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To derive a finite difference compact approximation the equivalent partial differential equation with the usual time derivative and the spatial Riemann-Liouville fractional integral operator of fractional order is derived. The last one is approximated using the shifted Gr\u00fcnwald differences. As result, the authors obtain a finite difference scheme which is of second accuracy order in time and of fourth accuracy order in space. For the 2D case, an alternating direction implicit (ADI) scheme of the order \\(\\mathcal{O}(\\tau^2+h_1^2+h_2^2)\\) is proposed and justified. Numerical examples are given to confirm the theoretical 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