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Quando hic sum, non ieiuno (jejuno) Sabbato; quando Romae sum, ieiuno (jejuno) Sabbato.
When I'm here [in Milan], I do not fast on Saturday; when I'm in Rome, I fast on Saturday.
This thought is attributed to St. Ambrose and is translated in a short version as, "When in Rome, do as the Romans do." The primary advice is to follow the local customs.