from sklearn.metrics import roc_auc_score
from sklearn import preprocessing

# Use trained model to predict output of test dataset
val = xgb.predict(X_test)

lb = preprocessing.LabelBinarizer()
lb.fit(y_test)

y_test_lb = lb.transform(y_test)
val_lb = lb.transform(val)

roc_auc_score(y_test_lb, val_lb, average='macro')