Lossless audio formats difference
What is lossless audio?
Lossless audio is used when you want to use the original audio data (for instance, when you play music on a good sound system where you may discern the difference with lossy audio formats, a bit further about them). Compression algorithms preserve audio data so the audio is exactly the same as the original source.
This differs from lossy audio formats such as AAC, MP3, or WMA, which compress audio using algorithms that get rid of some data, what drastically decrease file size, but also affects audio quality.
Lossless audio formats
In a number of available lossless audio formats there are 3 that you probably meet more often: WAV, AIFF and FLAC. In short, these are simply the algorithms of data storage. Lossless audio formats have word "lossless" in them because they never affect the original audio data.
Important to mention also audio codecs here. This is basically a software that represents audio data in a way when it might be processed by another program (foobar2000, iTunes) or a device (CDJ). The very same audio format might have tons of codecs. Some of them are very old, some are very rare. Not every encoders "understand" all the variety of codecs, which explains why some WAVs are not playable on CDJ or Traktor. The quickest way to fix that is to re-convert to any lossless audio format it with a computer software for audio conversion.
Why FLAC is noticeably smaller?
In oppose to lossy audio formats, which affect audio information and effectively deteriorate produced audio output (by removing "unnecessary" frequencies), FLAC is using compression algorithms similar to archiving software. Imagine it as WAV put in ZIP archive, which might be "unzipped" on the fly by most of the audio players around.
It comes in handy when you need to store gigabytes of music due to smaller file size, but some people prefer WAV/AIFF over it since they have broader support on hardware audio players like CDJ.
Is there a "silver bullet"?
Some people prefer to store entire collection in FLAC, having in WAV/AIFF only the portion of audio they actively listening/playing on hardware audio players. But in the end only you choose how you use your gigabytes.
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