> it seems highly interesting for data science

I agree :)

> is there any comprehensive tutorial or documentation (with best practices 
> etc.), how-to write a wrapper for ML libraries, which otherwise expose a C++ 
> API?

not that I know of.

For xgboost there is already a wrapper, from what I can tell it binds the dll, 
not sure how the wrapper was generated: 
<https://github.com/jackhftang/xgboost.nim>

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