DOC: warn about when to not use the interchange protocol (#59322)

docs: warn about when to not use the interchange protocol

Author: MarcoGorelli

pandas/core/frame.py

@@ -901,6 +901,14 @@ def __dataframe__(
  """
  Return the dataframe interchange object implementing the interchange protocol.
 
+ .. warning::
+
+ Due to severe implementation issues, we recommend only considering using the
+ interchange protocol in the following cases:
+
+ - converting to pandas: for pandas >= 2.0.3
+ - converting from pandas: for pandas >= 3.0.0
+
  Parameters
  ----------
  nan_as_null : bool, default False

pandas/core/interchange/from_dataframe.py

@@ -36,6 +36,14 @@ def from_dataframe(df, allow_copy: bool = True) -> pd.DataFrame:
  """
  Build a ``pd.DataFrame`` from any DataFrame supporting the interchange protocol.
 
+ .. warning::
+
+ Due to severe implementation issues, we recommend only considering using the
+ interchange protocol in the following cases:
+
+ - converting to pandas: for pandas >= 2.0.3
+ - converting from pandas: for pandas >= 3.0.0
+
  Parameters
  ----------
  df : DataFrameXchg