[CI] Test C API demo (#6159)

* Fix CMake install config to use dependencies

* [CI] Test C API demo

* Explicitly cast num_feature, to avoid warning in Linux

.github/workflows/main.yml

@@ -35,6 +35,47 @@ jobs:
       run: |
         cd build
         ctest --extra-verbose
+  c-api-demo:
+    name: Test installing XGBoost lib + building the C API demo
+    runs-on: ${{ matrix.os }}
+    strategy:
+      fail-fast: false
+      matrix:
+        os: ["ubuntu-latest"]
+        python-version: ["3.8"]
+    steps:
+    - uses: actions/checkout@v2
+      with:
+        submodules: 'true'
+    - name: Install system packages
+      run: |
+        sudo apt-get install -y --no-install-recommends ninja-build
+    - uses: conda-incubator/setup-miniconda@v1
+      with:
+        auto-update-conda: true
+        python-version: ${{ matrix.python-version }}
+    - name: Display Conda env
+      shell: bash -l {0}
+      run: |
+        conda info
+        conda list
+    - name: Build and install XGBoost
+      shell: bash -l {0}
+      run: |
+        mkdir build
+        cd build
+        cmake .. -DBUILD_STATIC_LIB=ON -DCMAKE_INSTALL_PREFIX=$CONDA_PREFIX -GNinja
+        ninja -v install
+    - name: Build and run C API demo
+      shell: bash -l {0}
+      run: |
+        cd demo/c-api/
+        mkdir build
+        cd build
+        cmake .. -GNinja -DCMAKE_PREFIX_PATH=$CONDA_PREFIX
+        ninja -v
+        cd ..
+        ./build/api-demo
   test-with-jvm:
     name: Test JVM on OS ${{ matrix.os }}
     runs-on: ${{ matrix.os }}