#You could just use sklearn.model_selection.train_test_split twice. First to split to train,
#test and then split train again into validation and train.
#Something like this:
X_train, X_test, y_train, y_test 
    = train_test_split(X, y, test_size=0.2, random_state=1)

X_train, X_val, y_train, y_val 
    = train_test_split(X_train, y_train, test_size=0.25, random_state=1) # 0.25 x 0.8 = 0.2