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Where do I run this, in the CLI of my local computer?
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This is your choice, but if you have shell access to the host running the database, you get better performance doing it there.
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If so where do I tell it what host to use.
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mysql -u username
@hostname -p database_name < sql_dump_file
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I only need to dump one table, is there any way to do that?
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Read "man mysqldump".
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After I have the dump downloaded to my local computer how do I upload it back onto the other server?
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That was what ricstirato's commandline does. To
make the dump use "mysqldump", see its man page.