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Azure SQL DWH / PDW have the EXPLAIN keyword to show the parallel query plan. This is really useful for seeing the data movement operations, however I was wondering if there was an equivalent of the traditional sql server query plan. I'm working on the assumption that just because there isn't any data movement, it doesn't necessarily mean that query is well optimised.

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Traditional SQL Server query plan is not available yet. You can use DBCC PWD_SHOWEXECUTIONPLAN to see estimated execution plan. For actual execution plan you can get a D-SQL plan using Visual Studio. Grant Fritchey explains in details.

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