I come from a DBA world and performance has always been an obsession. I am turning to development and I always think about performance, constantly, all the time.
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When do I have to think about performance and when not?
You can think about performance, whenever you spare any cycles from thinking about correctness. :-)
Most of the time, though, your thought will be "the performance of this bit doesn't matter: either, because the performance of the whole application is still alright even with this bit, or because the cost of this bit is negligible or infinitessimal compared to the cost of that other bit."