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I know that it is possible to connect a stepper motor directly to an arduino (as displayed here). I know that another option is to use a motor shield (for example the Arduino Motor Shield or the Adafruit Motor Shield).

What I would like to know: What are the actual advantages of using a motor shield?

Is it just a question of convenience? Or does a motor shield do something that could not easily performed without a shield? Does it allow me to connect more motors than I could connect directly without a shield (power supply comes to mind)?

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The example you linked to isn't actually connecting the Arduino directly to a stepper motor. It's going via a ULN2003A driver. That's a very common Darlington transistor array, which basically just lets you use a small current to switch a larger load.

That's necessary because the Arduino pins can't safely source enough current to drive the stepper motor directly. It might work for a while, but it would damage your Arduino sooner or later.

Motor shields usually have a similar driver in them, but can also provide additional functionality which you might find useful. For example, the Adafruit shield you linked to is controlled by the I2C bus, and has its own on-board PWM. That means you can control several motors without needing any extra output pins on your Arduino.

In short, motor shields aren't necessary. They can be helpful though, especially if you aren't familiar with the underlying electronics, or you don't want to build it yourself.

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Mechanical stability of the whole thing is probably the main advantage. I'd personally opt for a generic module or loose components. The main disadvantage of shields is pin conflicts when using more than one shield.

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I'm using a adafruit motorshield v2 for my solar tracker project with two stepper motors atm. i'm quite a new to arduino and coding and i think the shield made it a lot easier for me to get a hang of it - easy to code and nicely stack able on the ardiuno (little soldering to assemble but not too difficult).

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