In this case, you're not able to keep a connection open
because the WHOIS protocol does not allow it. HTTP, on
the other hand, has a "KeepAlive" feature which allows the
socket to remain open for other transmissions.
You may also want to look into the
RWHOIS protocol, which
is supposed to be replacing the old, and very tired WHOIS. If
any functional improvements are to be made, this is where
they will occur.
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