@hcho3 I tried enabling it on Windows CI, see if it helps. ;-)

@trivialfis Thanks. We should also try to get Ninja build working (#5832) to bring the build time under 10 min.

@hcho3 It's under 10 minutes now.

Interesting. So unity build does help quite a bit on the Windows platform. Let me approve this PR.

Em, it breaks external memory on Windows somehow.

@trivialfis Another reason to extinguish race condition and other undefined behaviors from the external memory. This is the same issue as the Ninja PR (#5832)

Or can we drop support for external memory on the Windows platform?

It's not that easy with external memory. On the on hand I want to remove all use of threads for loading data, on the other hand the performance will be miserable without pre-fetching.

drop support for external memory on the Windows platform

Dropping it won't solve the root cause, just hiding the issue.

Dropping it won't solve the root cause, just hiding the issue.

I agree. I just wanted to unblock this PR and #5832 so that we can start enjoying faster turn-around time.

@hcho3 Can I merge it by reverting the CI change?

Sure

@hcho3 Do you think it's suitable to merge without passing power test? It seems travis is having difficulty on allocating power node. https://travis-ci.org/github/dmlc/xgboost/pull_requests