move pickle compression tests into a new class

Author: goldenbull

Diff for: pandas/io/tests/test_pickle.py

@@ -284,6 +284,12 @@ def test_pickle_v0_15_2(self):
         #
         tm.assert_categorical_equal(cat, pd.read_pickle(pickle_path))
 
+
+class TestPickleCompression:
+
+    def setUp(self):
+        self.path = u('__%s__.pickle' % tm.rands(10))
+
     def compression_explicit(self, compression):
         # issue 11666
         if compression == 'xz':