When running xgboost.cv with early stopping rounds, after a few iterations the code breaks from a KeyError on the line below. There's some situation where state['bst_msg'] is not yet assigned, perhaps because it isn't set in init.

KeyError: 'best_msg'

I was running my code with nrounds=500 and early_stopping_rounds=20 (though I've run it in the range of 10 to 200 early_stopping_rounds).

bst_cv = xgb.cv(params, dtrain, 500, nfold = 5, shuffle=True, early_stopping_rounds=20)