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If you're leaning towards ON Red Square (no THE), you'd be right 👏 

But we can actually say both. But it depends... of course. When using ON or IN as prepositions of geographical place, it's a question of whether we see the place as two or three dimensional. (two dimensional: flat, 3 dimensional: surrounded by something) 

So headache time: "I am ON Red Square in Moscow" but "I'm IN Sloane Square in London." Why? Red Square is large, open and flat (yes, there are buildings there but it's still quite open). Sloane square is a tiny place in London surrounded by trees, a fence and buildings very close by. 

Nouns in English are either always seen as two dimensional: lawn, farm, path, road (because they're flat) or three dimensional: garden, room, box. Changing the preposition with these nouns could alter the meaning. For example: 

- There's someone on the road (laying down or dead). vs Kids are playing IN the road (outside) 

So if you're a teacher and want to punish your students, you would tell them to go and stand IN the corner. If you need your students to raise some money, go and tell them to beg passersby ON the corner. 

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