Fix issue 2670 (#2671)

* fix issue 2670

* add python<3.6 compatibility

* fix Index

* fix Index/MultiIndex

* fix lint

* fix W0622

really nonsense

* fix lambda

* Trigger Travis

* add test for MultiIndex

* remove tailing whitespace

python-package/xgboost/core.py

@@ -184,7 +184,13 @@ Did not expect the data types in fields """
         raise ValueError(msg + ', '.join(bad_fields))
 
     if feature_names is None:
-        feature_names = data.columns.format()
+        if hasattr(data.columns, 'to_frame'):  # MultiIndex
+            feature_names = [
+                ' '.join(map(str, i))
+                for i in data.columns
+            ]
+        else:
+            feature_names = data.columns.format()
 
     if feature_types is None:
         feature_types = [PANDAS_DTYPE_MAPPER[dtype.name] for dtype in data_dtypes]