Lets say i have an order process spanning multiple microservices controlled by a masstransit saga state machine, where should I host it? In the order microservice that takes in the REST call to create an order, or a separate service dedicated to just that state machine?
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Both are acceptable and used in practice. There can be some optimization/savings in the colocation architecture but generally a separate/devoted service for the state machine/orchestrator gains the inherit advantages of ms architecture (decoupling, deployment, scaling, etc.) and in particular is safer as far as future extensibility. hth.

Paul Parkinson
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