Improve messaging around sorted parquet columns for index (#5265)

* Improve messaging around sorted parquet columns for index

dask/dataframe/io/parquet/core.py

@@ -217,7 +217,11 @@ def read_parquet(
             else:
                 # Multiple sorted columns found, cannot autodetect the index
                 warnings.warn(
-                    "Multiple sorted columns found, cannot autodetect index",
+                    "Multiple sorted columns found %s, cannot\n "
+                    "autodetect index. Will continue without an index.\n"
+                    "To pick an index column, use the index= keyword; to \n"
+                    "silence this warning use index=False."
+                    "" % [o["name"] for o in out],
                     RuntimeWarning,
                 )
                 index = False

dask/dataframe/io/tests/test_parquet.py

@@ -1699,6 +1699,22 @@ def test_arrow_partitioning(tmpdir):
     ddf.astype({"b": np.float32}).compute()
 
 
+def test_sorted_warnings(tmpdir, engine):
+    tmpdir = str(tmpdir)
+    df = dd.from_pandas(
+        pd.DataFrame({"cola": range(10), "colb": range(10)}), npartitions=2
+    )
+    df.to_parquet(tmpdir, engine=engine, write_index=False)
+    with pytest.warns(RuntimeWarning) as record:
+        out = dd.read_parquet(tmpdir, engine=engine)
+    assert "['cola', 'colb']" in str(record[-1].message)
+    warnings = len(record)
+    assert out.columns.tolist() == ["cola", "colb"]
+    with pytest.warns(None) as record:
+        dd.read_parquet(tmpdir, engine=engine, index=False)
+    assert len(record) < warnings  # still may have some arrow warnings
+
+
 def test_informative_error_messages():
     with pytest.raises(ValueError) as info:
         dd.read_parquet("foo", engine="foo")