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According to the following diagram, when the motor is delta connected as far as I can see:

L1 goes into U1; U2 goes into L3

L2 goes into V1; V2 goes into L1

L3 goes into W1; W2 goes into L2

It looks like one winding is between U1 and U2 terminals another one between V1 and V2 terminals and the other one between W1 and W2 terminals.

Is this convention universal in the world? Is each winding always between U1-U2 V1-V2 and W1-W2 terminals? And is there a reason to place the thermal overload after the main circuit breaker but not before?

enter image description here

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Is this convention universal in the world? Is each winding always between U1-U2 V1-V2 and W1-W2 terminals?

No. The motor depicted is a 6-lead motor. U-V-W is an IEC standard and it is nicely stated in this question: Why are U, V, W used in AC Motors. However, for old motors, or manufacturers that don't care about IEC I've equally seen the terminal marked:

  • T1/T2, T3/T4, T5/T6
  • T1/T4, T2/T5, T3/T6
  • L1/T1, L2/T2, L3/T3
  • Just numbers (1,2,3,4,5,6), (1,4,2,5,3,6)

What should be universal is that every motor will have a labelled schematic showing the terminals, windings, and proper connections.

And is there a reason to place the thermal overload after the main circuit breaker but not before?

This is due to electrical standards. In Canada, CEC 28-604 a) states that motor disconnecting means shall be located where the motor branch circuit starts. CEC 14-010 a) states that circuit breakers shall be located such that manually disconnecting them will disconnect all ungrounded conductors at the point of supply simultaneously.

Placing the thermal overload before the circuit breaker causes the circuit breaker to no longer be at the start or point of supply. I'm sure that the thermal overload is also unprotected in the event of a surge.

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