_list)), flattened_data)
 
     def _create_table_setup(self):
         """

pandas/tests/io/test_sql.py

@@ -2148,6 +2148,10 @@ def test_to_sql_replace(self):
     def test_to_sql_append(self):
         self._to_sql_append()
 
+    def test_to_sql_method_multi(self):
+        # GH 29921
+        self._to_sql(method="multi")
+
     def test_create_and_drop_table(self):
         temp_frame = DataFrame(
             {"one": [1.0, 2.0, 3.0, 4.0], "two": [4.0, 3.0, 2.0, 1.0]}