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This has been done to death on here over the years.
Here are some links of good discussions (crazy to see old those old regs in the first one).
http://tranceaddict.com/forums/show...99#.VNub__nF_ng
This one has a good explanation if it.
http://tranceaddict.com/forums/show...99#.VNuchvnF_ng
Essentially, (and not to be too obtuse about it) if you're asking the question "should I put a compressor on the master" then you're not ready to do it.
Mixing in to a compressor is the natural evolution for someone that is a good/great mixer, who always find themselves adding compression to the master after they did it.
So logically, the next step is to mix in to the compressor as you go.
Why could this be bad? Because it changes the way you mix; everything from stray peak management, to dynamics handling to colouration.
Therefore, if you aren't an extremely proficient mixer and can't fully understand from a conceptual point of view what that mix would be like without the compressor on the master, then you shouldn't add one.
If you've been mixing for years, always end up adding compression to glue your parts together doing so has literally got to the point of mindless repetition, then you're ready.
Personally, I just don't understand people's fascination with wanting to make a track mastered by yourself. It's a nuanced skillset required for truly great mastering, and that doesn't even start the discussion on the level of equipment needed.
Just mix as well as you can and pay the $20/$50/$100/$1k to get it properly mastered.
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