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A scale is a set of musical notes ordered as a well-defined sequence of intervals (tones and semitones). A semitone is the minimum distance between two consecutive notes in any tempered scale (12 equal semitones per octave). In other words, a semitone is also the distance between two consecutive keys on the piano. For example, the distance between C and C# (black key next to C), or the distance between E and F (both being white keys). However, the distance between C and D, for example, is a full tone (or two semitones).
Musical scales are an essential part of music improvisation and composition. Practicing scales will provide you with the necessary skills to play different styles of music like Jazz, Flamenco or Blues. You can also use scales to create your own melodies and set the mood of your piece.
Any chosen scale can be transported to any tonal center (e.g. E minor and A minor both use the same minor scale). The tonal center or tonic is the note where the scale hierarchy starts and it is represented on the virtual piano with a darker blue dot. When playing music under a particular scale, you should normally avoid any key without a blue dot, although composers sometimes use altered notes which are not within the scale.
Notes in a scale do not need to be played in a particular order, you can play them in any order you like, so feel free to improvise!