Fix DMatrix feature names/types IO. (#6507)

* Fix feature names/types IO

Co-authored-by: Philip Hyunsu Cho <chohyu01@cs.washington.edu>

tests/python/test_dmatrix.py

@@ -1,10 +1,14 @@
 # -*- coding: utf-8 -*-
+import os
+import tempfile
 import numpy as np
 import xgboost as xgb
 import scipy.sparse
 import pytest
 from scipy.sparse import rand, csr_matrix
 
+import testing as tm
+
 rng = np.random.RandomState(1)
 
 dpath = 'demo/data/'
@@ -207,6 +211,23 @@ class TestDMatrix:
             with pytest.raises(ValueError):
                 bst.predict(dm)
 
+    @pytest.mark.skipif(**tm.no_pandas())
+    def test_save_binary(self):
+        import pandas as pd
+        with tempfile.TemporaryDirectory() as tmpdir:
+            path = os.path.join(tmpdir, 'm.dmatrix')
+            data = pd.DataFrame({
+                "a": [0, 1],
+                "b": [2, 3],
+                "c": [4, 5]
+            })
+            m0 = xgb.DMatrix(data.loc[:, ["a", "b"]], data["c"])
+            assert m0.feature_names == ['a', 'b']
+            m0.save_binary(path)
+            m1 = xgb.DMatrix(path)
+            assert m0.feature_names == m1.feature_names
+            assert m0.feature_types == m1.feature_types
+
     def test_get_info(self):
         dtrain = xgb.DMatrix(dpath + 'agaricus.txt.train')
         dtrain.get_float_info('label')