They’re all sending digital information, but only data cables like USB/Thunderbolt can be used (as far as I know) for devices like external drives. I am not aware of any external drive that can be connected by HDMI or DisplayPort.
In: Technology
Surprisingly almost nothing at all
Both sets of cables send data over high speed twisted differential pairs (one wire goes high when the other goes low, then they flip which one is high)
The difference is that we setup the protocol and controllers for HDMI and Display Port to talk to a display from a source, while USB and Thunderbolt are setup so that two equivalent devices (or one superior and one lesser device) can talk to each other
The most obvious example of this is Thunderbolt and DisplayPort. Thunderbolt uses a Mini Display Port connector, but a Thunderbolt enabled host talks to whatever it got plugged into to determine if it will be sending data to the other device using the Thunderbolt protocol or if it will be sending video to a display using the DisplayPort protocols
Electrically the signals are the same, it just sends different signals depending on how the device on the other end is expecting data to come in
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