Only a suggest:

Is it possible to insert in the future versions the feature for read on the fly into a 7z file?

Comment From: chris-b1

Just from a quick google it's not clear there's a great 7zip python library (maybe https://pypi.python.org/pypi/libarchive?) - but to the extent there is a functioning one, would be easy enough to add - around here.

https://github.com/pandas-dev/pandas/blob/7271f50c234faeaaac177a4e1829b7401ea252ee/pandas/io/common.py#L374

Comment From: cirmic

With Python 2.7.13 when I specify compression="xz" into read_csv method it returns cannot import name lzma.

I know that lzma is default library from Python 3.3, is there a way to use also into 2.7 ?

Comment From: chris-b1

Yes, see docs here - need to install the backports version http://pandas.pydata.org/pandas-docs/stable/install.html?highlight=lzma#optional-dependencies