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how to install a lftp program on CentOS and use it to transfer files between servers.

I used the below command but got an error as bad command.

wget http://example.com/user/filename.gz.tar
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    wget is not lftp. Also it's important to share any error messages in the question. – Pavel Šimerda Dec 29 '14 at 10:51
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You can install lftp from CentOS repository:

sudo yum install lftp

The best way to learn how to transfer files is reading man lftp

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I would urge caution on using SFTP or FTPS if you're planning on exposing this traffic to the interent. You need to make absolutely certain that you're blocking TCP port 21 (normal, unsecured FTP), and that you disable anonymous logins over SFTP/FTPS.

While SFTP does have its uses, it uses SSH. Make sure you're on SSH v2 if you take that route. I would recommend using FTPS (uses an SSL, and default traffic is over TCP port 443). The real advantage of FTPS is that when a file transfer is interrupted, the file transfer will resume where it left off once a connection is re-established. SFTP will work fine for small files, but if you're going to transfer files that might take hours or days, FTPS is the better solution. If an SFTP transfer is interrupted for any reason, when the connection resumes, the transfer will have to start over from the beginning.

If your goal is to be able to transfer files internally within your own network, then learn how to use SCP (secure copy) and avoid the headache of patching LFTP as vulnerabilities are discovered.

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