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ENH: Add support for "nthreads" option from Feather 0.4.0 #16359

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@wesm

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@wesm

I'm releasing Feather 0.4.0 soon, and it has the option for multithreaded reads (one of the benefits of moving to the Arrow codebase). We should add corresponding support in the pandas interface

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    IO DataIO issues that don't fit into a more specific labelPerformanceMemory or execution speed performance

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