If I have a domain available for auction on Sedo and Godaddy, both at the same time, which one should I park with, or should I host in on my own server?
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You can park it anywhere you like. As Dreghen said. Park it at your Parking Company of choice with a for sale link. If it's not making any money parked, then put it on your own server and put a For Sale page up on it. Both ways give you a 3rd arm to your sales efforts.