Is SqlCommand.Dispose() required if associated SqlConnection will be disposed?

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Just do this:

using(var connection = new SqlConnection(ConfigurationManager.ConnectionStrings["MyConn"].ConnectionString))
using(var command = connection.CreateCommand())
{
   command.CommandText = "...";
   connection.Open();
   command.ExecuteNonQuery();
}

Not calling dispose on the command won’t do anything too bad. However, calling Dispose on it will suppress the call to the finalizer, making calling dispose a performance enhancement.

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