Here's how to transfer your data frames between Python, R, and Julia by using Feather format. An article The Best Format to Save Pandas Data provides speed comparisons with other formats and concludes Feather is the best format to store data for a short term.
Note for pandas users: Feather doesn't support data frames with a custom index. Execute df.reset_index() before writing your data in a Feather file if you store anything in the pandas index.
import pandas as pd
import feather
# read