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On most cases, if the data is already stored in Redshift and that's all the data it needs, it's better to do the processing there, rather than take the data out, process and put it back.
Even if you want to alleviate load from Redshift, the ratio of data moved versus computing done would have to be small to be worth it.
If you want to have visibility or include it as part of a workflow, you could have a Glue Shell issuing commands to Redshift (so while is waiting the Glue cost is very small compared with a cluster).
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