When using visual claslibraries, the visual design is more easy. I do not believe it is quicker using either VCX's or PRG's at runtime.
I have used both. Using code classes (prg's) I made a project hook that put all my code classes and procedures into one big prg. The advantage is that you only have to issue SET PROCEDURE TO mymainprg once, which saves start up time.
You can use both btw, I designed most of my classes in VCX's and used the ClassBrowser to turn them into code classes and I used a project hook to collect them and put them into one big prg after building my app (all my VCX's where of course excluded from the app).
So at design time I could still use VCX's as where at runtime the app uses code classes.
Another advantage is that you can place the big prg (as an FXP at runtime, of course) outside of your exe, which makes your exe quite small. As where most prefer to include their VCX's in the exe so they cannot be opened or get corrupt.
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