What is the difference between \r and \n?

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They’re different characters. \r is carriage return, and \n is line feed.

On “old” printers, \r sent the print head back to the start of the line, and \n advanced the paper by one line. Both were therefore necessary to start printing on the next line.

Obviously that’s somewhat irrelevant now, although depending on the console you may still be able to use \r to move to the start of the line and overwrite the existing text.

More importantly, Unix tends to use \n as a line separator; Windows tends to use \r\n as a line separator and Macs (up to OS 9) used to use \r as the line separator. (Mac OS X is Unix-y, so uses \n instead; there may be some compatibility situations where \r is used instead though.)

For more information, see the Wikipedia newline article.

EDIT: This is language-sensitive. In C# and Java, for example, \n always means Unicode U+000A, which is defined as line feed. In C and C++ the water is somewhat muddier, as the meaning is platform-specific. See comments for details.

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