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Is there a way to export data from a query without first loading it into the editor?

When I load data into the editor and then hit export it appears to be trying to load all of the rows into memory, and often gives me a warning about filling up memory.

I think ideally I would be able to give the tool a query, tell it what format I want to export to and other details and then have it stream the results directly into the file, instead of loading them into memory first.

You can create a view based on the query, the result of which you want to export, then right-click the view in Database Explorer, select 'Export Data...' and complete the wizard.

This way there is no need to retrieve data to Data Editor prior to exporting it.