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It seems that there is a progress parameter to the fget_object call when downloading from minio: https://github.com/minio/minio-py/blob/74e8e5200d4dbf48ae9bbd6a8a2f54614e1958b3/minio/api.py#L1066
it's not in the main doc pages for whatever reason. I think it would be reasonable to only implement this for downloads from minio as otherwise files should generally be small (especially once we drop arff).
Description
Downloading large datasets can take an unpredictable amount of time. It would be nice if a progress bar could be shown.
Steps/Code to Reproduce
openml_dataset = openml.datasets.get_dataset(ID)
X, y, _, _ = openml_dataset.get_data()
Expected Results
A progress bar is shown (either in standard out or in a notebook)
Actual Results
Nothing is shown
Versions
All
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