How to escape a password containing a backslash \ in azure SQL server database connection string

you'll use a double backslash "\" to represent a single backslash in your password. Here's an example of how you can store a password with a backslash in a SQL Server database:

Suppose your password is: "my\password" (with a backslash in it).

You should insert it into the database like this:
INSERT INTO Users (Username, Password)
VALUES ('myusername', 'my\\\\password');

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