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SQL Query vs Data Table Component

I was wondering what is the best way to access a database.  We have a MySQL database on a web server and are running a local app accessing the data over the internet.  I was wondering what is the advantages and disadvantages of using SQL Queries vs Data Table Component.

In Delphi, you have components that allow you to access a database. You can use a query component and a table component.

The query component allows you to run SQL code to fetch data from the database. I imagine this data is then kept in local memory.

The table component opens up an active connection to a table in the database. In this case, I think you are working directly with the data on the server.