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In my opinion if you don't consider yourself an employee at your own firm, or act as if you are a business owner in the company that hires you, you are setting yourself to fail in both work places.
In the company that hired you, you are an employee with responsibilities, and in your own business, you are responsible of many employees.
I prefer to have my own work but after gaining enough experience in market.
To have, my own work, not as an employee.