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Another story has 2 steps: They were a hit wrapped in paper at the 1886 Colombian Exposition in Chicago, and in 1904 at the St. Louis Louisiana Purchase Exposition where they were probably first served in a bun (still called frankfurters).
What we do know for sure is that they were popularized as "red hots" in New York by Harry M. Stevens, a vendor at the Polo Grounds (some say Yankee Stadium). And T.A. Dorgan, a cartoonist named them when he drew one as a dachshund on an elongated bun around 1906 and called it a "hot dog."

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