Is there any difference between I create two slaves, or one slave with two executors on the same Windows server?
A slave is a "machine". An executor is an "OS Process" in the slave.
So ideally we always add executors - they do the work and can run in parallel, and the simple theoretic answer to your question is "2 executors on one slave"
In practice we need to add slaves in several use cases:
Make the decision based on your use case.
Yes, there is a difference: It's about memory consumption and effort of maintenance/administration.
It is therefore apparent that running two executors on one slave costs less memory in total compared to running two slaves (with one executor each), as there would be the memory consumption of the main process twice:
2 * Main Processes + 2 * Executors > 1 * Main Process + 2 * Executors
Moreover, administrating a slave is some more effort than just an executor: Whilst an executor has virtually nothing to worry, there are numerous things to configure for a slave. Additionally, the capabilities of the two slaves are anyhow the same (they are running on the same OS as you said), so there is little value-add to also assign it different labels.
In short, if there are no other boundary conditions, which make me do it differently, I always would prefer running two executors on one slave, as this is easier to administrate and some memory is saved.
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