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Harry James Malony was born on August 24, 1889 in Lakemont, New York. Malony attended the United States Military Academy at West Point, New York and graduated on June 12, 1912. He was also commissioned a second lieutenant in the infantry on that date. Some of his West Point classmates later became general officers during World War II as he did, such as Wade H. Haislip, John Shirley Wood, Walton Walker, Raymond O. Barton, Walter M. Robertson, Gilbert R. Cook and Millard Harmon.