diff --git a/R-package/R/xgb.DMatrix.R b/R-package/R/xgb.DMatrix.R
index 4c125832d2ea..4201a830276c 100644
--- a/R-package/R/xgb.DMatrix.R
+++ b/R-package/R/xgb.DMatrix.R
@@ -188,9 +188,10 @@ getinfo <- function(object, ...) UseMethod("getinfo")
 getinfo.xgb.DMatrix <- function(object, name, ...) {
   if (typeof(name) != "character" ||
       length(name) != 1 ||
-      !name %in% c('label', 'weight', 'base_margin', 'nrow')) {
+      !name %in% c('label', 'weight', 'base_margin', 'nrow',
+                   'label_lower_bound', 'label_upper_bound')) {
     stop("getinfo: name must be one of the following\n",
-         "    'label', 'weight', 'base_margin', 'nrow'")
+         "    'label', 'weight', 'base_margin', 'nrow', 'label_lower_bound', 'label_upper_bound'")
   }
   if (name != "nrow"){
     ret <- .Call(XGDMatrixGetInfo_R, object, name)
diff --git a/R-package/tests/testthat/test_dmatrix.R b/R-package/tests/testthat/test_dmatrix.R
index 27889165cf2a..c06358962959 100644
--- a/R-package/tests/testthat/test_dmatrix.R
+++ b/R-package/tests/testthat/test_dmatrix.R
@@ -50,6 +50,12 @@ test_that("xgb.DMatrix: getinfo & setinfo", {
   labels <- getinfo(dtest, 'label')
   expect_equal(test_label, getinfo(dtest, 'label'))
 
+  expect_true(setinfo(dtest, 'label_lower_bound', test_label))
+  expect_equal(test_label, getinfo(dtest, 'label_lower_bound'))
+
+  expect_true(setinfo(dtest, 'label_upper_bound', test_label))
+  expect_equal(test_label, getinfo(dtest, 'label_upper_bound'))
+
   expect_true(length(getinfo(dtest, 'weight')) == 0)
   expect_true(length(getinfo(dtest, 'base_margin')) == 0)
 
@@ -59,7 +65,7 @@ test_that("xgb.DMatrix: getinfo & setinfo", {
   expect_error(setinfo(dtest, 'group', test_label))
 
   # providing character values will give a warning
-  expect_warning( setinfo(dtest, 'weight', rep('a', nrow(test_data))) )
+  expect_warning(setinfo(dtest, 'weight', rep('a', nrow(test_data))))
 
   # any other label should error
   expect_error(setinfo(dtest, 'asdf', test_label))
diff --git a/include/xgboost/data.h b/include/xgboost/data.h
index c66f60aff9bc..c2a80576c395 100644
--- a/include/xgboost/data.h
+++ b/include/xgboost/data.h
@@ -73,6 +73,8 @@ class MetaInfo {
 
   /*! \brief default constructor */
   MetaInfo()  = default;
+  MetaInfo(MetaInfo&& that) = default;
+  MetaInfo& operator=(MetaInfo&& that) = default;
   MetaInfo& operator=(MetaInfo const& that) {
     this->num_row_ = that.num_row_;
     this->num_col_ = that.num_col_;
@@ -89,6 +91,8 @@ class MetaInfo {
     this->base_margin_.Copy(that.base_margin_);
     return *this;
   }
+
+  MetaInfo Slice(common::Span<int32_t const> ridxs) const;
   /*!
    * \brief Get weight of each instances.
    * \param i Instance index.
@@ -491,7 +495,7 @@ class DMatrix {
                          const std::string& cache_prefix = "",
                          size_t page_size = kPageSize);
 
-
+  virtual DMatrix* Slice(common::Span<int32_t const> ridxs) = 0;
   /*! \brief page size 32 MB */
   static const size_t kPageSize = 32UL << 20UL;
 
diff --git a/src/c_api/c_api.cc b/src/c_api/c_api.cc
index 78ed862361ea..754e27ef02b3 100644
--- a/src/c_api/c_api.cc
+++ b/src/c_api/c_api.cc
@@ -181,11 +181,7 @@ XGB_DLL int XGDMatrixSliceDMatrixEx(DMatrixHandle handle,
         << "slice does not support group structure";
   }
   DMatrix* dmat = static_cast<std::shared_ptr<DMatrix>*>(handle)->get();
-  CHECK(dynamic_cast<data::SimpleDMatrix*>(dmat))
-      << "Slice only supported for SimpleDMatrix currently.";
-  data::DMatrixSliceAdapter adapter(dmat, {idxset, static_cast<size_t>(len)});
-  *out = new std::shared_ptr<DMatrix>(
-      DMatrix::Create(&adapter, std::numeric_limits<float>::quiet_NaN(), 1));
+  *out = new std::shared_ptr<DMatrix>(dmat->Slice({idxset, len}));
   API_END();
 }
 
diff --git a/src/data/adapter.h b/src/data/adapter.h
index 9d26d5e14126..e252e1da7a1f 100644
--- a/src/data/adapter.h
+++ b/src/data/adapter.h
@@ -599,93 +599,6 @@ class IteratorAdapter : public dmlc::DataIter<FileAdapterBatch> {
   dmlc::RowBlock<uint32_t> block_;
   std::unique_ptr<FileAdapterBatch> batch_;
 };
-
-class DMatrixSliceAdapterBatch {
- public:
-  // Fetch metainfo values according to sliced rows
-  template <typename T>
-  std::vector<T> Gather(const std::vector<T>& in) {
-    if (in.empty()) return {};
-
-    std::vector<T> out(this->Size());
-    for (auto i = 0ull; i < this->Size(); i++) {
-      out[i] = in[ridx_set[i]];
-    }
-    return out;
-  }
-  DMatrixSliceAdapterBatch(const SparsePage& batch, DMatrix* dmat,
-                           common::Span<const int> ridx_set)
-      : batch(batch), ridx_set(ridx_set) {
-    batch_labels = this->Gather(dmat->Info().labels_.HostVector());
-    batch_weights = this->Gather(dmat->Info().weights_.HostVector());
-    batch_base_margin = this->Gather(dmat->Info().base_margin_.HostVector());
-  }
-
-  class Line {
-   public:
-    Line(const SparsePage::Inst& inst, size_t row_idx)
-        : inst_(inst), row_idx_(row_idx) {}
-
-    size_t Size() { return inst_.size(); }
-    COOTuple GetElement(size_t idx) {
-      return COOTuple{row_idx_, inst_[idx].index, inst_[idx].fvalue};
-    }
-
-   private:
-    SparsePage::Inst inst_;
-    size_t row_idx_;
-  };
-  Line GetLine(size_t idx) const { return Line(batch[ridx_set[idx]], idx); }
-  const float* Labels() const {
-    if (batch_labels.empty()) {
-      return nullptr;
-    }
-    return batch_labels.data();
-  }
-  const float* Weights() const {
-    if (batch_weights.empty()) {
-      return nullptr;
-    }
-    return batch_weights.data();
-  }
-  const uint64_t* Qid() const { return nullptr; }
-  const float* BaseMargin() const {
-    if (batch_base_margin.empty()) {
-      return nullptr;
-    }
-    return batch_base_margin.data();
-  }
-
-  size_t Size() const { return ridx_set.size(); }
-  const SparsePage& batch;
-  common::Span<const int> ridx_set;
-  std::vector<float> batch_labels;
-  std::vector<float> batch_weights;
-  std::vector<float> batch_base_margin;
-};
-
-// Group pointer is not exposed
-// This is because external bindings currently manipulate the group values
-// manually when slicing This could potentially be moved to internal C++ code if
-// needed
-
-class DMatrixSliceAdapter
-    : public detail::SingleBatchDataIter<DMatrixSliceAdapterBatch> {
- public:
-  DMatrixSliceAdapter(DMatrix* dmat, common::Span<const int> ridx_set)
-      : dmat_(dmat),
-        ridx_set_(ridx_set),
-        batch_(*dmat_->GetBatches<SparsePage>().begin(), dmat_, ridx_set) {}
-  const DMatrixSliceAdapterBatch& Value() const override { return batch_; }
-  // Indicates a number of rows/columns must be inferred
-  size_t NumRows() const { return ridx_set_.size(); }
-  size_t NumColumns() const { return dmat_->Info().num_col_; }
-
- private:
-  DMatrix* dmat_;
-  common::Span<const int> ridx_set_;
-  DMatrixSliceAdapterBatch batch_;
-};
 };  // namespace data
 }  // namespace xgboost
 #endif  // XGBOOST_DATA_ADAPTER_H_
diff --git a/src/data/data.cc b/src/data/data.cc
index 405b88c7d248..3af47e2b6600 100644
--- a/src/data/data.cc
+++ b/src/data/data.cc
@@ -205,6 +205,53 @@ void MetaInfo::LoadBinary(dmlc::Stream *fi) {
   LoadVectorField(fi, u8"labels_upper_bound", DataType::kFloat32, &labels_upper_bound_);
 }
 
+template <typename T>
+std::vector<T> Gather(const std::vector<T> &in, common::Span<int const> ridxs, size_t stride = 1) {
+  if (in.empty()) {
+    return {};
+  }
+  auto size = ridxs.size();
+  std::vector<T> out(size * stride);
+  for (auto i = 0ull; i < size; i++) {
+    auto ridx = ridxs[i];
+    for (size_t j = 0; j < stride; ++j) {
+      out[i * stride +j] = in[ridx * stride + j];
+    }
+  }
+  return out;
+}
+
+MetaInfo MetaInfo::Slice(common::Span<int32_t const> ridxs) const {
+  MetaInfo out;
+  out.num_row_ = ridxs.size();
+  out.num_col_ = this->num_col_;
+  // Groups is maintained by a higher level Python function.  We should aim at deprecating
+  // the slice function.
+  out.labels_.HostVector() = Gather(this->labels_.HostVector(), ridxs);
+  out.labels_upper_bound_.HostVector() =
+      Gather(this->labels_upper_bound_.HostVector(), ridxs);
+  out.labels_lower_bound_.HostVector() =
+      Gather(this->labels_lower_bound_.HostVector(), ridxs);
+  // weights
+  if (this->weights_.Size() + 1 == this->group_ptr_.size()) {
+    auto& h_weights =  out.weights_.HostVector();
+    // Assuming all groups are available.
+    out.weights_.HostVector() = h_weights;
+  } else {
+    out.weights_.HostVector() = Gather(this->weights_.HostVector(), ridxs);
+  }
+
+  if (this->base_margin_.Size() != this->num_row_) {
+    CHECK_EQ(this->base_margin_.Size() % this->num_row_, 0)
+        << "Incorrect size of base margin vector.";
+    size_t stride = this->base_margin_.Size() / this->num_row_;
+    out.base_margin_.HostVector() = Gather(this->base_margin_.HostVector(), ridxs, stride);
+  } else {
+    out.base_margin_.HostVector() = Gather(this->base_margin_.HostVector(), ridxs);
+  }
+  return out;
+}
+
 // try to load group information from file, if exists
 inline bool MetaTryLoadGroup(const std::string& fname,
                              std::vector<unsigned>* group) {
@@ -459,9 +506,6 @@ template DMatrix* DMatrix::Create<data::DataTableAdapter>(
 template DMatrix* DMatrix::Create<data::FileAdapter>(
     data::FileAdapter* adapter, float missing, int nthread,
     const std::string& cache_prefix, size_t page_size);
-template DMatrix* DMatrix::Create<data::DMatrixSliceAdapter>(
-    data::DMatrixSliceAdapter* adapter, float missing, int nthread,
-    const std::string& cache_prefix, size_t page_size);
 template DMatrix* DMatrix::Create<data::IteratorAdapter>(
     data::IteratorAdapter* adapter, float missing, int nthread,
     const std::string& cache_prefix, size_t page_size);
diff --git a/src/data/device_dmatrix.h b/src/data/device_dmatrix.h
index 2442175a713d..781461baaa9e 100644
--- a/src/data/device_dmatrix.h
+++ b/src/data/device_dmatrix.h
@@ -31,6 +31,10 @@ class DeviceDMatrix : public DMatrix {
 
   bool EllpackExists() const override { return true; }
   bool SparsePageExists() const override { return false; }
+  DMatrix *Slice(common::Span<int32_t const> ridxs) override {
+    LOG(FATAL) << "Slicing DMatrix is not supported for Device DMatrix.";
+    return nullptr;
+  }
 
  private:
   BatchSet<SparsePage> GetRowBatches() override {
diff --git a/src/data/simple_dmatrix.cc b/src/data/simple_dmatrix.cc
index d0c1396dd2a6..ca65eb4cc930 100644
--- a/src/data/simple_dmatrix.cc
+++ b/src/data/simple_dmatrix.cc
@@ -16,6 +16,27 @@ MetaInfo& SimpleDMatrix::Info() { return info_; }
 
 const MetaInfo& SimpleDMatrix::Info() const { return info_; }
 
+DMatrix* SimpleDMatrix::Slice(common::Span<int32_t const> ridxs) {
+  auto out = new SimpleDMatrix;
+  SparsePage& out_page = out->sparse_page_;
+  for (auto const &page : this->GetBatches<SparsePage>()) {
+    page.data.HostVector();
+    page.offset.HostVector();
+    auto& h_data = out_page.data.HostVector();
+    auto& h_offset = out_page.offset.HostVector();
+    size_t rptr{0};
+    for (auto ridx : ridxs) {
+      auto inst = page[ridx];
+      rptr += inst.size();
+      std::copy(inst.begin(), inst.end(), std::back_inserter(h_data));
+      h_offset.emplace_back(rptr);
+    }
+    out->Info() = this->Info().Slice(ridxs);
+    out->Info().num_nonzero_ = h_offset.back();
+  }
+  return out;
+}
+
 BatchSet<SparsePage> SimpleDMatrix::GetRowBatches() {
   // since csr is the default data structure so `source_` is always available.
   auto begin_iter = BatchIterator<SparsePage>(
@@ -174,8 +195,6 @@ template SimpleDMatrix::SimpleDMatrix(DataTableAdapter* adapter, float missing,
                                      int nthread);
 template SimpleDMatrix::SimpleDMatrix(FileAdapter* adapter, float missing,
                                      int nthread);
-template SimpleDMatrix::SimpleDMatrix(DMatrixSliceAdapter* adapter, float missing,
-                                     int nthread);
 template SimpleDMatrix::SimpleDMatrix(IteratorAdapter* adapter, float missing,
                                      int nthread);
 }  // namespace data
diff --git a/src/data/simple_dmatrix.h b/src/data/simple_dmatrix.h
index e0b41a4ef914..9d2130b4195e 100644
--- a/src/data/simple_dmatrix.h
+++ b/src/data/simple_dmatrix.h
@@ -19,6 +19,7 @@ namespace data {
 // Used for single batch data.
 class SimpleDMatrix : public DMatrix {
  public:
+  SimpleDMatrix() = default;
   template <typename AdapterT>
   explicit SimpleDMatrix(AdapterT* adapter, float missing, int nthread);
 
@@ -32,6 +33,7 @@ class SimpleDMatrix : public DMatrix {
   const MetaInfo& Info() const override;
 
   bool SingleColBlock() const override { return true; }
+  DMatrix* Slice(common::Span<int32_t const> ridxs) override;
 
   /*! \brief magic number used to identify SimpleDMatrix binary files */
   static const int kMagic = 0xffffab01;
diff --git a/src/data/sparse_page_dmatrix.h b/src/data/sparse_page_dmatrix.h
index 05d318313cc8..393172658695 100644
--- a/src/data/sparse_page_dmatrix.h
+++ b/src/data/sparse_page_dmatrix.h
@@ -37,6 +37,10 @@ class SparsePageDMatrix : public DMatrix {
   const MetaInfo& Info() const override;
 
   bool SingleColBlock() const override { return false; }
+  DMatrix *Slice(common::Span<int32_t const> ridxs) override {
+    LOG(FATAL) << "Slicing DMatrix is not supported for external memory.";
+    return nullptr;
+  }
 
  private:
   BatchSet<SparsePage> GetRowBatches() override;
diff --git a/tests/cpp/data/test_adapter.cc b/tests/cpp/data/test_adapter.cc
index 2d5e33ac0084..89bd3e7869b2 100644
--- a/tests/cpp/data/test_adapter.cc
+++ b/tests/cpp/data/test_adapter.cc
@@ -67,31 +67,6 @@ TEST(Adapter, CSCAdapterColsMoreThanRows) {
   EXPECT_EQ(inst[3].index, 3);
 }
 
-TEST(CAPI, DMatrixSliceAdapterFromSimpleDMatrix) {
-  auto p_dmat = RandomDataGenerator(6, 2, 1.0).GenerateDMatrix();
-
-  std::vector<int> ridx_set = {1, 3, 5};
-  data::DMatrixSliceAdapter adapter(p_dmat.get(),
-                                    {ridx_set.data(), ridx_set.size()});
-  EXPECT_EQ(adapter.NumRows(), ridx_set.size());
-
-  adapter.BeforeFirst();
-  for (auto &batch : p_dmat->GetBatches<SparsePage>()) {
-    adapter.Next();
-    auto &adapter_batch = adapter.Value();
-    for (auto i = 0ull; i < adapter_batch.Size(); i++) {
-      auto inst = batch[ridx_set[i]];
-      auto line = adapter_batch.GetLine(i);
-      ASSERT_EQ(inst.size(), line.Size());
-      for (auto j = 0ull; j < line.Size(); j++) {
-        EXPECT_EQ(inst[j].fvalue, line.GetElement(j).value);
-        EXPECT_EQ(inst[j].index, line.GetElement(j).column_idx);
-        EXPECT_EQ(i, line.GetElement(j).row_idx);
-      }
-    }
-  }
-}
-
 // A mock for JVM data iterator.
 class DataIterForTest {
   std::vector<float> data_ {1, 2, 3, 4, 5};
diff --git a/tests/cpp/data/test_data.cc b/tests/cpp/data/test_data.cc
index 041cd9dbc4b1..d01da568c421 100644
--- a/tests/cpp/data/test_data.cc
+++ b/tests/cpp/data/test_data.cc
@@ -125,5 +125,4 @@ TEST(DMatrix, Uri) {
   ASSERT_EQ(dmat->Info().num_col_, kCols);
   ASSERT_EQ(dmat->Info().num_row_, kRows);
 }
-
 }  // namespace xgboost
diff --git a/tests/cpp/data/test_simple_dmatrix.cc b/tests/cpp/data/test_simple_dmatrix.cc
index ebcd6678c666..691dc8545eca 100644
--- a/tests/cpp/data/test_simple_dmatrix.cc
+++ b/tests/cpp/data/test_simple_dmatrix.cc
@@ -1,11 +1,12 @@
 // Copyright by Contributors
 #include <dmlc/filesystem.h>
 #include <xgboost/data.h>
-#include "../../../src/data/simple_dmatrix.h"
 
+#include <array>
+#include "xgboost/base.h"
+#include "../../../src/data/simple_dmatrix.h"
 #include "../../../src/data/adapter.h"
 #include "../helpers.h"
-#include "xgboost/base.h"
 
 using namespace xgboost;  // NOLINT
 
@@ -218,45 +219,64 @@ TEST(SimpleDMatrix, FromFile) {
 }
 
 TEST(SimpleDMatrix, Slice) {
-  const int kRows = 6;
-  const int kCols = 2;
-  auto p_dmat = RandomDataGenerator(kRows, kCols, 1.0).GenerateDMatrix();
-  auto &labels = p_dmat->Info().labels_.HostVector();
-  auto &weights = p_dmat->Info().weights_.HostVector();
-  auto &base_margin = p_dmat->Info().base_margin_.HostVector();
+  size_t constexpr kRows {16};
+  size_t constexpr kCols {8};
+  size_t constexpr kClasses {3};
+  auto p_m = RandomDataGenerator{kRows, kCols, 0}.GenerateDMatrix(true);
+  auto& weights = p_m->Info().weights_.HostVector();
   weights.resize(kRows);
-  labels.resize(kRows);
-  base_margin.resize(kRows);
-  std::iota(labels.begin(), labels.end(), 0);
-  std::iota(weights.begin(), weights.end(), 0);
-  std::iota(base_margin.begin(), base_margin.end(), 0);
-
-  std::vector<int> ridx_set = {1, 3, 5};
-  data::DMatrixSliceAdapter adapter(p_dmat.get(),
-                                    {ridx_set.data(), ridx_set.size()});
-  EXPECT_EQ(adapter.NumRows(), ridx_set.size());
-  data::SimpleDMatrix new_dmat(&adapter,
-                               std::numeric_limits<float>::quiet_NaN(), 1);
-
-  EXPECT_EQ(new_dmat.Info().num_row_, ridx_set.size());
-
-  auto &old_batch = *p_dmat->GetBatches<SparsePage>().begin();
-  auto &new_batch = *new_dmat.GetBatches<SparsePage>().begin();
-  for (auto i = 0ull; i < ridx_set.size(); i++) {
-    EXPECT_EQ(new_dmat.Info().labels_.HostVector()[i],
-              p_dmat->Info().labels_.HostVector()[ridx_set[i]]);
-    EXPECT_EQ(new_dmat.Info().weights_.HostVector()[i],
-              p_dmat->Info().weights_.HostVector()[ridx_set[i]]);
-    EXPECT_EQ(new_dmat.Info().base_margin_.HostVector()[i],
-              p_dmat->Info().base_margin_.HostVector()[ridx_set[i]]);
-    auto old_inst = old_batch[ridx_set[i]];
-    auto new_inst = new_batch[i];
-    ASSERT_EQ(old_inst.size(), new_inst.size());
-    for (auto j = 0ull; j < old_inst.size(); j++) {
-      EXPECT_EQ(old_inst[j], new_inst[j]);
+  std::iota(weights.begin(), weights.end(), 0.0f);
+
+  auto& lower = p_m->Info().labels_lower_bound_.HostVector();
+  auto& upper = p_m->Info().labels_upper_bound_.HostVector();
+  lower.resize(kRows);
+  upper.resize(kRows);
+
+  std::iota(lower.begin(), lower.end(), 0.0f);
+  std::iota(upper.begin(), upper.end(), 1.0f);
+
+  auto& margin = p_m->Info().base_margin_.HostVector();
+  margin.resize(kRows * kClasses);
+
+  std::array<int32_t, 3> ridxs {1, 3, 5};
+  std::unique_ptr<DMatrix> out { p_m->Slice(ridxs) };
+  ASSERT_EQ(out->Info().labels_.Size(), ridxs.size());
+  ASSERT_EQ(out->Info().labels_lower_bound_.Size(), ridxs.size());
+  ASSERT_EQ(out->Info().labels_upper_bound_.Size(), ridxs.size());
+  ASSERT_EQ(out->Info().base_margin_.Size(), ridxs.size() * kClasses);
+
+  for (auto const& in_page : p_m->GetBatches<SparsePage>()) {
+    for (auto const &out_page : out->GetBatches<SparsePage>()) {
+      for (size_t i = 0; i < ridxs.size(); ++i) {
+        auto ridx = ridxs[i];
+        auto out_inst = out_page[i];
+        auto in_inst = in_page[ridx];
+        ASSERT_EQ(out_inst.size(), in_inst.size()) << i;
+        for (size_t j = 0; j < in_inst.size(); ++j) {
+          ASSERT_EQ(in_inst[j].fvalue, out_inst[j].fvalue);
+          ASSERT_EQ(in_inst[j].index, out_inst[j].index);
+        }
+
+        ASSERT_EQ(p_m->Info().labels_lower_bound_.HostVector().at(ridx),
+                  out->Info().labels_lower_bound_.HostVector().at(i));
+        ASSERT_EQ(p_m->Info().labels_upper_bound_.HostVector().at(ridx),
+                  out->Info().labels_upper_bound_.HostVector().at(i));
+        ASSERT_EQ(p_m->Info().weights_.HostVector().at(ridx),
+                  out->Info().weights_.HostVector().at(i));
+
+        auto& out_margin = out->Info().base_margin_.HostVector();
+        for (size_t j = 0; j < kClasses; ++j) {
+          auto in_beg = ridx * kClasses;
+          ASSERT_EQ(out_margin.at(i * kClasses + j), margin.at(in_beg + j));
+        }
+      }
     }
   }
-};
+
+  ASSERT_EQ(out->Info().num_col_, out->Info().num_col_);
+  ASSERT_EQ(out->Info().num_row_, ridxs.size());
+  ASSERT_EQ(out->Info().num_nonzero_, ridxs.size() * kCols);  // dense
+}
 
 TEST(SimpleDMatrix, SaveLoadBinary) {
   dmlc::TemporaryDirectory tempdir;
diff --git a/tests/python/test_dmatrix.py b/tests/python/test_dmatrix.py
index 2becb674f7c9..c1640d4e3b45 100644
--- a/tests/python/test_dmatrix.py
+++ b/tests/python/test_dmatrix.py
@@ -71,7 +71,34 @@ def test_np_view(self):
         assert (from_view.shape == from_array.shape)
         assert (from_view == from_array).all()
 
-    def test_feature_names(self):
+    def test_slice(self):
+        X = rng.randn(100, 100)
+        y = rng.randint(low=0, high=3, size=100)
+        d = xgb.DMatrix(X, y)
+        eval_res_0 = {}
+        booster = xgb.train(
+            {'num_class': 3, 'objective': 'multi:softprob'}, d,
+            num_boost_round=2, evals=[(d, 'd')], evals_result=eval_res_0)
+
+        predt = booster.predict(d)
+        predt = predt.reshape(100 * 3, 1)
+        d.set_base_margin(predt)
+
+        ridxs = [1, 2, 3, 4, 5, 6]
+        d = d.slice(ridxs)
+        sliced_margin = d.get_float_info('base_margin')
+        assert sliced_margin.shape[0] == len(ridxs) * 3
+
+        eval_res_1 = {}
+        xgb.train({'num_class': 3, 'objective': 'multi:softprob'}, d,
+                  num_boost_round=2, evals=[(d, 'd')], evals_result=eval_res_1)
+
+        eval_res_0 = eval_res_0['d']['merror']
+        eval_res_1 = eval_res_1['d']['merror']
+        for i in range(len(eval_res_0)):
+            assert abs(eval_res_0[i] - eval_res_1[i]) < 0.02
+
+    def test_feature_names_slice(self):
         data = np.random.randn(5, 5)
 
         # different length