Validate Booster and data's feature_names are identical.
        Set feature_names and feature_types from DMatrix

def _validate_features(self, data):
        """
        Validate Booster and data's feature_names are identical.
        Set feature_names and feature_types from DMatrix
        """
        if self.feature_names is None:
            self.feature_names = data.feature_names
            self.feature_types = data.feature_types
        else:
            # Booster can't accept data with different feature names
            if self.feature_names != data.feature_names:
                dat_missing = set(self.feature_names) - set(data.feature_names)
                my_missing = set(data.feature_names) - set(self.feature_names)

                msg = 'feature_names mismatch: {0} {1}'

                if dat_missing:
                    msg += ('\nexpected ' + ', '.join(str(s) for s in dat_missing) +
                            ' in input data')

                if my_missing:
                    msg += ('\ntraining data did not have the following fields: ' +
                            ', '.join(str(s) for s in my_missing))

                raise ValueError(msg.format(self.feature_names,
                                            data.feature_names))