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Never self host, never. It would be a nightmare. The reasons are countless (like cats unplugging the cord when you are on holidays).
Besides, you can get a cheap shared host below $5/month that would handle a few hundred players. How much would be your electricity bills for your PC at home plugged on 24/7?
My most important servers are in a pro datacenter with onsite stored fuel for backup power generator for 48 hours and a contract with some company guaranting additional fuel delivery within 24 hours. Fire supression system, 24/7 guards, bio scanners on entry to building, ultra fast access to spare hardware parts in case of breakdown, connection to several network providers... Did I mention that also the price for this luxury is really reasonable? People self hosting important sites are completly nuts or completely hardcore (or both ).
My usual advice would be that the time spent setting up and maintaining a server is going to be a larger opportunity cost than the meager pennies that it costs to buy shared hosting.However if you already have the hardware and the skills, especially if you're hosting on Windows (which is very often more expensive) then maybe you would be saving money. But that's a big maybe.
The problem is that when you're already building something (the game itself) then you're going to have a lot of other things to worry about. Administrating a server at the same time is only going to add more stress onto your plate and I think, quite simply, decrease your chance of success. It's up to you to decide if that's worth saving the money on hosting or not.
many people refuse to play games that are not hosted in national servers
I've to use a local hosting provider because many ISPs here still charge extra for international traffic,
no language barriers, same currency, same VAT
I'll set up two different servers (one will be self hosted, and another one on a shared host) and gather some data on which one performs better.
@Chris, sorry if this seems inappropriate, but you're not being helpful and you're starting to sound arrogant.
As for me using harsher words, I use these only against people I find to have potential and whom I respect
Btw, anyone of you know if there is around a comanaged service relatively cheap?