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Is chaining methods considered good or bad practice?


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It's considered good practice, simply because it's both nice to read and nice to write. There's even a design pattern for it: The Fluent Interface.

 

The only reason why PDO isn't fluent is that it supports legacy error handling and uses the return values to indicate errors. Without this baggage, I'm sure our code would look exactly as you suggested (including the formatting).

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