Use c_api:
DMatrixHandle xgbData;
int success = XGDMatrixCreateFromMat(&features[0], m_nRowCount, m_nColCount, 0, &xgbData);
if(success != 0)
THROW_ERROR("Error creating DMatrix\n");
success = XGDMatrixSetFloatInfo(xgbData, "label", &matrixYLabels[0], m_nRowCount);
if(success != 0)
THROW_ERROR("Error setting Y values in DMatrix\n");
success = XGDMatrixSaveBinary(xgbData, filename, false);
if(success != 0)
THROW_ERROR("Error saving DMatrix\n");
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