`to_msgpack` throws "PackValueError: recursion limit exceeded." for unsupported objects.

[filmor]

The following call fails with a PackValueError: recursion limit exceeded., spamming the console with references to pandas.msgpack.Packer._pack lines 3295 and 2391:

df = pd.DataFrame([0], index=[datetime.time(1, 2, 3)])
df.to_msgpack()

This also happens for other unsupported data like a custom object class A: pass; A() instead of datetime.time. In both cases I'd expect the function to immediately stop processing when it encounters an unsupported object (or try to pickle like to_hdf does). Also, an index of datetime.time can be produced directly from a pd.DateTimeIndex, so it would be good to at least special-case this.

[jreback]

pull-requests welcome to handle this.

[simonjayhawkins]

msgpack is deprecated #30112