When checked, connects at the start of every iteration. Disconnects at the end of the iteration.
When unchecked, connects at the start of the first iteration. Disconnects at the end of the last iteration.
Reference:
http://msdn.microsoft.com/en-us/library/system.data.sqlclient.sqlconnection.open(v=vs.100).aspx
http://msdn.microsoft.com/en-us/library/system.data.sqlclient.sqlconnection.close(v=vs.100).aspx
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