Remove lz4 compression with external memory. (#7076)

python-package/setup.py

@@ -26,7 +26,6 @@ USER_OPTIONS = {
     'use-hdfs':   (None, 'Build with HDFS support', 0),
     'use-azure':  (None, 'Build with AZURE support.', 0),
     'use-s3':     (None, 'Build with S3 support', 0),
-    'plugin-lz4': (None, 'Build lz4 plugin.', 0),
     'plugin-dense-parser': (None, 'Build dense parser plugin.', 0),
     # Python specific
     'use-system-libxgboost': (None, 'Use libxgboost.so in system path.', 0)
@@ -268,7 +267,6 @@ class Install(install.install):  # pylint: disable=too-many-instance-attributes
         self.use_azure = 0
         self.use_s3 = 0
 
-        self.plugin_lz4 = 0
         self.plugin_dense_parser = 0
 
         self.use_system_libxgboost = 0