Add new skl model attribute for number of features (#5780)

python-package/xgboost/sklearn.py

@@ -499,6 +499,8 @@ class XGBModel(XGBModelBase):
 
                 [xgb.callback.reset_learning_rate(custom_rates)]
         """
+        self.n_features_in_ = X.shape[1]
+
         train_dmatrix = DMatrix(data=X, label=y, weight=sample_weight,
                                 base_margin=base_margin,
                                 missing=self.missing,
@@ -812,7 +814,10 @@ class XGBClassifier(XGBModel, XGBClassifierBase):
             # different ways of reshaping
             raise ValueError(
                 'Please reshape the input data X into 2-dimensional matrix.')
+
         self._features_count = X.shape[1]
+        self.n_features_in_ = self._features_count
+
         train_dmatrix = DMatrix(X, label=training_labels, weight=sample_weight,
                                 base_margin=base_margin,
                                 missing=self.missing, nthread=self.n_jobs)
@@ -1195,6 +1200,8 @@ class XGBRanker(XGBModel):
             ret.set_group(group)
             return ret
 
+        self.n_features_in_ = X.shape[1]
+
         train_dmatrix = DMatrix(data=X, label=y, weight=sample_weight,
                                 base_margin=base_margin,
                                 missing=self.missing, nthread=self.n_jobs)