get_dataset pickle protocol problem #898

Description

Steps/Code to Reproduce

# load as dataframe
curr_ds = openml.datasets.get_dataset(2)
X, y, categorical_indicator, attribute_names = curr_ds.get_data(
    dataset_format='dataframe',
    target=curr_ds.default_target_attribute
)

Expected Results

X and y matrix of anneal DS

Actual Results

Traceback (most recent call last):
File "", line 1, in
File "C:\Users\name\AppData\Local\JetBrains\PyCharm 2019.3.2\plugins\python\helpers\pydev_pydev_bundle\pydev_umd.py", line 197, in runfile
pydev_imports.execfile(filename, global_vars, local_vars) # execute the script
File "C:\Users\name\AppData\Local\JetBrains\PyCharm 2019.3.2\plugins\python\helpers\pydev_pydev_imps_pydev_execfile.py", line 18, in execfile
exec(compile(contents+"\n", file, 'exec'), glob, loc)
File "C:/Users/name/PycharmProjects/metaLearning/openMLFeatureExtractor.py", line 31, in
curr_ds = openml.datasets.get_dataset(int(curr_ds_starts[0]))
File "C:\Users\name\AppData\Local\Continuum\anaconda3\envs\metaenv\lib\site-packages\openml\datasets\functions.py", line 530, in get_dataset
description, features, qualities, arff_file
File "C:\Users\name\AppData\Local\Continuum\anaconda3\envs\metaenv\lib\site-packages\openml\datasets\functions.py", line 1023, in _create_dataset_from_description
qualities=qualities,
File "C:\Users\name\AppData\Local\Continuum\anaconda3\envs\metaenv\lib\site-packages\openml\datasets\dataset.py", line 183, in init
self.data_pickle_file = self._create_pickle_in_cache(data_file)
File "C:\Users\name\AppData\Local\Continuum\anaconda3\envs\metaenv\lib\site-packages\openml\datasets\dataset.py", line 406, in _create_pickle_in_cache
data, categorical, attribute_names = pickle.load(fh)
ValueError: unsupported pickle protocol: 5.

Versions

Windows-10-10.0.16299-SP0
Python 3.7.6 (default, Jan 8 2020, 20:23:39) [MSC v.1916 64 bit (AMD64)]
NumPy 1.18.1
SciPy 1.4.1
Scikit-Learn 0.22.1