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Some of the tests for asyncio and asyncore block forever on Cygwin, due to a known (and seemingly difficult to fix) bug [1] in Cygwin involving SO_PEERCRED on UNIX sockets.
SO_PEERCRED is a socket option that can be used to exchange file ownership info of the socket at the time the connection was established (specifically on UNIX sockets). This feature is technically supported on Cygwin, but the effect of the bug is that if two sockets are opened on the same process (even without using socketpair()), the credential exchange protocol can cause connect() on the "client" socket to block unless the "server" socket is already listen()-ing.
This situation is not all that common in practice (it is not a problem if the "client" and "server" are separate processes). But it does show up in the test suite in a number of places, since both sockets belong to the same process.
I have a patch to work around this and will post a PR shortly.
[1] https://cygwin.com/ml/cygwin/2017-01/msg00054.html