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I decided to programm my FPGA with JTAG (is it a good choice? Will I be able to programm my FPGA like this?)
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Yes you can program your FPGA with JTAG. Whether it is a good choice depends on what else is on your board. For example, will your board need to configure itself without having to use JTAG?
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But I don't know how to connect VCC: is it the VCC of the IO (in my case: 3.3V), or the VCCint? (So, 1.2V for the cyclone 3...)
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The VCC on the JTAG header determines the voltage of the JTAG signals. The FPGA determines the requirements for these signals. You need to read the handbook associated with your FPGA to determine which bank determines the JTAG signal voltage requirements, and then use the same voltage as the VCCIO for that bank. For example, if your I/Os are all using 3.3V, then the JTAG VCC will be 3.3V.
Cheers,
Dave