“Failed to load HostKeys” warning while connecting to SFTP server with pysftp

Question

I wrote a Python script to connect to SFTP server using key authentication. It connects to server successfully but shows the following warning (see below). What does it mean

Answer 1

I believe it's a bug in pysftp. You get this everytime you use cnopts.hostkeys = None (despite the warning actually suggesting to use that).

Anyway, you should not use cnopts.hostkeys = None, you lose security by doing so.
For the correct solution, see Verify host key with pysftp.

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By your reference to key authentication, I assume you mistake your account key with host key. Read my article about SSH key pairs to understand the difference.