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The issue #22110 enabled more compiler warnings. I would like to fix this one:
---
gcc -pthread -c -Wno-unused-result -Wsign-compare -g -O0 -Wall -Wstrict-prototypes -Werror=declaration-after-statement -I. -IInclude -I./Include -DPy_BUILD_CORE -o Python/thread.o Python/thread.c
In file included from Python/thread.c:86:0:
Python/thread_pthread.h: In function ‘PyThread_create_key’:
Python/thread_pthread.h:611:22: attention : signed and unsigned type in conditional expression [-Wsign-compare]
 return fail ? -1 : key;
 ^
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Attached patch uses Py_SAFE_DOWNCAST() to explicitly downcast to int.
On Linux (on my Fedora 20/amd64), pthread_key_t is defined as an unsigned int, whereas the result type of PyThread_create_key is a signed int.
Nobody complained before, so I get that nobody noticed the possible overflow for a key > INT_MAX. I checked the code, we only check if PyThread_create_key() returns -1, if you reach UINT_MAX keys. UINT_MAX keys sounds insane, you probably hit another limit before.
On Linux, it looks like the key is a counter and deleted values are reused:
haypo@selma$ ./python
Python 3.5.0a0 (default:a0b38f4eb79e, Aug 15 2014, 23:37:42) 
[GCC 4.8.3 20140624 (Red Hat 4.8.3-1)] on linux
Type "help", "copyright", "credits" or "license" for more information.
>>> import ctypes
>>> ctypes.pythonapi.PyThread_create_key()
2
>>> ctypes.pythonapi.PyThread_create_key()
3
>>> ctypes.pythonapi.PyThread_create_key()
4
>>> ctypes.pythonapi.PyThread_delete_key(3)
0
>>> ctypes.pythonapi.PyThread_create_key()
3

pthread_key_create_overflow.patch: safer patch, delete the newly created key and return an error on integer overflow.

New changeset 1b898b5d5ffe by Victor Stinner in branch 'default':
Issue #22206: Using pthread, PyThread_create_key() now sets errno to ENOMEM and
http://hg.python.org/cpython/rev/1b898b5d5ffe 

I fixed the issue in Python 3.5, I close the issue.
Even if Python 2.7 and 3.4 are also affected, I prefer to not modify them to not take the risk of introducing a regression for a corner case.