What is the best way in a DNS record to make a subdomain point to another subdomain on another site.

E.G.: sub.domain_my_site.com --> sub.domain_other_site.com

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The DNS way of doing that is called a 'CNAME' record.

Think of a DNS CNAME as an alias for something else. In your example, a web browser would show http://sub.domain_my_site.com in the address bar. Behind the scenes, it would continue to resolve sub.domain_other_site.com until it gets an IP address; and then it would connect to that IP.

CNAMEs are used all over the place. For example the well known www.google.com is a CNAME for www.l.google.com., which presumably is a geo-distributed group of load balancers.

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