MIDI (musical instrument digital interface) is like a language musical devices and computers can use to send instructions to one another on what sounds to play and when to play them. Importantly, MIDI connections pass no audio signal, but instead remotely control another device to make sound on its own. For example, one might use a keyboard MIDI controller to perform notes and rhythms live with a desktop synthesizer or computer-based software synth. Similarly, one might use MIDI messages from their DAW (digital audio workstation) to control every MIDI-enabled device in their studio, providing a powerful way to compose entire pieces that can be rearranged and played back by sending stored MIDI data to each instrument. MIDI connections can control up to 16 devices simultaneously by defining MIDI channels for each device, which is like a private line of communication between the controller and any sound generator on that channel.
To use MIDI, you need at least two MIDI-capable devices: either two hardware devices like a MIDI controller or MIDI-enabled sound generator, or a single hardware device and your computer. While your computer will already understand MIDI messages, you will need a DAW that can send and accept MIDI messages, and likely a MIDI interface that provides the physical connections to other devices (if you have an audio interface, this may already have MIDI connectors on it). MIDI connections vary between three types: standard 5-pin connectors, USB MIDI connections, and the increasingly popular TRS MIDI. 5-pin and TRS connectors are easily adaptable to one another, provided you have the correct TRS MIDI adapter (type-a or -b). To connect a USB MIDI device and one with 5-pin or TRS connections, you will need a USB MIDI interface.
For example, say you are connecting a keyboard MIDI controller with a desktop synthesizer. Because the keyboard controller is where we will send MIDI messages from, we must connect the MIDI output of the keyboard to the MIDI input of our synthesizer. Let's also say that the keyboard has 5-pin MIDI connections, while the synth has 3.5mm TRS type-a connections. Using a type-a TRS to 5-pin MIDI adapter and standard 5-pin cable, we can easily connect the output of the controller to the input of the synth. The next step is to set the MIDI channel to match on both devices, as well ensuring the device's internal settings are set to either receive or send MIDI information. From here, you should be able to play the keyboard controller and hear the audio of the synth respond in real-time. The connections for other MIDI set-ups are similar, as long as you mind the proper connections and any additional interfacing they may require.
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