PHOENIX-6459 Try to use a Session to pass along any cookies the serveā€¦ (#60)

The Requests documentation also alludes to performance benefit due to
leaving the existing connection open (rather than re-connecting each time)

  https://docs.python-requests.org/en/master/user/advanced/#session-objects
diff --git a/python-phoenixdb/phoenixdb/avatica/client.py b/python-phoenixdb/phoenixdb/avatica/client.py
index a1f502c..5c96586 100644
--- a/python-phoenixdb/phoenixdb/avatica/client.py
+++ b/python-phoenixdb/phoenixdb/avatica/client.py
@@ -149,6 +149,7 @@
         self.auth = auth
         self.verify = verify
         self.connection = None
+        self.session = None
 
     def connect(self):
         """This method used to open a persistent TCP connection
@@ -160,20 +161,28 @@
         pass
 
     def _post_request(self, body, headers):
+        # Create the session if we haven't before
+        if not self.session:
+            logger.debug("Creating a new Session")
+            self.session = requests.Session()
+            self.session.headers.update(headers)
+            self.session.stream = True
+            if self.auth is not None:
+                self.session.auth = self.auth
+
         retry_count = self.max_retries
         while True:
-            logger.debug("POST %s %r %r", self.url.geturl(), body, headers)
+            logger.debug("POST %s %r %r", self.url.geturl(), body, self.session.headers)
 
-            requestArgs = {'data': body, 'stream': True, 'headers': headers}
+            requestArgs = {'data': body}
 
-            if self.auth is not None:
-                requestArgs.update(auth=self.auth)
-
+            # Setting verify on the Session is not the same as setting it
+            # as a request arg
             if self.verify is not None:
                 requestArgs.update(verify=self.verify)
 
             try:
-                response = requests.request('post', self.url.geturl(), **requestArgs)
+                response = self.session.post(self.url.geturl(), **requestArgs)
 
             except requests.HTTPError as e:
                 if retry_count > 0: