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The SqlConnection Class

A SqlConnection object supports a connection to a SQL Server data source. For the most part, the differences between SqlConnection and OleDbConnection objects take place behind the scenes, and the programming interface of these two types of objects is very similar.

The main difference here is one of performance-SQL connections to the Microsoft SQL Server have been shown to be up to 70 percent faster than OLE DB connections, so if you're using SQL Server, consider using SQL connections for all your connections.