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Some broker have a data center server... you connect to it and it the data center server will redirect you to the best available MetaTrader server. Large broker who has several MetaTrader servers running are using this.

 

Some brokers do have multiple servers but do not use data center server, data center server is more secure because the real MetaTrader server IP Address is hidden

 

Connected directly means as it says, you are connected directly to the MetaTrader server. This is only suitable if you have one MetaTrader server running.

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