API: Unify compression-kwarg for IO-methods
Currently, there's:
* `'compression'` in `to_csv`, `to_json`, `to_parquet`, `to_pickle`
* `'complib'` in `to_hdf` (also `'complevel'`)
* `'compress'` in `to_msgpack`

Those are all the writer-methods from https://pandas.pydata.org/pandas-docs/version/0.23.1/io.html which have compression.

Seems to me that the kwargs of `to_hdf` and `to_msgpack` should be unified with the other methods.