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By default, the data pipeline exports the files to the home directory, but you can use the REST API to set a custom export path.

To change the root export path, make a PUT request to <base-url>/rest/datapipeline/1.0/config/export-path.

In the body of the request pass the absolute path to your preferred directory. 

For full details, including how to revert back to the default path, refer to the Data pipeline REST API reference.