When working with the video asset type, by default, it will be streamed from the Digizuite DAM. Either through Episerver or directly from Digizuite DAM. This can be configured, see DFE 23.10.0 - 3 Setting up Episerver and look for the parameter redirectvideostream .
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To configure CDN for video steaming, open the web.config and look for the <digizuite element. The child element we are looking for is this <cdn baseUrl="" destinationId="" />. You can read about the parameters here DFE 23.10.0 - 3 Setting up Episerver.
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