fread could set index as well

[MichaelChirico]

having a key argument for fread is quite nice, it helps cut down on code like:

DT = fread('path.csv')
setkey(DT, ID)

As well as being robust to changing the name of DT over time without having to track down every line where DT was used.

Since this wasn't any deep change to how fread works, but rather just entails running setkeyv just before returning ans, it would be easy to offer an index argument with similar goals.

DT = fread('path.csv', key = 'ID')
setindex(DT, ID2)
# could be streamlined as
DT = fread('path.csv', key = 'ID', index = 'ID2')

The only roadblock to implementing this right away is a small API issue -- should we allow multiple indices to be set, and if so what's the proper syntax? Most natural to me is: if index is given as atomic with length 1, strsplit it along , (as is done for key); with length >1, this is a single index (again, like key); and with index a list, *apply the logic from the first two cases to each element.

[jangorecki]

There is no point to add feature for making single index only. It would require to take a list of character vectors as input and just loop setindexv over it.

[jangorecki]

lets implement this after #2695