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The curses module (only since Python 3.3), locale.strcoll(), locale.strxfrm(), time.strftime() and imp.NullImporter() (only on Windows) accept embedded null characters, whereas they convert the Unicode string to a wide character (wchar_t*) string.
The problem is that the null character truncates the string. Example:
>>> locale.strxfrm('a')
'a'
>>> locale.strxfrm('a0円b')
'a'
Attached patch fixes these functions. I wrote the patch for Python 3.3.

PyUnicode_AsWideCharString() documentation should also warn about this issue.

Here is a patch for the documentation. 
I added warnings for, PyUnicode_AsWideChar*, PyUnicode_EncodeFSDefault and PyUnicode_AsUnicode*, since they're all concerned by this issue.

I removed the hints "using wcslen on the result of PyUnicode_AsWideChar*", since the resulting wchar_t strings may not be null-terminated

New changeset fa5c8cf29963 by Victor Stinner in branch '3.2':
Issue #13617: Document that the result of the conversion of a Unicode object to
http://hg.python.org/cpython/rev/fa5c8cf29963
New changeset f30ac7729f2b by Victor Stinner in branch 'default':
Issue #13617: Document that the result of the conversion of a Unicode object to
http://hg.python.org/cpython/rev/f30ac7729f2b 

New changeset 1c4d9534263e by Victor Stinner in branch '2.7':
Issue #13617: Document that the result PyUnicode_AsUnicode() and
http://hg.python.org/cpython/rev/1c4d9534263e 

embedded_nul-2.patch: a more complete patch check also null byte in functions calling PyUnicode_EncodeFSDefault().

I added some comments in Rietveld.
I see other instances of the use of non-checked PyUnicode_AsWideCharString() and PyUnicode_AsUnicode().

@Victor can you pick this up again please.

Could you please answer my comments Victor?

Note that this (or a very similar issue) also affects os.listdir() on Windows: os.listdir(bytes_path_with_nul) raises ValueError as expected, but os.listdir(unicode_path_with_nul) does not. Test case:
>>> import os
>>> os.mkdir('foo')
>>> os.listdir(b'foo\x00zzz')
Traceback (most recent call last):
 File "<stdin>", line 1, in <module>
ValueError: listdir: embedded null character in path
>>> os.listdir('foo\x00zzz')
[]
However, this is not the case on Linux, as there both calls raise an appropriate ValueError.
This needs to be fixed in posixmodule.c's path_converter() function.
I'm in the middle of implementing PEP 471 (os.scandir), so don't want to create a proper patch right now, but the fix is to add these lines in posixmodule.c path_converter() after the if (length > 32767) {...} block:
 if ((size_t)length != wcslen(wide)) {
 FORMAT_EXCEPTION(PyExc_ValueError, "embedded null character in %s");
 Py_DECREF(unicode);
 return 0;
 }
We should also add test to test_os.py like the following:
 def test_listdir_nul_in_path(self):
 self.assertRaises(ValueError, os.listdir, 'y\x00z')
 self.assertRaises(ValueError, os.listdir, b'y\x00z')

Could you update your patch Victor?

Sorry, I lost track of this issue. Feel free to update and complete my patch :-)

PR 2302 doesn't fix all issues with PyUnicode_AsWideCharString(). Issue30708 should fix them.

While working on this issue I found a way to inject environment variables for a subprocess on Windows. Reclassified this issue as a security issue. PR 2302 fixes this. May be there are other security vulnerabilities fixed by it.

Wow, it's nice to see activity on this issue that I opened 6 years ago :-)
Sorry Serhiy, I don't have the bandwidth right now to review your change :-( In lack of review, I suggest you to just push it.

New changeset f7eae0adfcd4c50034281b2c69f461b43b68db84 by Serhiy Storchaka in branch 'master':
[security] bpo-13617: Reject embedded null characters in wchar* strings. (#2302)
https://github.com/python/cpython/commit/f7eae0adfcd4c50034281b2c69f461b43b68db84

New changeset 0834905d9b61291b1fc5e05a1ffbc69de9c9379f by Serhiy Storchaka in branch '3.6':
[3.6] bpo-13617: Reject embedded null characters in wchar* strings. (GH-2302) (#2462)
https://github.com/python/cpython/commit/0834905d9b61291b1fc5e05a1ffbc69de9c9379f

New changeset ccdc09ed1ebea7d7c6b41548132aa08bd797bfe8 by Serhiy Storchaka in branch 'master':
Fix compiler warnings on Windows introduced in bpo-13617. (#2464)
https://github.com/python/cpython/commit/ccdc09ed1ebea7d7c6b41548132aa08bd797bfe8

New changeset 54ba940abc2fabb94fede46dfad80f8ac15632a3 by Serhiy Storchaka in branch '3.5':
[3.5] bpo-13617: Reject embedded null characters in wchar* strings. (GH-2302) (#2463)
https://github.com/python/cpython/commit/54ba940abc2fabb94fede46dfad80f8ac15632a3

Backporting this to 2.7 requires too much work taking to account that PyArg_Parse and other argument parsing functions don't check for null characters in 2.7. The most serious security issue is fixed in issue30730, other cases unlikely can be used for attacks.

Thank you very much Serhiy of taking care of this bug!