I am new to networking, so bear with me,
1-I wanted to clear my query: why do we need BGP or any routing protocols if we have vpn or wan technologies like mpls ?
2-Can't we just run bgp between two different sites location to share data?
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As @ronmaupin suggests, you are talking about two different things.
Routing protocols exchange routing information so that routers can populate their routing tables. They have nothing to do with the actual routing (forwarding) of data.
WAN technologies (I'll include MPLS for the sake of argument) are simply logical and/or physical connections between networks.
To give a simple analogy: you can think of WAN technologies as roads between cities. But you can't use the roads if you don't know where they go to. Routing protocols are like the road signs that tell you to use this road if you want to go to city A or that road to go to city B