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You include your custom code in the file lmxserverconf.c, which is used to build the file liblmxvendor.dll (for Windows) or liblmxvendor.so (for Unix). A default liblmxvendor file is included with the SDK.
You must distribute liblmxvendor.dll (or .so) to end users together with the license server executable (lmx-serv). See End-user file distribution for more information about distributing this and other files to end users.